메뉴 건너뛰기




Volumn 27, Issue 2, 2012, Pages 187-219

Agent-based economic models and econometrics

Author keywords

[No Author keywords available]

Indexed keywords

AGENT BASED; AGENT-BASED COMPUTATIONAL FINANCE; AGENT-BASED MODELING; ECONOMIC MODELS; FINANCIAL ECONOMICS; FINANCIAL MARKET;

EID: 84860451004     PISSN: 02698889     EISSN: 14698005     Source Type: Journal    
DOI: 10.1017/S0269888912000136     Document Type: Review
Times cited : (186)

References (130)
  • 1
    • 22944460221 scopus 로고    scopus 로고
    • Estimation of agent-based models: The case of an asymmetric herding model
    • DOI 10.1007/s10614-005-6415-1
    • Alfarano, S., Lux, T. & Wagner, F. 2005. Estimation of agent-based models: the case of an asymmetric herding model. Computational Economics 26(1), 19-49. (Pubitemid 41051530)
    • (2005) Computational Economics , vol.26 , Issue.1 , pp. 19-49
    • Alfarano, S.1    Lux, T.2    Wagner, F.3
  • 2
    • 33747359158 scopus 로고    scopus 로고
    • Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data
    • DOI 10.1016/j.physa.2006.04.018, PII S0378437106004298
    • Alfarano, S., Lux, T. & Wagner, F. 2006. Estimation of a simple agent-based model of financial markets: an application to Australian stock and foreign exchange data. Physica A 370(1), 38-42. (Pubitemid 44247351)
    • (2006) Physica A: Statistical Mechanics and its Applications , vol.370 , Issue.1 , pp. 38-42
    • Alfarano, S.1    Lux, T.2    Wagner, F.3
  • 3
    • 33847247431 scopus 로고    scopus 로고
    • Empirical validation of stochastic models of interacting agents: A" maximally skewe"d noise trader model
    • DOI 10.1140/epjb/e2006-00385-4
    • Alfarano, S., Lux, T. & Wagner, F. 2007. Empirical validation of stochastic models of interacting agents: a 'maximally skewed' noise trader model. The European Physical Journal B 55(2), 183-187. (Pubitemid 46325952)
    • (2007) European Physical Journal B , vol.55 , Issue.2 , pp. 183-187
    • Alfarano, S.1    Lux, T.2    Wagner, F.3
  • 4
    • 0002356273 scopus 로고
    • Charts, noise and fundamentals in the London foreign exchange market
    • Allen, H. & Taylor, M. 1990. Charts, noise and fundamentals in the London foreign exchange market. Economic Journal 100, 49-59.
    • (1990) Economic Journal , vol.100 , pp. 49-59
    • Allen, H.1    Taylor, M.2
  • 5
    • 38849163743 scopus 로고    scopus 로고
    • Estimation of an adaptive stock market model with heterogeneous agents
    • Amilon, H. 2008. Estimation of an adaptive stock market model with heterogeneous agents. Journal of Empirical Finance 15, 342-362.
    • (2008) Journal of Empirical Finance , vol.15 , pp. 342-362
    • Amilon, H.1
  • 6
    • 63749115829 scopus 로고    scopus 로고
    • Asset prices, traders' behavior, and market design
    • Available as the CeNDEF Working paper 07-14, University of Amsterdam
    • Anufriev, M. & Panchenko, V. 2009. Asset prices, traders' behavior, and market design. Journal of Economic Dynamics and Control 33, 1073-1090. Available as the CeNDEF Working paper 07-14, University of Amsterdam
    • (2009) Journal of Economic Dynamics and Control , vol.33 , pp. 1073-1090
    • Anufriev, M.1    Panchenko, V.2
  • 7
    • 0036113556 scopus 로고    scopus 로고
    • Open models of share markets with two dominant types of participants
    • Aoki, M. 2002. Open models of share markets with two dominant types of participants. Journal of Economic Behavior and Organization 49(2), 199-216.
