Kumulative Dissertation, Otto-Friedrich-Universität Bamberg, 2023

Von der genannten Lizenzangabe ausgenommen sind folgende Bestandteile dieser Dissertation:
Die Artikel "Estimation of agent-based models: Testing and applying a simulated joint moment approach" (S. 50-94) und "Time is limited on the road to asymptopia: An analysis of the ergodic properties of moment functions in the validation of financial agent-based models" (S. 96-141) stehen unter der CC-Lizenz CC BY.
Lizenzvertrag: Creative Commons Namensnennung 4.0 https://creativecommons.org/licenses/by/4.0/

The goal of this cumulative dissertation is two-folded. The first two chapters are dedicated to foster the research on agent-based financial market models by studying two newly developed models that aim at explaining a broad number of stylized facts of financial markets. Chapters 2 and 3 seek to answer how behavioral patterns of speculators may help to explain complex phenomena of financial markets. The second aim of this thesis is to deepen the understanding of estimation and validation approaches when applied to agent-based financial market models. With the rise of computational power, simulation-based methods have become a popular choice. Chapters 4 and 5 of this thesis are going to shed light on the potential difficulties when applying simulated moment estimators to validate agent-based financial market models.