Estimation of a simple agent-based model of financial markets An application to australian stock and foreign exchange data

S Alfarano, T Lux, F Wagner - Physica A: Statistical Mechanics and its …, 2006 - Elsevier
Economics paper Suggest

… agent-based models are almost without exception designed as Markovian stochastic processes, it should be possible in many cases to adopt methods of simulation-based inference [13]…

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