Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam…

By Cars H. Hommes. 2005

983 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/27701eb1de79cadebc2a915cfc280cbffb96e660

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Citations in the corpus

A simple model of a speculative housing market (2012, methodology): “…in our view, by explicitly introducing behavioral heterogeneity in speculative demand as well as the possibility of endogenous changes in market sentiment.3 Our approach is inspired by recent work on agent-based financial market models (see Hommes 2006 and LeBaron 2006 for comprehensive surveys).”
Macroprudential Policy - A Literature Review (2012, positive): “This research focuses explicitly on the degree of complexity, interconnection, non-linearity, diversity and uncertainty (Hommes 2006, 2008, 2009; Hommes and Wagener, 2009; LeBaron and Tesfatsion, 2008).”
Negative bubbles and shocks in cryptocurrency markets (2016, methodology): “…asset returns distributions (Cont, 2001), empirical power-laws (Gabaix et al., 2003; Plerou et al. 2004), agent-based modelling (see e.g. Hommes, 2006; Le Baron, 2006), income-tax evasion (Pickhardt and Seibold, 2014), speculative bubbles (Johansen et al., 2000; Sornette, 2003) and the…”
Natural language based financial forecasting: a survey (2017, background): “As in heterogeneous agent models (HAM) [51], stock cycles still appear in efficient market.”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, background): “This heterogeneous agent literature can be classified as either theoretically or computationally oriented in general, and has been extensively discussed in two recent surveys by Hommes (2006) and LeBaron (2006).”
Behavioral & Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach (2018, methodology): “In the last two decades a large behavioural literature on heterogeneous agents models (HAMs) with boundedly rational agents having heterogeneous expectations has developed; see e.g. the extensive survey in Hommes (2006) and, more recently, the survey in Dieci & He (2018).”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “Additional indirect support for non-fundamental price influences in foreign exchange markets is provided by recent models with heterogeneous agents (Hommes, 2005).”
Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012, background): “1 Recent surveys on this research are Hommes (2006), LeBaron (2006), Chiarella et al. (2009), Lux (2009) and Westerhoff (2009), among others.”
Heterogeneous expectations, exchange rate dynamics and predictability (2007, neutral): “∗Corresponding author.”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “This literature is surveyed in Hommes (2006) and Chiarella (2007); see also Lux (2009), who discusses in detail how well models with interacting agents match important stylized facts such as fat tails in the returns distribution and long memory.”
Crises and Collective Socio-Economic Phenomena: Simple Models and Challenges (2012, neutral): “[122, 123], and for recent reviews, [124–127]).”
Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (2012, positive): “2 Learning-to-forecast experiments A number of computerized learning-to-forecast experiments (LtFEs) have been performed in the CREED laboratory at the University of Amsterdam, see Hommes (2011) for an overview.”
Heterogeneity, convergence, and autocorrelations (2008, background): “Email: tony.hel@uts.edu.au ySee surveys by Hommes (2006) and LeBaron (2006). zSee, e.g., Andersen and Sornette (2003), Arthur et al. (1997), Brock and Hommes (1997), Hommes (2002), Brock and LeBaron (1996), Bullard and Duffy (1999), Chen and Yeh (1997, 2002), Chiarella (1992), Chiarella et al.…”
The Complexity Era in Economics (2011, background): “A fundamental source of this may involve problems associated with the incompleteness concept of Gödel (Lewis, 1985).”