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