    • (2002) Journal of Economic Behavior and Organization , vol.49 , Issue.2 , pp. 199-216
    • Aoki, M.1
  • 8
    • 0345849931 scopus 로고    scopus 로고
    • Statistical properties of genetic learning in a model of exchange rate
    • Arifovic, J. & Gencay, R. 2000. Statistical properties of genetic learning in a model of exchange rate. Journal of Economic Dynamics and Control 24(5-7), 981-1005.
    • (2000) Journal of Economic Dynamics and Control , vol.24 , Issue.5-7 , pp. 981-1005
    • Arifovic, J.1    Gencay, R.2
  • 9
    • 33845890586 scopus 로고    scopus 로고
    • Revisiting individual evolutionary learning in the cobweb model-an illustration of the virtual spite-effect
    • Arifovic, J. & Maschek, M. 2006. Revisiting individual evolutionary learning in the cobweb model-an illustration of the virtual spite-effect. Computational Economics 28(4), 333-354.
    • (2006) Computational Economics , vol.28 , Issue.4 , pp. 333-354
    • Arifovic, J.1    Maschek, M.2
  • 10
    • 0001847138 scopus 로고    scopus 로고
    • Asset pricing under endogenous expectations in an artificial stock market
    • Arthur, B., Durlauf, S. & Lane, D. (eds). Addison-Wesley
    • Arthur, W., Holland, J., LeBaron, B., Palmer, R. & Tayler, P. 1997. Asset pricing under endogenous expectations in an artificial stock market. In The Economy as an Evolving Complex System II, Arthur, B., Durlauf, S. & Lane, D. (eds). Addison-Wesley, 15-44.
    • (1997) The Economy as an Evolving Complex System II , pp. 15-44
    • Arthur, W.1    Holland, J.2    Lebaron, B.3    Palmer, R.4    Tayler, P.5
  • 11
    • 0037497348 scopus 로고    scopus 로고
    • Trading is hazardous to your wealth: The common stock investment performance of individual investors
    • Barber, B. & Odean, T. 2000. Trading is hazardous to your wealth: the common stock investment performance of individual investors. Journal of Finance 55(2), 773-806.
    • (2000) Journal of Finance , vol.55 , Issue.2 , pp. 773-806
    • Barber, B.1    Odean, T.2
  • 12
    • 84860823195 scopus 로고
    • Disaggregation in Econometric Modeling
    • Barker, T. & Pesaran, H. 1990 (eds). Disaggregation in Econometric Modeling. Routledge.
    • (1990) Routledge
    • Barker, T.1    Pesaran, H.2
  • 14
    • 43949168352 scopus 로고
    • The statistical mechanics of strategic interaction
    • Blume, L. 1993. The statistical mechanics of strategic interaction. Games and Economic Behavior 5(3), 387-424.
    • (1993) Games and Economic Behavior , vol.5 , Issue.3 , pp. 387-424
    • Blume, L.1
  • 16
    • 13844289361 scopus 로고    scopus 로고
    • Institutional architectures and behavioral ecologies in the dynamics of financial markets
    • DOI 10.1016/j.jmateco.2004.02.006, PII S0304406804000540, Evolutionary finance
    • Bottazzi, G., Dosi, G. & Rebesco, I. 2005. Institutional architectures and behavioral ecologies in the dynamics of financial markets. Journal of Mathematical Economics 41(1-2), 197-228. (Pubitemid 40256561)
    • (2005) Journal of Mathematical Economics , vol.41 , Issue.1-2 , pp. 197-228
    • Bottazzi, G.1    Dosi, G.2    Rebesco, I.3
  • 17
    • 32544461843 scopus 로고    scopus 로고
    • The opinion game: Stock price evolution from microscopic market modeling
    • DOI 10.1142/S0219024906003421
    • Bovier, A., Cerny, J. & Hryniv, O. 2006. The opinion game: stock price evolution from microscopic market modeling. International Journal of Theoretical and Applied Finance 9(1), 91-111. (Pubitemid 43244538)
    • (2006) International Journal of Theoretical and Applied Finance , vol.9 , Issue.1 , pp. 91-111
    • Bovier, A.1    Cerny, J.2    Hryniv, O.3
  • 18
    • 66049092611 scopus 로고    scopus 로고
    • Agent learning representation: Advice on modelling economic learning
    • Tesfatsion, L. & Judd, K. (eds). Elsevier
    • Brenner, T. 2006. Agent learning representation: advice on modelling economic learning. In Handbook of Computational Economics, Tesfatsion, L. & Judd, K. (eds). Elsevier, 881-947.
