Parameter Estimation of a non-Equilibrium Asset Pricing Model and Performance Analysis of the Calibration in Terms of Sloppiness
Prices of assets traded in stock markets often exhibit out of equilibrium behaviours, e.g. bubbles and recessions. Yukalov et al. have developed a model to describe these dynamics, and this Master thesis focuses on the problem of calibrating it using an Evolutionary algorithm and the Simulated Annea...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146275 |