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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Method of simulated moments؟

Definition 27.4 Microstructure and Execution · الفصل 27 — Build: an Agent-Based Market

The method of simulated moments estimates the parameters of a model that can be simulated but whose moments have no closed form: it chooses the parameters that minimise a weighted distance between moments computed from the data and the same moments averaged over simulations of the model, the simulations using the same random draws at every candidate parameter.

The distance between simulated and target facts at a noise rate of 1.2 orders a second, by the chartists’ rate and the run tail, three hours per point with the same seeds. Data: mx_agents.calibration.
Figure 27.4. The distance between simulated and target facts at a noise rate of 1.2 orders a second, by the chartists’ rate and the run tail, three hours per point with the same seeds. Data: mx_agents.calibration.
Each fact’s gap to the target in target standard deviations, for the starting point and for the calibrated population. The squares of the calibrated bars sum to the distance on fresh hours. Data: mx_agents.calibration.
Figure 27.5. Each fact’s gap to the target in target standard deviations, for the starting point and for the calibrated population. The squares of the calibrated bars sum to the distance on fresh hours. Data: mx_agents.calibration.
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