    • (2006) Handbook of Computational Economics , pp. 881-947
    • Brenner, T.1
  • 19
    • 0001288049 scopus 로고    scopus 로고
    • A rational route to randomness
    • Brock, W. & Hommes, C. 1997. A rational route to randomness. Econometrica 65, 1059-1095. (Pubitemid 127465484)
    • (1997) Econometrica , vol.65 , Issue.5 , pp. 1059-1095
    • Brock, W.A.1    Hommes, C.H.2
  • 20
    • 0000921080 scopus 로고    scopus 로고
    • Heterogeneous beliefs and routes to chaos in a simple asset pricing model
    • PII S0165188998000116
    • Brock, W. & Hommes, C. 1998. Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control 22(8-9), 1235-1274. (Pubitemid 128340701)
    • (1998) Journal of Economic Dynamics and Control , vol.22 , Issue.8-9 , pp. 1235-1274
    • Brock, W.A.1    Hommes, C.H.2
  • 21
    • 13844269271 scopus 로고    scopus 로고
    • Evolutionary dynamics in markets with many trader types
    • DOI 10.1016/j.jmateco.2004.02.002, PII S0304406804000485, Evolutionary finance
    • Brock, W., Hommes, C. & Wagener, F. 2005. Evolutionary dynamics in markets with many trader types. Journal of Mathematical Economics 41(1-2), 7-42. (Pubitemid 40256553)
    • (2005) Journal of Mathematical Economics , vol.41 , Issue.1-2 , pp. 7-42
    • Brock, W.A.1    Hommes, C.H.2    Wagener, F.O.O.3
  • 22
    • 35348891378 scopus 로고    scopus 로고
    • Alan Kirman: A non-representative economist: Introduction of the special issue of the journal of economic behavior and organization in honor of Alan Kirman
    • Casella, A., Thoron, S. & Trannoy, A. 2007. Alan Kirman: a non-representative economist: introduction of the special issue of the journal of economic behavior and organization in honor of Alan Kirman. Journal of Economic Behavior and Organization 64(3-4), 269-274.
    • (2007) Journal of Economic Behavior and Organization , vol.64 , Issue.3-4 , pp. 269-274
    • Casella, A.1    Thoron, S.2    Trannoy, A.3
  • 23
    • 33644881975 scopus 로고    scopus 로고
    • Price return autocorrelation and predictability in agent-based models of financial markets
    • DOI 10.1080/14697680500363963
    • Challet, D. & Galla, T. 2005. Price return autocorrelation and predictability in agent-based models of financial markets. Quantitative Finance 5(6), 569-576. (Pubitemid 43381158)
    • (2005) Quantitative Finance , vol.5 , Issue.6 , pp. 569-576
    • Challet, D.1    Galla, T.2
  • 26
    • 44849119306 scopus 로고    scopus 로고
    • Computational intelligence in agent-based computational economics
    • Springer Fulcher, J. & Jain, L. (eds)
    • Chen, S.-H. 2008. Computational intelligence in agent-based computational economics. In Computational Intelligence: A Compendium, Fulcher, J. & Jain, L. (eds). Springer, 517-594.
