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Heterogeneous Agent Models in Finance

Citations

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Cited by:

  1. Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021. "Heterogeneous expectations, housing bubbles and tax policy," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
  2. Serena Sordi & Marwil J. Dávila-Fernández, 2020. "Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 867-897, October.
  3. Aït-Youcef, Camille & Joëts, Marc, 2024. "The role of index traders in the financialization of commodity markets: A behavioral finance approach," Energy Economics, Elsevier, vol. 136(C).
  4. Annalisa Cristini & Piero Ferri, 2021. "Nonlinear models of the Phillips curve," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1129-1155, September.
  5. Sarah Mignot & Frank Westerhoff, 2023. "Revisiting Paul de Grauwe’s Chaotic Exchange Rate Model: New Analytical Insights and Agent-Based Explorations," Open Economies Review, Springer, vol. 34(1), pages 155-169, February.
  6. Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
  7. Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  8. Rzeszutek, Marcin & Godin, Antoine & Szyszka, Adam & Augier, Stanislas, 2020. "Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability: Analysis using an agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  9. Staccioli, Jacopo & Napoletano, Mauro, 2021. "An agent-based model of intra-day financial markets dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 331-348.
  10. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
  11. Kukacka, Jiri & Kristoufek, Ladislav, 2021. "Does parameterization affect the complexity of agent-based models?," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 324-356.
  12. Ivan Jericevich & Murray McKechnie & Tim Gebbie, 2021. "Calibrating an adaptive Farmer-Joshi agent-based model for financial markets," Papers 2104.09863, arXiv.org.
  13. Qixuan Luo & Yu Shi & Xuan Zhou & Handong Li, 2021. "Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1025-1049, December.
  14. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  15. Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
  16. Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
  17. Luca Guerrini & Akio Matsumoto & Ferenc Szidarovszky, 2018. "A heterogeneous agent model of asset price dynamics with two time delays," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 379-397, November.
  18. Giulio Cifarelli and Paolo Paesani, 2021. "Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  19. Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
  20. Nishiwaki, Takashi, 2022. "Impact of different investment horizons in heterogeneous agent models: Do long-term traders bring market stability?," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 393-401.
  21. Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021. "Speculative asset price dynamics and wealth taxes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
  22. Biondo, Alessio Emanuele & Mazzarino, Laura & Pluchino, Alessandro, 2024. "Trading strategies and Financial Performances: A simulation approach," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  23. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
  24. Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
  25. Jason M. Barr, 2019. "Domenico Delli Gatti, Giorgio Fagiolo, Mauro Gallegati, Matteo Richiardi and Alberto Russo (eds): Agent-Based Models in Economics: A Toolkit," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(3), pages 477-480, June.
  26. Laura Gardini & Davide Radi & Noemi Schmitt & Iryna Sushko & Frank Westerhoff, 2024. "On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model," Papers 2410.21198, arXiv.org.
  27. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
  28. Piero Ferri & Annalisa Cristini & Anna Maria Variato, 2019. "Growth, unemployment and heterogeneity," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 573-593, September.
  29. Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
  30. Rebecca Westphal & Didier Sornette, 2024. "How Market Intervention can Prevent Bubbles and Crashes: An Agent Based Modelling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1315-1356, September.
  31. Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
  32. Zheng, Huanhuan, 2020. "Coordinated bubbles and crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  33. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  34. He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  35. Galanis, Giorgos & Kollias, Iraklis & Leventidis, Ioanis & Lustenhouwer, Joep, 2022. "Generalizing Heterogeneous Dynamic Heuristic Selection," CRETA Online Discussion Paper Series 73, Centre for Research in Economic Theory and its Applications CRETA.
  36. Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
  37. Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  38. Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
  39. Zafer Akin, 2023. "Asymmetric guessing games," Theory and Decision, Springer, vol. 94(4), pages 637-676, May.
  40. Zila, Eric & Kukacka, Jiri, 2023. "Moment set selection for the SMM using simple machine learning," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 366-391.
  41. Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series 177, Bamberg University, Bamberg Economic Research Group.
  42. Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
  43. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  44. Mikhail Anufriev & Davide Radi & Fabio Tramontana, 2018. "Some reflections on past and future of nonlinear dynamics in economics and finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 91-118, November.
  45. Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
  46. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  47. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  48. Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  49. Rebecca Westphal & Didier Sornette, 2020. "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series 20-74, Swiss Finance Institute.
  50. Herbert Dawid & Philipp Harting & Sander van der Hoog, 2019. "Manager remuneration, share buybacks, and firm performance," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 28(3), pages 681-706.
  51. Kukacka, Jiri & Sacht, Stephen, 2023. "Estimation of heuristic switching in behavioral macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  52. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  53. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
  54. Georges, Christophre & Pereira, Javier, 2021. "Market stability with machine learning agents," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
  55. Tiziana Assenza & Jakob Grazzini & Domenico Massaro, 2019. "Introduction to the special issue," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 431-436, September.
  56. Cerruti, Gianluca & Lombardini, Simone, 2022. "Financial bubbles as a recursive process lead by short-term strategies," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 555-568.
  57. Anufriev, Mikhail & Arifovic, Jasmina & Ledyard, John & Panchenko, Valentyn, 2022. "The role of information in a continuous double auction: An experiment and learning model," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
  58. Adam Majewski & Stefano Ciliberti & Jean-Philippe Bouchaud, 2018. "Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model," Papers 1807.11751, arXiv.org.
  59. Galanis, Giorgos & Kollias, Iraklis & Leventidis, Ioanis & Lustenhouwer, Joep, 2022. "Generalizing Heuristic Switching Models," Working Papers 0715, University of Heidelberg, Department of Economics.
  60. Ruiz-Buforn, Alba & Alfarano, Simone & Camacho-Cuena, Eva & Morone, Andrea, 2018. "Crowding out effect and traders' overreliance on public information in financial markets: a lesson from the lab," MPRA Paper 88866, University Library of Munich, Germany.
  61. Dicks, Matthew & Paskaramoorthy, Andrew & Gebbie, Tim, 2024. "A simple learning agent interacting with an agent-based market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 633(C).
  62. Roberto Dieci & Xue-Zhong He, 2021. "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 727-754, December.
  63. Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022. "On the destabilizing nature of capital gains taxes," International Review of Financial Analysis, Elsevier, vol. 83(C).
  64. Oldham, Matthew, 2020. "Quantifying the concerns of Dimon and Buffett with data and computation," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  65. Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.
  66. Schmitt, Noemi & Westerhoff, Frank, 2021. "Pricking asset market bubbles," Finance Research Letters, Elsevier, vol. 38(C).
  67. Alessia Cafferata & Marwil J. Dávila-Fernández & Serena Sordi, 2020. "(Ir)rational explorers in the financial jungle: modelling Minsky with heterogeneous agents," Department of Economics University of Siena 819, Department of Economics, University of Siena.
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