Heterogeneous agent models in economics and finance
This chapter surveys work on dynamic heterogeneous agent models (HAMs) in economics
and finance. Emphasis is given to simple models that, at least to some extent, are tractable …
and finance. Emphasis is given to simple models that, at least to some extent, are tractable …
Agent-based economic models and econometrics
This paper reviews the development of agent-based (computational) economics (ACE) from
an econometrics viewpoint. The review comprises three stages, characterizing the past, the …
an econometrics viewpoint. The review comprises three stages, characterizing the past, the …
[ספר][B] Behavioral rationality and heterogeneous expectations in complex economic systems
C Hommes - 2013 - books.google.com
Recognising that the economy is a complex system with boundedly rational interacting
agents, the book presents a theory of behavioral rationality and heterogeneous expectations …
agents, the book presents a theory of behavioral rationality and heterogeneous expectations …
The price dynamics of common trading strategies
A deterministic trading strategy can be regarded as a signal processing element that uses
external information and past prices as inputs and incorporates them into future prices. This …
external information and past prices as inputs and incorporates them into future prices. This …
Market force, ecology and evolution
Markets have internal dynamics leading to excess volatility and other phenomena that are
difficult to explain using rational expectations models. This paper studies these using a …
difficult to explain using rational expectations models. This paper studies these using a …
Agent-based models of financial markets
E Samanidou, E Zschischang… - Reports on Progress in …, 2007 - iopscience.iop.org
This review deals with several microscopic ('agent-based') models of financial markets
which have been studied by economists and physicists over the last decade: Kim …
which have been studied by economists and physicists over the last decade: Kim …
Financial markets as nonlinear adaptive evolutionarysystems
Recent work on complex adaptive systems for modelling financial markets is surveyed.
Financial markets are viewed as evolutionary systems between different, competing trading …
Financial markets are viewed as evolutionary systems between different, competing trading …
Exchange rate puzzles: a tale of switching attractors
P De Grauwe, M Grimaldi - European Economic Review, 2006 - Elsevier
The rational expectations efficient market model of the exchange rate has failed empirically.
In this paper, we develop a model of the exchange rate in which agents use simple …
In this paper, we develop a model of the exchange rate in which agents use simple …
Heterogeneous agent models in finance
This chapter surveys the state-of-art of heterogeneous agent models (HAMs) in finance
using a jointly theoretical and empirical analysis, combined with numerical analysis from the …
using a jointly theoretical and empirical analysis, combined with numerical analysis from the …
The exchange rate in a behavioral finance framework
P De Grauwe, M Grimaldi - 2018 - torrossa.com
The study of exchange rates has undergone large fluctuations, very much like the exchange
rates themselves. During the 1970s, when the exchange rates of the major currencies were …
rates themselves. During the 1970s, when the exchange rates of the major currencies were …