    • (2008) Computational Intelligence: A Compendium , pp. 517-594
    • Chen, S.-H.1
  • 27
    • 42749090395 scopus 로고    scopus 로고
    • On the plausibility of sunspot equilibria: Simulations based on agent-based artificial stock markets
    • Chen, S.-H., Liao, C.-C. & Chou, P.-J. 2008. On the plausibility of sunspot equilibria: simulations based on agent-based artificial stock markets. Journal of Economic Interaction and Coordination 3(1), 25-41.
    • (2008) Journal of Economic Interaction and Coordination , vol.3 , Issue.1 , pp. 25-41
    • Chen, S.-H.1    Liao, C.-C.2    Chou, P.-J.3
  • 28
    • 0006162009 scopus 로고    scopus 로고
    • Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
    • DOI 10.1016/S0165-1889(00)00030-0, PII S0165188900000300
    • Chen, S.-H. & Yeh, C.-H. 2001. Evolving traders and the business school with genetic programming: a new architecture of the agent-based artificial stock market. Journal of Economic Dynamics and Control 25(3-4), 363-393. (Pubitemid 33623297)
    • (2001) Journal of Economic Dynamics and Control , vol.25 , Issue.3-4 , pp. 363-393
    • Chen, S.-H.1    Yeh, C.-H.2
  • 32
    • 85008848771 scopus 로고    scopus 로고
    • Empirical properties of asset returns: Stylized facts and statistical issues
    • Cont, R. 2001. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance 1, 223-236.
    • (2001) Quantitative Finance , vol.1 , pp. 223-236
    • Cont, R.1
  • 34
    • 0034388776 scopus 로고    scopus 로고
    • Herd behavior and aggregate fluctuations in financial markets
    • Cont, R. & Bouchaud, Y.-P. 2000. Herd behavior and aggregate fluctuations in financial markets. Macroeconomic Dynamics 4(2), 170-196.
    • (2000) Macroeconomic Dynamics , vol.4 , Issue.2 , pp. 170-196
    • Cont, R.1    Bouchaud, Y.-P.2
  • 35
    • 34250348449 scopus 로고    scopus 로고
    • Stylized facts from a threshold-based heterogeneous agent model
    • DOI 10.1140/epjb/e2007-00108-5
    • Cross, R., Grinfeld, M., Lamba, H. & Seaman, T. 2007. Stylized facts from a threshold-based heterogeneous agent model. The European Physical Journal B 57(2), 213-218. (Pubitemid 46912327)
    • (2007) European Physical Journal B , vol.57 , Issue.2 , pp. 213-218
    • Cross, R.1    Grinfeld, M.2    Lamba, H.3    Seaman, T.4
  • 36
    • 28144432892 scopus 로고    scopus 로고
    • The exchange rate and its fundamentals in a complex world
    • DOI 10.1111/j.1467-9396.2005.00523.x
    • De Grauwe, P. & Grimaldi, M. 2005a. The exchange rate and its fundamentals in a complex world. Review of International Economics 13(3), 549-575. (Pubitemid 41695093)
    • (2005) Review of International Economics , vol.13 , Issue.3 , pp. 549-575
    • De Grauwe, P.1    Grimaldi, M.2
  • 37
    • 14844344994 scopus 로고    scopus 로고
    • Heterogeneity of agents, transactions costs and the exchange rate
    • DOI 10.1016/j.jedc.2004.01.004, PII S0165188904000636
    • De Grauwe, P. & Grimaldi, M. 2005b. Heterogeneity of agents, transactions costs and the exchange rate. Journal of Economic Dynamics and Control 29(4), 691-719. (Pubitemid 40354905)
    • (2005) Journal of Economic Dynamics and Control , vol.29 , Issue.SPEC. ISS. , pp. 691-719
    • De Grauwe, P.1    Grimaldi, M.2
  • 40
    • 67650233898 scopus 로고    scopus 로고
    • A heterogeneous route to the European monetary system crisis
    • de Jong, E., Verschoor, W. & Zwinkels, R. 2009. A heterogeneous route to the European monetary system crisis. Applied Economics Letters 16(9), 929-932.
