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- W2898868932 abstract "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." @default.
- W2898868932 created "2018-11-09" @default.
- W2898868932 creator A5000121536 @default.
- W2898868932 creator A5066134608 @default.
- W2898868932 date "2018-01-01" @default.
- W2898868932 modified "2023-10-17" @default.
- W2898868932 title "Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”, hosted by the Amsterdam School of Economics, University of Amsterdam, for insightful discussions and suggestions. We would like to dedicate this survey to the memory of Carl Chiarella who inspired and …" @default.
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