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by Blake LeBaron, Cars Hommes
Computational Economics: Heterogeneous Agent Modeling
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Title page
Table of Contents
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Contributors
Introduction to the Series
Introduction to the Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling
Part 1: Macroeconomics
Chapter 1: Heterogeneous Expectations and Micro-Foundations in Macroeconomics
Abstract
1. Introduction
2. Expectations Operators and Bounded Rationality
3. Equilibria with Heterogeneous Expectations
4. Asset-Pricing Applications
5. Monetary Applications
6. DSGE Applications
7. Conclusion
References
Chapter 2: Agent-Based Macroeconomics
Abstract
1. Introduction
2. Design of Agent-Based Macroeconomic Models
3. Comparison of Existing Agent-Based Macroeconomic Models
4. Policy Analysis
5. Conclusions and Outlook
Appendix A. Summary of Selected Agent-Based Macroeconomic Models
Appendix B. List of Symbols
References
Chapter 3: Endogenous Firm Dynamics and Labor Flows via Heterogeneous Agents
Abstract
1. Introduction
2. Dynamics of Team Production
3. From One Team to Six Million Firms, Computationally
4. Model Variations: Sensitivity and Robustness
5. Summary and Conclusions
Appendix A. Generalized Preference Specifications
Appendix B. Generalized Compensation and Nash Stability
Appendix C. Sensitivity to ‘Sticky’ Effort Adjustment
Appendix D. Extension: Stabilizing Effect of Agent Loyalty
Appendix E. Extension: Hiring
Appendix F. Extension: Effort Monitoring and Worker Termination
References
Chapter 4: Heterogeneous Agents in the Macroeconomy: Reduced-Heterogeneity Representations
Abstract
1. Introduction
2. The Economic Problem and Notations
3. No-Trade Equilibria
4. Small-Heterogeneity Models
5. Truncated-History Models
6. Optimal Policies
7. Comparison with Other Approach Using Perturbation Methods
8. Heterogeneous Expectations
9. Concluding Remarks
References
Part 2: Finance
Chapter 5: Heterogeneous Agent Models in Finance
Abstract
1. Introduction
2. HAMs of Single Asset Market in Discrete-Time
3. HAMs of Single Asset Market in Continuous-Time
4. HAMs of Multi-Asset Markets and Financial Market Interlinkages
5. HAMs and House Price Dynamics
6. HAMs and Market Microstructure
7. Conclusion and Future Research
References
Chapter 6: Models of Financial Stability and Their Application in Stress Tests
Abstract
1. Introduction
2. Two Approaches to Modeling Systemic Risk
3. A View of the Financial System
4. Leverage and Endogenous Dynamics in a Financial System
5. Contagion in Financial Networks
6. From Models to Policy: Stress Tests
7. Microprudential Stress Tests
8. Macroprudential Stress Tests
9. The Future of System-Wide Stress Tests
10. Conclusion
References
Chapter 7: Agent-Based Models for Market Impact and Volatility
Abstract
1. Introduction
2. The Statistics of Price Changes: A Short Overview
3. The Square-Root Impact Law
4. The Santa-Fe “Zero-Intelligence” Model
5. An Improved Model for the Dynamics of Liquidity
6. Walrasian Auctions and the Square-Root Law
7. The Information Content of Prices
8. Conclusions and Open Problems
Acknowledgements
References
Chapter 8: Empirical Validation of Agent-Based Models
Abstract
1. Introduction
2. Estimation of Agent-Based Models in Other Fields
3. Reduced Form Models
4. Estimation Methods
5. Applications of Agent-Based Models
6. Conclusion
References
Part 3: Experiments
Chapter 9: Heterogeneous Agent Modeling: Experimental Evidence
Abstract
1. Introduction
2. Heterogeneity and Bounded Rationality in Decision Making
3. Heterogeneity and Monetary Policy
4. Heterogeneity in Equilibrium Selection
5. Conclusion
References
Chapter 10: Levels of Reasoning in Keynesian Beauty Contests: A Generative Framework
Abstract
1. Introduction
2. An Overview of Experimental Economics
3. The Keynesian Beauty Contest: A Generative Framework for Archetypal Games in Economics
4. Behavioral Regularities in BC-Experiments and Level-k
5. Elicitation Methods
6. Discussion
References
Part 4: Networks
Chapter 11: Empirical Analyses of Networks in Finance
Abstract
1. Introduction
2. A Brief Historical Perspective About the Use of Network Science in Economics and Finance
3. Network Approaches to Financial Stability: The Interbank Market
4. Networks and Information Filtering
5. Indirect Channels of Contagion
6. Concluding Remarks
Acknowledgements
Appendix A. Basic Concepts in Network Science
Appendix B. Econometrics Systemic Risk Measure
References
Chapter 12: Heterogeneity and Networks
Abstract
1. Introduction and Overview
2. Networks: Terminology
3. The Theory of Network Formation
4. Networks and Individual Behavior
5. Combining Actions and Link Formation
6. Concluding Remarks
References
Part 5: Other Applications
Chapter 13: Electric Power Markets in Transition: Agent-Based Modeling Tools for Transactive Energy Support
Abstract
1. Introduction
2. Agent-Based Computational Economics: Overview
3. Early ACE Research on Electric Power Systems
4. Transactive Energy Systems Research: Overview
5. ACE Support for TES Research on Demand Response
6. ACE Support for TES Research on Contract Design
7. Conclusion
Acknowledgements
References
Part 6: Perspectives on Heterogeneity
Chapter 14: Modeling a Heterogeneous World
Abstract
1. Heterogeneity and Standard Economics
2. Heterogeneity in Microeconomics: Fish Markets
3. Heterogeneity in Financial Markets: The Implications of a Volatility Shock
4. Heterogeneity in the Macro-Financial System
5. Conclusion
References
Index
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Table of Contents
Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling
Cars Hommes
Blake LeBaron
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