    • (2009) Applied Economics Letters , vol.16 , Issue.9 , pp. 929-932
    • De Jong, E.1    Verschoor, W.2    Zwinkels, R.3
  • 42
    • 53549119402 scopus 로고    scopus 로고
    • Market dynamics and agents behaviors: A computational approach
    • Derveeuw, J. 2005. Market dynamics and agents behaviors: a computational approach. Artificial Economics 564, 15-27.
    • (2005) Artificial Economics , vol.564 , pp. 15-27
    • Derveeuw, J.1
  • 45
    • 14844362837 scopus 로고    scopus 로고
    • Herding, a-synchronous updating and heterogeneity in memory in a CBS
    • DOI 10.1016/j.jedc.2003.12.004, PII S016518890400065X
    • Diks, C. & van der Weide, R. 2005. Herding, a-synchronous updating and heterogeneity in memory in a CBS. Journal of Economic Dynamics and Control 29(4), 741-763. (Pubitemid 40354907)
    • (2005) Journal of Economic Dynamics and Control , vol.29 , Issue.SPEC. ISS. , pp. 741-763
    • Diks, C.1    Van Der Weide, R.2
  • 46
    • 66049149458 scopus 로고    scopus 로고
    • Agent-based models and human subject experiments
    • Tesfatsion, L. & Judd, K. (eds). Elsevier
    • Duffy, J. 2006. Agent-based models and human subject experiments. In Handbook of Computational Economics, Tesfatsion, L. & Judd, K. (eds). Elsevier, 949-1011.
    • (2006) Handbook of Computational Economics , pp. 949-1011
    • Duffy, J.1
  • 47
    • 30844464827 scopus 로고    scopus 로고
    • Sunspots in the laboratory
    • DOI 10.1257/0002828054201350
    • Duffy, J. & Fisher, E. 2005. Sunspots in the laboratory. American Economic Review 95(3), 510-529. (Pubitemid 43104401)
    • (2005) American Economic Review , vol.95 , Issue.3 , pp. 510-529
    • Duffy, J.1    Fisher, E.O.2
  • 51
    • 24644459769 scopus 로고    scopus 로고
    • Agent-based model with heterogeneous fundamental prices
    • Ferreira, F., De Oliveira, V., Crepaldi, A. & Campos, P. 2007. Agent-based model with heterogeneous fundamental prices. Physica A 357(3-4), 534-542.
    • (2007) Physica A , vol.357 , Issue.3-4 , pp. 534-542
    • Ferreira, F.1    De Oliveira, V.2    Crepaldi, A.3    Campos, P.4
  • 52
    • 13844265894 scopus 로고    scopus 로고
    • Equilibria in financial markets with heterogeneous agents: A probabilistic perspective
    • DOI 10.1016/j.jmateco.2004.08.001, PII S0304406804000795, Evolutionary finance
    • Fö llmer, H., Horst, U. & Kirman, A. 2005. Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Journal of Mathematical Economics 41(1-2), 123-155. (Pubitemid 40256558)
    • (2005) Journal of Mathematical Economics , vol.41 , Issue.1-2 , pp. 123-155
    • Follmer, H.1    Horst, U.2    Kirman, A.3
  • 54
    • 0002157562 scopus 로고
    • Chartists, fundamentalists, and trading in the foreign exchange market
    • Frankel, J. & Froot, K. 1990. Chartists, fundamentalists, and trading in the foreign exchange market. American Economic Review 80(2), 181-186.
