Introduction to the Series
by Blake LeBaron, Cars Hommes
Computational Economics: Heterogeneous Agent Modeling
- Cover image
- Title page
- Table of Contents
- Copyright
- 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
- Chapter 2: Agent-Based Macroeconomics
- 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
- 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
- Chapter 5: Heterogeneous Agent Models in Finance
- Part 3: Experiments
- 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
- Chapter 11: Empirical Analyses of Networks in Finance
- 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
- Chapter 13: Electric Power Markets in Transition: Agent-Based Modeling Tools for Transactive Energy Support
- Part 6: Perspectives on Heterogeneity
- Index
-
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