Validation of Agent-Based Models in Economics and Finance

Since the survey by Windrum et al. (Journal of Artificial Societies and Social Simulation 10:8, 2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical review of the existing validation techniques. We sketch a simple theoretical framework that conceptualizes existing validation approaches, which we examine along three different dimensions: (i) comparison between artificial and real-world data; (ii) calibration and estimation of model parameters; and (iii) parameter space exploration. Finally, we discuss open issues in the field of ABM validation and estimation. In particular, we argue that more research efforts should be devoted toward advancing hypothesis testing in ABM, with specific emphasis on model stationarity and ergodicity

Programming Identification Criteria in Simultaneous Equation Models

Examining the identification problem in the case of a linear econometric model can be a tedious task. The rank and order conditions are commonly used in identification for simultaneous equations models. The order condition of identifiability is an easy condition to compute, though maybe difficult to remember. The application of the rank condition, due to its complicated definition and its computational demands, is time consuming and contains a high risk for errors. Furthermore, possible miscalculations could lead to wrong identification results, which cannot be revealed by other indications. Thus, a safe way to test identification criteria is to make use of computer software. Specialized econometric software can off-load some of the requested computations but the procedure of formation and verification of the identification criteria are still up to the user. In our identification study we use the program editor of a free computer algebra system, Xcas. We present a routine that tests various identification conditions and classifies the equations under study as A >, A >, A > and A >, in just one entry

Patterns of oral anticoagulant use and outcomes in Asian patients with atrial fibrillation: a post-hoc analysis from the GLORIA-AF Registry

Background: Previous studies suggested potential ethnic differences in the management and outcomes of atrial fibrillation (AF). We aim to analyse oral anticoagulant (OAC) prescription, discontinuation, and risk of adverse outcomes in Asian patients with AF, using data from a global prospective cohort study. Methods: From the GLORIA-AF Registry Phase II-III (November 2011-December 2014 for Phase II, and January 2014-December 2016 for Phase III), we analysed patients according to their self-reported ethnicity (Asian vs. non-Asian), as well as according to Asian subgroups (Chinese, Japanese, Korean and other Asian). Logistic regression was used to analyse OAC prescription, while the risk of OAC discontinuation and adverse outcomes were analysed through Cox-regression model. Our primary outcome was the composite of all-cause death and major adverse cardiovascular events (MACE). The original studies were registered with ClinicalTrials.gov, NCT01468701, NCT01671007, and NCT01937377. Findings: 34,421 patients were included (70.0 ± 10.5 years, 45.1% females, 6900 (20.0%) Asian: 3829 (55.5%) Chinese, 814 (11.8%) Japanese, 1964 (28.5%) Korean and 293 (4.2%) other Asian). Most of the Asian patients were recruited in Asia (n = 6701, 97.1%), while non-Asian patients were mainly recruited in Europe (n = 15,449, 56.1%) and North America (n = 8378, 30.4%). Compared to non-Asian individuals, prescription of OAC and non-vitamin K antagonist oral anticoagulant (NOAC) was lower in Asian patients (Odds Ratio [OR] and 95% Confidence Intervals (CI): 0.23 [0.22-0.25] and 0.66 [0.61-0.71], respectively), but higher in the Japanese subgroup. Asian ethnicity was also associated with higher risk of OAC discontinuation (Hazard Ratio [HR] and [95% CI]: 1.79 [1.67-1.92]), and lower risk of the primary composite outcome (HR [95% CI]: 0.86 [0.76-0.96]). Among the exploratory secondary outcomes, Asian ethnicity was associated with higher risks of thromboembolism and intracranial haemorrhage, and lower risk of major bleeding. Interpretation: Our results showed that Asian patients with AF showed suboptimal thromboembolic risk management and a specific risk profile of adverse outcomes; these differences may also reflect differences in country-specific factors. Ensuring integrated and appropriate treatment of these patients is crucial to improve their prognosis. Funding: The GLORIA-AF Registry was funded by Boehringer Ingelheim GmbH