    • (1990) American Economic Review , vol.80 , Issue.2 , pp. 181-186
    • Frankel, J.1    Froot, K.2
  • 55
    • 33746153110 scopus 로고    scopus 로고
    • Aggregation of heterogeneous interacting agents: The variant representative agent framework
    • DOI 10.1007/s11403-006-0001-z
    • Gallegati, M., Palestrini, D., Delli Gatti, D. & Scalas, E. 2006. Aggregation of heterogeneous interacting agents: the variant representative agent framework. Journal of Economic Interaction and Coordination 1(1), 5-19. (Pubitemid 44084642)
    • (2006) Journal of Economic Interaction and Coordination , vol.1 , Issue.1 , pp. 5-19
    • Gallegati, M.1    Palestrini, A.2    Gatti, D.D.3    Scalas, E.4
  • 56
    • 3042831202 scopus 로고    scopus 로고
    • A theory of power-law distributions in financial market fluctuations
    • DOI 10.1038/nature01624
    • Gabaix, X., Gopikrishnan, P., Plerou, V. & Stanley, H. 2003. A theory of power-law distributions in financial market fluctuations. Nature 423, 267-270. (Pubitemid 40852693)
    • (2003) Nature , vol.423 , Issue.6937 , pp. 267-270
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 57
    • 84892266799 scopus 로고    scopus 로고
    • A nonlinear structural model for volatility clustering
    • Long Memory in Economics, Teyssiè re, G. & Kirman, A. (eds)
    • Gaunersdorfer, A. & Hommes, C. 2007. A nonlinear structural model for volatility clustering. In Long Memory in Economics, Teyssiè re, G. & Kirman, A. (eds). Springer-Verlag, 265-288.
    • (2007) Springer-Verlag , pp. 265-288
    • Gaunersdorfer, A.1    Hommes, C.2
  • 58
    • 0003125271 scopus 로고
    • The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data
    • Ghose, D. & Kroner, K. 1995. The relationship between GARCH and symmetric stable processes: finding the source of fat tails in financial data. Journal of Empirical Finance 2(3), 225-251.
    • (1995) Journal of Empirical Finance , vol.2 , Issue.3 , pp. 225-251
    • Ghose, D.1    Kroner, K.2
  • 59
    • 17044435383 scopus 로고    scopus 로고
    • Heterogeneity and feedback in an agent-based market model
    • Ghoulmie, F., Cont, R. & Nadal, J.-P. 2005. Heterogeneity and feedback in an agent-based market model. Journal of Physics 17, 1259-1268.
    • (2005) Journal of Physics , vol.17 , pp. 1259-1268
    • Ghoulmie, F.1    Cont, R.2    Nadal, J.-P.3
  • 60
    • 0037471364 scopus 로고    scopus 로고
    • A global optimization heuristic for estimating agent based models
    • DOI 10.1016/S0167-9473(02)00214-1, PII S0167947302002141
    • Gilli, M. & Winker, P. 2003. A global optimization heuristic for estimating agent based models. Computational Statistics and Data Analysis 42(3), 299-312. (Pubitemid 36261328)
    • (2003) Computational Statistics and Data Analysis , vol.42 , Issue.3 , pp. 299-312
    • Gilli, M.1    Winker, P.2
  • 62
    • 84936526550 scopus 로고
    • Intertemporal substitution in consumption
    • Hall, R. 1988. Intertemporal substitution in consumption. Journal of Political Economy 96(2), 339-357.
    • (1988) Journal of Political Economy , vol.96 , Issue.2 , pp. 339-357
    • Hall, R.1
  • 63
    • 14644438022 scopus 로고    scopus 로고
    • The representative agent in macroeconomics
    • Hartley, J. 1997. The representative agent in macroeconomics. Routledge.
    • (1997) Routledge
    • Hartley, J.1
  • 64
    • 34547681257 scopus 로고    scopus 로고
    • Power-law behaviour, heterogeneity, and trend chasing
    • He, X.-Z. & Li, Y. 2007. Power-law behaviour, heterogeneity, and trend chasing. Journal of Economic Dynamics and Control 31(10), 3396-3426.
