Heterogeneous Agent Models in Finance

Dieci, R; He, XZ

Heterogeneous Agent Models in Finance

Dieci, R He, XZ

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Publication Type:: Chapter
Citation:: 2018, 4 pp. 257 - 328
Issue Date:: 2018-01-01

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Field	Value	Language
dc.contributor.author	Dieci, R	en_US
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.date.issued	2018-01-01	en_US
dc.identifier.citation	2018, 4 pp. 257 - 328	en_US
dc.identifier.isbn	9780444641311	en_US
dc.identifier.uri	http://hdl.handle.net/10453/129178
dc.description.abstract	© 2018 Elsevier B.V. This chapter surveys the state-of-art of heterogeneous agent models (HAMs) in finance using a jointly theoretical and empirical analysis, combined with numerical analysis from the latest development in computational finance. It provides supporting evidence on the explanatory power of HAMs to various stylized facts and market anomalies through model calibration, estimation, and economic mechanisms analysis. It presents HAMs with the mainstream finance a unified framework in continuous time to study the impact of historical price information on price dynamics, profitability and optimality of fundamental and momentum trading. It demonstrates how HAMs can help to understand stock price co-movements and evolutionary CAPM. It also introduces a new HAMs perspective on house price dynamics and an integrate approach to study dynamics of limit order markets. The survey provides further insights into the complexity and efficiency of financial markets and policy implications.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP130103210
dc.relation.isbasedon	10.1016/bs.hescom.2018.03.002	en_US
dc.subject.classification	Economics	en_US
dc.title	Heterogeneous Agent Models in Finance	en_US
dc.type	Chapter
utslib.citation.volume	4	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	4	en_US

Abstract:

© 2018 Elsevier B.V. This chapter surveys the state-of-art of heterogeneous agent models (HAMs) in finance using a jointly theoretical and empirical analysis, combined with numerical analysis from the latest development in computational finance. It provides supporting evidence on the explanatory power of HAMs to various stylized facts and market anomalies through model calibration, estimation, and economic mechanisms analysis. It presents HAMs with the mainstream finance a unified framework in continuous time to study the impact of historical price information on price dynamics, profitability and optimality of fundamental and momentum trading. It demonstrates how HAMs can help to understand stock price co-movements and evolutionary CAPM. It also introduces a new HAMs perspective on house price dynamics and an integrate approach to study dynamics of limit order markets. The survey provides further insights into the complexity and efficiency of financial markets and policy implications.

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http://hdl.handle.net/10453/129178