Heterogeneous Agent Models in Finance✶
Roberto Dieci⁎; Xue-Zhong He†,1 ⁎University of Bologna, Bologna, Italy†University of Technology Sydney, Sydney, NSW, Australia1Corresponding author. email address: tony.he1@uts.edu.au
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 ...
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