The Econometric Analysis of Agent-based Models in Finance: An Application

Abstract. This paper illustrates how to compare different agent-based models and how to compare an agent-based model with real data. As examples we investigate ARFIMA models, the probability density func-tion, and the spectral density function. We illustrate the methodology in an analysis of the agent-based model developed by Levy, Levy, Solomon (2000), and confront it with the S&P 500 for a comparison with real life data.