Search

MiS Preprint Repository

Delve into the future of research at MiS with our preprint repository. Our scientists are making groundbreaking discoveries and sharing their latest findings before they are published. Explore repository to stay up-to-date on the newest developments and breakthroughs.

MiS Preprint
27/2022

Time is limited on the road to asymptopia

Ivonne Schwartz and Mark Kirstein

Abstract

One challenge in the estimation of financial market agent-based models (FABMs) is to infer reliable insights using numerical simulations validated by only a single observed time series. Ergodicity (besides stationarity) is a strong precondition for any estimation, however it has not been systematically explored and is often simply presumed. For finite-sample lengths and limited computational resources empirical estimation always takes place in pre-asymptopia. Thus broken ergodicity must be considered the rule, but it remains largely unclear how to deal with the remaining uncertainty in non-ergodic observables. Here we show how an understanding of the ergodic properties of moment functions can help to improve the estimation of (F)ABMs. We run Monte Carlo experiments and study the convergence behaviour of moment functions of two prototype models. We find infeasibly-long convergence times for most. Choosing an efficient mix of ensemble size and simulated time length guided our estimation and might help in general.

Received:
Aug 18, 2022
Published:
Aug 18, 2022
Keywords:
Broken Ergodicity, Simulated Method of Moments, ABM Validation

Related publications

Preprint
2022 Repository Open Access
Ivonne Schwartz and Mark Kirstein

Time is limited on the road to asymptopia