This paper reviews the development of agent-based (computational) economics (ACE) from
an econometrics viewpoint. The review comprises three stages, characterizing the past, the …

In the framework of small-scale agent-based financial market models, the paper starts out
from the concept of structural stochastic volatility, which derives from different noise levels in …

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 …

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 …

This book aims to answer two questions that are fundamental to the study of agent-based
economic models: what is agent-based computational economics and why do we need …

The paper takes a recent agent-based asset pricing model by Manzan and Westerhoff from
the literature and applies the method of simulated moments to estimate its six parameters. In …

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 …

Based on a behavioral exchange rate model, we show that a central bank that conducts
competitive interventions to promote its economy may devalue its currency, albeit at the …

This paper empirically assesses heterogeneous expectations in asset pricing. We use a
maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical …

This paper examines heterogeneity in exchange rate expectations. Whereas agents'
heterogeneity is key in modern exchange rate models, evidence on determinants of …