Computational Economics: Heterogeneous Agent Modeling

Cars Hommes is one of the pioneers in complexity economics. His work on nonlinear complex economic systems challenges the traditional neoclassical paradigm of the representative rational agent in economics. In a rational world the economy is characterized by an average agent (consumer, producer, investor, etc.), who is a perfect optimizer with rational expectations about the future. Hommes' work develops an alternative complexity paradigm based on agent-based behavioral complexity models.He has published more than 100 articles in leading international journals and book chapters and he is the author and editor of four books. He has been Editor of the Journal of Economic Dynamics and Control (2002-2012) and is the president elect of the international Society of Computational Economics. Blake LeBaron has a Ph.D. in Economics from the University of Chicago. He is the Abram L. and Thelma Sachar Chair of International Economics at the International Business School, Brandeis University. He is a Research Associate at the National Bureau of Economic Research, and was a Sloan Fellow. LeBaron also served as director of the Economics Program at The Santa Fe Institute in 1993. LeBaron's research has concentrated on the issue of nonlinear behavior of financial and macroeconomic time series. He has been influential both in the statistical detection of nonlinearities and in describing their qualitative behavior in many series. LeBaron's current interests are in understanding the quantitative dynamics of interacting systems of adaptive agents and how these systems replicate observed real world phenomenon. Also, LeBaron is interested in understanding some of the observed behavioral characteristics of traders in financial markets. This behavior includes strategies such as technical analysis and portfolio optimization, along with policy questions such as foreign exchange intervention. In general, he seeks to find out the empirical implications of learning and adaptation as applied to finance and macroeconomics.

"This timely and very impressive handbook volume provides in-depth survey essays on major recent developments in heterogeneous agent modeling in economics. The editors of the volume and the authors of the individual chapters are pioneers and leading researchers in this emergent area of study. The volume will be an essential resource for economists and graduate students who are working with or interested in heterogeneous agent models." --Journal of Economic Literature

• Introduction: Why heterogeneity?Cars Hommes and Blake LeBaronMacroeconomics1. Bounded Rationality and Heterogeneous Agents in Macroeconomics: MicrofoundationsWilliam Branch and Bruce McGough2. Agent-based Macroeconomics (including policy & innovation)Herbert Dawid and Domenico Delli Gatti3. Firm DynamicsRobert Axtell4. Heterogeneous agents in the Macroeconomy: Reduced-heterogeneity representationsXavier RagotFinance5. Heterogeneous Agent Models in FinanceXue-Zhong (Tony) He and Roberto Dieci6. Leverage CyclesDoyne Farmer7. Market MicrostructureJean-Philippe BouchaudEmpirical validation and experiments8. Empirical Validation of Heterogeneous Agent ModelsThomas Lux and Remco Zwinkels9. Experimental MacroeconomicsJasmina Arifovic and John Duffy10. Experimental GamesRosemarie Nagel and Felix MauersbergerNetworks11. Complex Financial NetworksGiulia Iori and Rosario N. Mantegna12. Economic and Social NetworksSanjeev GoyalOther Applications13. Market Design and Electricity MarketsLeigh TesfatsionPerspectives on heterogeneity14. Modeling a Heterogeneous WorldAlan Kirman and Rick Bookstaber