In reaction to the recent financial crisis, increased attention has recently been given to
financial transaction taxes (FTTs) as a means of (1) raising revenue for a variety of possible …

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 …

In this paper we develop a model of an order-driven market where traders set bids and asks
and post market or limit orders according to exogenously fixed rules. Agents are assumed to …

In this review we discuss advances in the agent-based modeling of economic and social
systems. We show the state of the art of the heuristic design of agents and how behavioral …

Models with heterogeneous interacting agents have proven to be quite successful in the
past. For instance, such models are able to mimic the dynamics of financial markets quite …

We build an agent-based model to study how the interplay between low-and high-frequency
trading affects asset price dynamics. Our main goal is to investigate whether high-frequency …

The debate about the Tobin tax, and other financial transaction taxes (FTTs), gives rise to
strong views both for and against. Unfortunately, little of the popular debate refers to the now …

We propose a financial market model in which speculators follow a linear mix of technical
and fundamental trading rules to determine their orders. Volatility clustering arises in our …

We analyze the impact of the introduction of the French Tobin tax on the turnover and
measures of the liquidity and volatility of the affected stocks with nonparametric tests on …

We investigate the effects of a set of regulatory policies directed towards high-frequency
trading (HFT) through an agent-based model of a limit order book able to generate flash …