TY -
GEN
AU - Dieci, Roberto
AU - He, Xue-Zhong
TI -
Chapter 5. Heterogeneous Agent Models in Finance
SN - 9780444641328
SN - 0444641327
KW - Heterogeneity
KW - Bounded rationality
KW - Heterogeneous agent-based models
KW - Stylized facts
KW - Asset pricing
KW - Housing bubbles
KW - Limit order markets
KW - Information efficiency
KW - Comovement
PY - 2018
N2 - 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.
UR - http://slubdd.de/katalog?TN_libero_mab2
ER -