Efficient Calibration of Multi-Agent Simulation Models from Output Series with Bayesian Optimization

Author:

Bai Yuanlu1,Lam Henry1,Balch Tucker2,Vyetrenko Svitlana2

Affiliation:

1. Columbia University, US

2. J.P.Morgan AI Research, US

Publisher

ACM

Reference20 articles.

1. Yuanlu Bai Tucker Balch Haoxian Chen Danial Dervovic Henry Lam and Svitlana Vyetrenko. 2021. Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Set. (2021). arxiv:2105.12893https://arxiv.org/abs/2105.12893v1 Yuanlu Bai Tucker Balch Haoxian Chen Danial Dervovic Henry Lam and Svitlana Vyetrenko. 2021. Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Set. (2021). arxiv:2105.12893https://arxiv.org/abs/2105.12893v1

2. Calibrating Input Parameters via Eligibility Sets

3. S. Bhatnagar , HL Prasad , and LA Prashanth . 2013. Stochastic Recursive Algorithms for Optimization: Simultaneous Perturbation Methods . Springer . S. Bhatnagar, HL Prasad, and LA Prashanth. 2013. Stochastic Recursive Algorithms for Optimization: Simultaneous Perturbation Methods. Springer.

4. David Byrd. 2019. Explaining Agent-Based Financial Market Simulation. (2019). arxiv:1909.11650http://arxiv.org/abs/1909.11650 David Byrd. 2019. Explaining Agent-Based Financial Market Simulation. (2019). arxiv:1909.11650http://arxiv.org/abs/1909.11650

5. ABIDES

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3. Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness;4th ACM International Conference on AI in Finance;2023-11-25

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