Chapter 23 Heterogeneous Agent Models in Economics and Finance

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Macroprudential Policy - A Literature Review (2012, unknown): “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).”
Oil price dynamics: A behavioral finance approach with heterogeneous agents (2010, unknown): “The models that arose from this theory are known as Heterogeneous Agents Models (HAMs); see Hommes (2006) for an overview.”
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.”
Negative bubbles and shocks in cryptocurrency markets (2016, unknown): “…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…”