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The Heterogeneous Agents Approach to Financial Markets – Development and Milestones

In: Handbook on Information Technology in Finance

Author

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  • Jörn Dermietzel

    (Universität Karlsruhe (TH))

Abstract

For economists financial markets are one of the most interesting mechanisms to investigate. One reason is the availability of tons of data ranging from high frequency data to long term observations covering several decades. On the basis of these huge data sets it is possible to study the dynamics of asset prices balancing supply and demand. On the other hand there is a sound theoretical basis that has mainly been developed in the last century. The results from this theory are based on strict assumptions in order to enabled researchers to derive and to solve analytical models for financial markets.

Suggested Citation

  • Jörn Dermietzel, 2008. "The Heterogeneous Agents Approach to Financial Markets – Development and Milestones," International Handbooks on Information Systems, in: Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), Handbook on Information Technology in Finance, chapter 19, pages 443-464, Springer.
  • Handle: RePEc:spr:ihichp:978-3-540-49487-4_19
    DOI: 10.1007/978-3-540-49487-4_19
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