This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Agent-based Computational Finance In: Handbook of Computational Economics Author info | Abstract | Publisher info | Download info | Related research | Statistics LeBaron, Blake
This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF This chapter was published in: Leigh Tesfatsion & Kenneth L. Judd (ed.) Handbook of Computational Economics , , chapter 24, pages 1187-1233, 2006.This item is provided by Elsevier in its series Handbook of Computational Economics with number
2-24.
Handle: RePEc:eee:hecchp:2-24
Contact details of provider: Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
This chapter was published in the following book, which is listed on IDEAS : Leigh Tesfatsion & Kenneth L. Judd (ed.), 2006.
"Handbook of Computational Economics ,"
Handbook of Computational Economics ,
Elsevier,
edition 1, volume 2, number 2, September.
[Downloadable!] (restricted)
Keywords: Find related papers by JEL classification: C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2009.
"Smart predictors in the heterogeneous agent model ,"
Journal of Economic Interaction and Coordination ,
Springer, vol. 4(2), pages 163-172, November.
[Downloadable!] (restricted)
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008.
"Heterogeneity, Market Mechanisms, and Asset Price Dynamics ,"
Research Paper Series
231, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003.
"Bifurcation Routes to Volatility Clustering under Evolutionary Learning ,"
CeNDEF Working Papers
03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Other versions: Shu-Heng Chen & Chung-Chih Liao & Pei-Jung Chou, 2008.
"On the plausibility of sunspot equilibria ,"
Journal of Economic Interaction and Coordination ,
Springer, vol. 3(1), pages 25-41, June.
[Downloadable!] (restricted)
Hommes, C.H., 2007.
"Bounded Rationality and Learning in Complex Markets ,"
CeNDEF Working Papers
07-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Marco Raberto & Andrea Teglio & Silvano Cincotti, 2008.
"Integrating Real and Financial Markets in an Agent-Based Economic Model: An Application to Monetary Policy Design ,"
Computational Economics ,
Springer, vol. 32(1), pages 147-162, September.
[Downloadable!] (restricted)
Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008.
"More hedging instruments may destabilize markets (Revised version, April 2008) ,"
CeNDEF Working Papers
08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008.
"A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence ,"
Computational Economics ,
Springer, vol. 32(1), pages 55-72, September.
[Downloadable!] (restricted)
Hommes, C.H., 2006.
"Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006 ,"
CeNDEF Working Papers
06-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009.
"A Computational View of Market Efficiency ,"
Quantitative Finance Papers
0908.4580, arXiv.org.
[Downloadable!]
Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2006.
"More hedging instruments may destabilize markets ,"
CeNDEF Working Papers
06-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Other versions:
Florian Wagener & Cars Hommes & William Brock, 2006.
"More hedging instruments may destabilize markets ,"
Working Papers
wp06-11, Warwick Business School, Financial Econometrics Research Centre.
[Downloadable!] William Brock & Cars Hommes & Florian Wagener, 2006.
"More Hedging Instruments may destablize Markets ,"
Tinbergen Institute Discussion Papers
06-080/1, Tinbergen Institute, revised 30 Apr 2008.
[Downloadable!] Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009.
"More hedging instruments may destabilize markets ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 33(11), pages 1912-1928, November.
[Downloadable!] (restricted) Cars Hommes, 2006.
"Interacting Agents in Finance ,"
Tinbergen Institute Discussion Papers
06-029/1, Tinbergen Institute.
[Downloadable!]
Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007.
"An objective function for simulation based inference on exchange rate data ,"
Journal of Economic Interaction and Coordination ,
Springer, vol. 2(2), pages 125-145, December.
[Downloadable!] (restricted)
Other versions: Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006.
"E&F Chaos: a user friendly software package for nonlinear economic dynamics ,"
CeNDEF Working Papers
06-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Other versions: Stephan Schulmeister, 2007.
"The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics ,"
WIFO Working Papers
290, WIFO.
[Downloadable!]
Baosheng Yuan & Kan Chen, 2006.
"Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations ,"
Journal of Economic Interaction and Coordination ,
Springer, vol. 1(2), pages 189-214, November.
[Downloadable!] (restricted)
Carl Chiarella & Xue-Zhong He & Min Zheng, 2007.
"The Stochastic Dynamics of Speculative Prices ,"
Research Paper Series
208, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Chia-Hsuan Yeh, 2007.
"The role of intelligence in time series properties ,"
Computational Economics ,
Springer, vol. 30(2), pages 95-123, September.
[Downloadable!] (restricted)
Mikhail Anufriev & Tiziana Assenza & Cars Hommes & Domenico Massaro, .
"Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations ,"
Tinbergen Institute Discussion Papers
09-040/1, Tinbergen Institute.
[Downloadable!]
Mikhail Anufriev & Giulio Bottazzi, 2006.
"Behavioral Consistent Market Equilibria under Procedural Rationality ,"
Computing in Economics and Finance 2006
225, Society for Computational Economics.
[Downloadable!]
Nikola Gradojevic & Christopher J. Neely, 2008.
"The dynamic interaction of order flows and the CAD/USD exchange rate ,"
Working Papers
2008-006, Federal Reserve Bank of St. Louis.
[Downloadable!]
Verbic, Miroslav, 2006.
"Memory and Asset Pricing Models with Heterogeneous Beliefs ,"
MPRA Paper
1261, University Library of Munich, Germany.
[Downloadable!]
Tiziana Assenzay & Michele Berardi, 2008.
"Learning in a Credit Economy ,"
Centre for Growth and Business Cycle Research Discussion Paper Series
100, Economics, The Univeristy of Manchester.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.
This page was last updated on 2009-11-6.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .