Empirical Calibration of Single-Asset and Multi-Asset Agent-Based Models for Financial Markets
Abstract
Data consists of processed End-Of-Day index price data of BRICS financial markets, prepared by Gebbie (2020) in the form of a spreadsheet, the extracted daily and weekly index price data for the JSE Top 40 index, SSE 50 index and BSE Sensex index (in the form of Julia Data Format 2 files), the formulated log return data for those indices (in the form of Julia Data Format 2 files), and the generated prices, log returns and optimal parameters for each model configuration (also in the form of Julia Data Format 2 files). The Julia scripts used to extract and transform the EOD data to the daily and weekly index price data are available in the GitHub repository associated with the dissertation. The Julia scripts used to generate all of the various model outputs is also found in the same repository. The Julia Data Format 2 files are easily viewed in Julia, which is the coding language used in this research.
Fields of Study & Subjects
Complex Systems and Time Series Analysis
Stochastic processes and financial applications
Financial Markets and Investment Strategies
Publication details
- Journal / source
- ZivaHub (University of Cape Town)
- Publication date
- 1 January 2026
- Document type
- Dataset