{"id":"https://openalex.org/W4412107073","doi":"https://doi.org/10.1109/tcss.2025.3574236","title":"Alleviating Nonidentifiability: A High-Fidelity Calibration Objective for Financial Market Simulation With Multivariate Time Series Data","display_name":"Alleviating Nonidentifiability: A High-Fidelity Calibration Objective for Financial Market Simulation With Multivariate Time Series Data","publication_year":2025,"publication_date":"2025-07-08","ids":{"openalex":"https://openalex.org/W4412107073","doi":"https://doi.org/10.1109/tcss.2025.3574236"},"language":"en","primary_location":{"id":"doi:10.1109/tcss.2025.3574236","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tcss.2025.3574236","pdf_url":null,"source":{"id":"https://openalex.org/S2490693980","display_name":"IEEE Transactions on Computational Social Systems","issn_l":"2329-924X","issn":["2329-924X","2373-7476"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Computational Social Systems","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2407.16566","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5004702701","display_name":"Chenkai Wang","orcid":null},"institutions":[{"id":"https://openalex.org/I3045169105","display_name":"Southern University of Science and Technology","ror":"https://ror.org/049tv2d57","country_code":"CN","type":"education","lineage":["https://openalex.org/I3045169105"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chenkai Wang","raw_affiliation_strings":["Department of Statistics and Data Science, Southern University of Science and Technology, Shenzhen, China"],"raw_orcid":"https://orcid.org/0009-0003-9194-2350","affiliations":[{"raw_affiliation_string":"Department of Statistics and Data Science, Southern University of Science and Technology, Shenzhen, China","institution_ids":["https://openalex.org/I3045169105"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Junji Ren","orcid":"https://orcid.org/0009-0009-7397-4088"},"institutions":[{"id":"https://openalex.org/I3045169105","display_name":"Southern University of Science and Technology","ror":"https://ror.org/049tv2d57","country_code":"CN","type":"education","lineage":["https://openalex.org/I3045169105"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Junji Ren","raw_affiliation_strings":["Guangdong Provincial Key Laboratory of Brain-Inspired Intelligent Computation, Department of Computer Science and Engineering, Southern University of Science and Technology, Shenzhen, China"],"raw_orcid":"https://orcid.org/0009-0009-7397-4088","affiliations":[{"raw_affiliation_string":"Guangdong Provincial Key Laboratory of Brain-Inspired Intelligent Computation, Department of Computer Science and Engineering, Southern University of Science and Technology, Shenzhen, China","institution_ids":["https://openalex.org/I3045169105"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5076720384","display_name":"Peng Yang","orcid":"https://orcid.org/0000-0001-5333-6155"},"institutions":[{"id":"https://openalex.org/I3045169105","display_name":"Southern University of Science and Technology","ror":"https://ror.org/049tv2d57","country_code":"CN","type":"education","lineage":["https://openalex.org/I3045169105"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Peng Yang","raw_affiliation_strings":["Department of Statistics and Data Science, Southern University of Science and Technology, Shenzhen, China"],"raw_orcid":"https://orcid.org/0000-0001-5333-6155","affiliations":[{"raw_affiliation_string":"Department of Statistics and Data Science, Southern University of Science and Technology, Shenzhen, China","institution_ids":["https://openalex.org/I3045169105"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I3045169105"],"apc_list":null,"apc_paid":null,"fwci":6.1863,"has_fulltext":true,"cited_by_count":3,"citation_normalized_percentile":{"value":0.95885816,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":97},"biblio":{"volume":"12","issue":"6","first_page":"4910","last_page":"4922"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9136000275611877,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9136000275611877,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/calibration","display_name":"Calibration","score":0.6880491375923157},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.6200335621833801},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.6068307161331177},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.5517263412475586},{"id":"https://openalex.org/keywords/fidelity","display_name":"Fidelity","score":0.4738231897354126},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.45726335048675537},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.4121135175228119},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.38860148191452026},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3882107138633728},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2417067587375641},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2400343120098114},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2078545093536377},{"id":"https://openalex.org/keywords/telecommunications","display_name":"Telecommunications","score":0.17587992548942566},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.17105281352996826}],"concepts":[{"id":"https://openalex.org/C165838908","wikidata":"https://www.wikidata.org/wiki/Q736777","display