Book description
Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity.
- Helps readers fully understand the dynamic properties of realistically rendered economic systems
- Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions
- Provides broad assessments that can lead researchers to recognize new synergies and opportunities
Table of contents
- Cover image
- Title page
- Table of Contents
- Copyright
- Contributors
- Introduction to the Series
- Introduction to the Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling
-
Part 1: Macroeconomics
- Chapter 1: Heterogeneous Expectations and Micro-Foundations in Macroeconomics
- Chapter 2: Agent-Based Macroeconomics
-
Chapter 3: Endogenous Firm Dynamics and Labor Flows via Heterogeneous Agents
- Abstract
- 1. Introduction
- 2. Dynamics of Team Production
- 3. From One Team to Six Million Firms, Computationally
- 4. Model Variations: Sensitivity and Robustness
- 5. Summary and Conclusions
- Appendix A. Generalized Preference Specifications
- Appendix B. Generalized Compensation and Nash Stability
- Appendix C. Sensitivity to ‘Sticky’ Effort Adjustment
- Appendix D. Extension: Stabilizing Effect of Agent Loyalty
- Appendix E. Extension: Hiring
- Appendix F. Extension: Effort Monitoring and Worker Termination
- References
- Chapter 4: Heterogeneous Agents in the Macroeconomy: Reduced-Heterogeneity Representations
-
Part 2: Finance
-
Chapter 5: Heterogeneous Agent Models in Finance
- Abstract
- 1. Introduction
- 2. HAMs of Single Asset Market in Discrete-Time
- 3. HAMs of Single Asset Market in Continuous-Time
- 4. HAMs of Multi-Asset Markets and Financial Market Interlinkages
- 5. HAMs and House Price Dynamics
- 6. HAMs and Market Microstructure
- 7. Conclusion and Future Research
- References
-
Chapter 6: Models of Financial Stability and Their Application in Stress Tests
- Abstract
- 1. Introduction
- 2. Two Approaches to Modeling Systemic Risk
- 3. A View of the Financial System
- 4. Leverage and Endogenous Dynamics in a Financial System
- 5. Contagion in Financial Networks
- 6. From Models to Policy: Stress Tests
- 7. Microprudential Stress Tests
- 8. Macroprudential Stress Tests
- 9. The Future of System-Wide Stress Tests
- 10. Conclusion
- References
-
Chapter 7: Agent-Based Models for Market Impact and Volatility
- Abstract
- 1. Introduction
- 2. The Statistics of Price Changes: A Short Overview
- 3. The Square-Root Impact Law
- 4. The Santa-Fe “Zero-Intelligence” Model
- 5. An Improved Model for the Dynamics of Liquidity
- 6. Walrasian Auctions and the Square-Root Law
- 7. The Information Content of Prices
- 8. Conclusions and Open Problems
- Acknowledgements
- References
- Chapter 8: Empirical Validation of Agent-Based Models
-
Chapter 5: Heterogeneous Agent Models in Finance
- Part 3: Experiments
-
Part 4: Networks
-
Chapter 11: Empirical Analyses of Networks in Finance
- Abstract
- 1. Introduction
- 2. A Brief Historical Perspective About the Use of Network Science in Economics and Finance
- 3. Network Approaches to Financial Stability: The Interbank Market
- 4. Networks and Information Filtering
- 5. Indirect Channels of Contagion
- 6. Concluding Remarks
- Acknowledgements
- Appendix A. Basic Concepts in Network Science
- Appendix B. Econometrics Systemic Risk Measure
- References
- Chapter 12: Heterogeneity and Networks
-
Chapter 11: Empirical Analyses of Networks in Finance
-
Part 5: Other Applications
-
Chapter 13: Electric Power Markets in Transition: Agent-Based Modeling Tools for Transactive Energy Support
- Abstract
- 1. Introduction
- 2. Agent-Based Computational Economics: Overview
- 3. Early ACE Research on Electric Power Systems
- 4. Transactive Energy Systems Research: Overview
- 5. ACE Support for TES Research on Demand Response
- 6. ACE Support for TES Research on Contract Design
- 7. Conclusion
- Acknowledgements
- References
-
Chapter 13: Electric Power Markets in Transition: Agent-Based Modeling Tools for Transactive Energy Support
- Part 6: Perspectives on Heterogeneity
- Index
Product information
- Title: Computational Economics: Heterogeneous Agent Modeling
- Author(s):
- Release date: June 2018
- Publisher(s): North Holland
- ISBN: 9780444641328
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