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Calibrating high frequency trading data to agent based models using approximate Bayesian computation
We consider Sequential Monte Carlo Approximate Bayesian Computation (SMC ABC) as a method of calibration for the use of agent based models in market micro-structure. To date, there are no successful calibrations of agent based models to high frequency trading data. Here we test whether a more sophis...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2021
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