_name":"Calibration","level":2,"score":0.6880491375923157},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.6200335621833801},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.6068307161331177},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.5517263412475586},{"id":"https://openalex.org/C2776459999","wikidata":"https://www.wikidata.org/wiki/Q2119376","display_name":"Fidelity","level":2,"score":0.4738231897354126},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.45726335048675537},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4121135175228119},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38860148191452026},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3882107138633728},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2417067587375641},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2400343120098114},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2078545093536377},{"id":"https://openalex.org/C76155785","wikidata":"https://www.wikidata.org/wiki/Q418","display_name":"Telecommunications","level":1,"score":0.17587992548942566},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.17105281352996826},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/tcss.2025.3574236","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tcss.2025.3574236","pdf_url":null,"source":{"id":"https://openalex.org/S2490693980","display_name":"IEEE Transactions on Computational Social Systems","issn_l":"2329-924X","issn":["2329-924X","2373-7476"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Computational Social Systems","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2407.16566","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2407.16566","pdf_url":"https://arxiv.org/pdf/2407.16566","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:2407.16566","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2407.16566","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2407.16566","pdf_url":"https://arxiv.org/pdf/2407.16566","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4071115985","display_name":null,"funder_award_id":"62331014","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7929321301","display_name":null,"funder_award_id":"62272210","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G8555519613","display_name":null,"funder_award_id":"62250710682","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4412107073.pdf","grobid_xml":"https://content.openalex.org/works/W4412107073.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2381850946","https://openalex.org/W4380449851","https://openalex.org/W3125091513","https://openalex.org/W4248383205","https://openalex.org/W4234745530","https://openalex.org/W2146383839","https://openalex.org/W2406638334","https://openalex.org/W2231829109","https://openalex.org/W2789577489","https://openalex.org/W2372185929"],"abstract_inverted_index":{"The":[0],"nonidentifiability":[1],"(NI)":[2],"issue":[3,31],"has":[4],"been":[5],"frequently":[6],"reported":[7],"in":[8,115,192],"social":[9,105,193],"simulation":[10,18,35,99,131,194],"works,":[11],"where":[12],"different":[13],"parameters":[14],"of":[15,64,94,119,133,174,190],"an":[16,197],"agent-based":[17],"model":[19,54,137],"yield":[20],"indistinguishable":[21],"simulated":[22],"time":[23,48],"series":[24,49],"data":[25,50],"under":[26],"certain":[27],"discrepancy":[28,81],"metrics.":[29],"This":[30,41],"largely":[32],"undermines":[33],"the":[34,53,62,92,96,112,117,134,157,172,175],"fidelity":[36,132],"yet":[37,103],"lacks":[38],"dedicated":[39],"investigations.":[40],"article":[42,180],"theoretically":[43,149],"demonstrates":[44,171],"that":[45,153],"incorporating":[46],"multiple":[47],"features":[51,65,158],"during":[52],"calibration":[55,87,120,200],"phase":[56],"can":[57,166],"exponentially":[58],"alleviate":[59],"NI":[60,118,191],"as":[61,123,154,156],"number":[63],"increases.":[66],"To":[67],"implement":[68],"this":[69,179],"theoretical":[70],"finding,":[71],"a":[72,85,101,124,187],"maximization-based":[73],"aggregation":[74],"function":[75,202],"is":[76,107,147,181],"proposed":[77,176],"based":[78],"on":[79,138],"existing":[80],"metrics":[82],"to":[83,168,183],"form":[84],"new":[86],"objective":[88,201],"function.":[89],"For":[90],"verification,":[91],"task":[93],"calibrating":[95],"financial":[97],"market":[98,143],"(FMS),":[100],"typical":[102],"complex":[104],"simulation,":[106],"considered.":[108],"Empirical":[109],"studies":[110],"confirm":[111],"significant":[113],"improvements":[114],"alleviating":[116],"tasks.":[121],"Furthermore,":[122],"model-agnostic":[125],"method,":[126],"it":[127,146],"achieves":[128],"much":[129],"higher":[130],"chosen":[135],"FMS":[136],"both":[139,148],"synthetic":[140],"and":[141,150,161],"real":[142],"data.":[144],"Moreover,":[145],"empirically":[151],"analyzed":[152],"long":[155],"are":[159],"selected":[160],"not":[162,185],"linearly":[163],"correlated,":[164],"they":[165],"contribute":[167],"alleviation,":[169],"which":[170],"robustness":[173],"objective.":[177],"Hence,":[178],"expected":[182],"provide":[184],"only":[186],"rigorous":[188],"understanding":[189],"but":[195],"also":[196],"off-the-shelf":[198],"high-fidelity":[199],"for":[203],"FMS.":[204]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2}],"updated_date":"2025-12-03T23:09:05.601824","created_date":"2025-10-10T00:00:00"}