Agent-based Computational Finance

By Blake LeBaron. 2006

862 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

NEW DIRECTIONS FOR URBAN ECONOMIC MODELS OF LAND USE CHANGE: INCORPORATING SPATIAL DYNAMICS AND HETEROGENEITY (2010, methodology): “These models have been adapted C© 2010, Wiley Periodicals, Inc. and developed by some economists, particularly in the area of finance (LeBaron, 2006; LeBaron and Tesfatsion, 2008).”
Heterogeneous expectations, exchange rate dynamics and predictability (2007, neutral): “For recent surveys of this topic see Hommes (2006) and LeBaron (2006).”
Confidence and the Stock Market: An Agent-Based Approach (2014, background): “LeBaron [14] describes how building an agent-based artificial financial market involves a number of design problems associated with the trading environment.”
Time-varying beta: a boundedly rational equilibrium approach (2010, neutral): “We refer the reader to Tesfatsion and Judd (2006) and Hens and Schenk-Hoppe (2009), in particular, Hommes (2006), LeBaron (2006) and Chiarella et al. (2009) for surveys of recent literature on HAMs.”
Econophysics: Empirical facts and agent-based models (2009, neutral): “LeBaron (2006b) shows that this type of modelling offers good flexibility for reproducing some of the stylized facts and LeBaron (2006a) provides a review of that type of model.”
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 2006, pp.1109-1186 (2005, methodology): “The models reviewed in this chapter may be viewed as simple, stylized versions of the more complicated “artifical markets” and computationally oriented agent-based simulation models reviewed in the chapter of LeBaron (2005) in this handbook.”
Complex Evolutionary Systems in Behavioral Finance (2008, methodology): “The LTL theory discussed here as well as its extensions can be used to form a bridge between an analytical approach and the literature on evolutionary artificial market simulation models reviewed in LeBaron (2000,2006).”
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).”
Credit Money and Macroeconomic Instability in the Agent-based Model and Simulator Eurace (2010, background): “In the last decade, in the ACE field, there have been many studies regarding finance (see LeBaron (2006) for a review), while others have focused on labour and goods market Tassier (2001), Tesfatsion (2001) or industrial organization E. Kutschinski and Polani (2003).”
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010, background): “…some stochastic versions of these models aim at matching the stylized facts of financial markets – several interesting contributions are presented in LeBaron (2006); Lux (2009) and Chen et al. (2010)1 – other studies focus on deterministic setups to improve our basic knowledge of what drives…”
Agent-based computational economics : A constructive approach to economic theory (2006, neutral): “Epstein (2005), Hommes (2005), Howitt (2005), LeBaron (2005) , and Leijonhufvud (2005).”
INTEREST RATE RULES AND MACROECONOMIC STABILITY UNDER HETEROGENEOUS EXPECTATIONS (2012, positive): “These heterogeneous agent models mimic important observed stylized facts in asset returns, such as fat tails, clustered volatility and long memory, as discussed e.g. in the extensive surveys of LeBaron (2006) and Hommes (2006).”