BenchmarksZValidation

Nearly all agent-based financial markets throw up many important questions concerning the valida­tion of the various agent-based market structures. The validation of the agent-based market verifies if the model is related to reality.

There are a few things that can be done in order to validate the various mechanisms of the agent-based market. One approach is to make useful benchmark cases in which the behaviour of the real market is well defined. Alternative approach is to use parameters in the agent-based market resulting from either real or experimental markets. Some examples of works in which pa­rameters from real or experimental markets have been used are Chen and Yeh (2001), Zimmermann et al. (2001a, 2001b), Winker and Gilli (2001), LeBaron (2003), and Gilli and Winker (2003).

3.5.