Kavli Affiliate: Feng Wang | First 5 Authors: Peng Yang, Junji Ren, Feng Wang, Ke Tang, | Summary: The fidelity of financial market simulation is restricted by the so-called "non-identifiability" difficulty when calibrating high-frequency data. This paper first analyzes the inherent loss of data information in this difficulty, and proposes to use the Kolmogorov-Smirnov test […]
Continue.. Towards Calibrating Financial Market Simulators with High-frequency Data