Tid: 9 juni 2014 kl 15.15-16.00.

Föredragshållare: Andreas Lagerqvist

Titel: Parameter estimation of a non-equilibrium asset pricing model and performance analysis of the calibration in terms of sloppiness

Abstract 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 Annealing method. In general, the parameter estimation performs far from desired, and a Sloppy model analysis of the deterministic system shows that the performance is linked to the sloppiness structure of the model. Accounting for sloppiness, the calibration results can be seen in a different light and the model could still be useful for predictions. Thus, the prediction performance on both synthetic and real-world data is studied, with good results in artificial markets and poor performance using real prices.

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