2017/23 LEM Working Paper Series

Validation of Agent-Based Models in Economics and Finance

Giorgio Fagiolo, Mattia Guerini, Francesco Lamperti, Alessio Moneta and Andrea Roventini
agent based models, validation, calibration, sensitivity analysis, parameter space exploration

  JEL Classifications
C15, C52, C63

Since the influential survey by Windrum et al. (2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical review of existing validation techniques. We sketch a simple theoretical framework that conceptualizes existing validation approaches, which we discuss along three different dimensions: (i) comparison between artificial and real-world data; (ii) calibration and estimation of model parameters; and (iii) parameter space exploration.
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