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 …

The literature on agent-based models has been highly successful in replicating many
stylized facts of financial and macroeconomic time series. Over the past decade, however …

This paper proposes a general computational framework for empirical estimation of financial
agent-based models, for which criterion functions have unknown analytical form. For this …

Capturing changes in foreign reserves and exchange rates through the exchange market
pressure, this article investigates whether economic policy uncertainty plays any role in …

This paper develops a parsimonious model by incorporating a boundedly rational agent-
based model from the finance literature into the macroeconomic framework. An empirical …

This contribution reviews the empirical literature on heterogeneous beliefs and asset price
dynamics that challenges the traditional rational agent framework. Emphasis is given to the …

Using a large panel of individual professionals' forecasts, this paper demonstrates that good
exchange rate forecasts are related to a proper understanding of fundamentals, specifically …

This paper proposes a model for credit default swap (CDS) spreads under heterogeneous
expectations to explain the escalation in sovereign European CDS spreads and the …

Active government intervention is a striking characteristic of the Chinese stock market. This
study develops a behavioral heterogeneous agent model (HAM) comprising …

One of the factors responsible for the growth of African economies is their interaction with
advanced economies such as the United States. In this regard, this study investigated the …