    • (2007) Journal of Economic Dynamics and Control , vol.31 , Issue.10 , pp. 3396-3426
    • He, X.-Z.1    Li, Y.2
  • 65
    • 42749096027 scopus 로고    scopus 로고
    • Frankfurt artificial stock market: A microscopic stock market model with heterogeneous interacting agents in small-world communication networks
    • Hein, O., Schwind, M. & Spiwoks, M. 2008. Frankfurt artificial stock market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks. Journal of Economic Interaction and Coordination 3(1), 59-71.
    • (2008) Journal of Economic Interaction and Coordination , vol.3 , Issue.1 , pp. 59-71
    • Hein, O.1    Schwind, M.2    Spiwoks, M.3
  • 67
    • 0000059180 scopus 로고
    • Artificial adaptive agents in economic theory
    • Holland, J. H. & Miller, J. H. 1991. Artificial adaptive agents in economic theory. American Economic Review 81(2), 365-370.
    • (1991) American Economic Review , vol.81 , Issue.2 , pp. 365-370
    • Holland, J.H.1    Miller, J.H.2
  • 68
    • 0037076426 scopus 로고    scopus 로고
    • Modeling the stylized facts in finance through simple nonlinear adaptive systems
    • DOI 10.1073/pnas.082080399
    • Hommes, C. 2002. Modeling the stylized facts in finance through simple nonlinear adaptive systems. Proceedings of the National Academy of Sciences of the United States of America 99, 7221-7228. (Pubitemid 34522715)
    • (2002) Proceedings of the National Academy of Sciences of the United States of America , vol.99 , Issue.SUPPL. 3 , pp. 7221-7228
    • Hommes, C.H.1
  • 69
    • 66049139912 scopus 로고    scopus 로고
    • Heterogeneous agent models in economics and finance
    • Tesfatsion, L. & Judd, K. (eds)
    • Hommes, C. 2006. Heterogeneous agent models in economics and finance. In Handbook of Computational Economics, Tesfatsion, L. & Judd, K. (eds). Elsevier, 1109-1186.
    • (2006) Handbook of Computational Economics Elsevier , pp. 1109-1186
    • Hommes, C.1
  • 70
    • 0036114919 scopus 로고    scopus 로고
    • A microsimulation of traders activity in the stock market: The role of heterogeneity, agents' interactions and trade frictions
    • Iori, G. 2002. A microsimulation of traders activity in the stock market: The role of heterogeneity, agents' interactions and trade frictions. Journal of Economic Behavior and Organization 49(2), 269-285.
    • (2002) Journal of Economic Behavior and Organization , vol.49 , Issue.2 , pp. 269-285
    • Iori, G.1
  • 72
    • 0010626787 scopus 로고    scopus 로고
    • Analysis of dealers' processing financial news based on an artificial market approach
    • Izumi, K. & Ueda, K. 1999. Analysis of dealers' processing financial news based on an artificial market approach. Journal of Computational Intelligence in Finance 7, 23-33.
    • (1999) Journal of Computational Intelligence in Finance , vol.7 , pp. 23-33
    • Izumi, K.1    Ueda, K.2
  • 73
    • 34247523935 scopus 로고    scopus 로고
    • Empirically based, agent-based models
    • Janssen, M. & Ostrom, E. 2006. Empirically based, agent-based models. Ecology and Society 11(2), 37.
    • (2006) Ecology and Society , vol.11 , Issue.2 , pp. 37
    • Janssen, M.1    Ostrom, E.2
  • 76
    • 0001201174 scopus 로고
    • Whom or what does the representative individual represent?
    • Kirman, A 1992. Whom or what does the representative individual represent? Journal of Economic Perspectives 1 6(2) 117-136.
    • (1992) Journal of Economic Perspectives , vol.6 , Issue.2 , pp. 117-136
    • Kirman, A.1
  • 77
    • 84960597456 scopus 로고
    • Ants, rationality, and recruitment
    • Kirman, A. 1993. Ants, rationality, and recruitment. Quarterly Journal of Economics 108(1), 137-156.
    • (1993) Quarterly Journal of Economics , vol.108 , Issue.1 , pp. 137-156
    • Kirman, A.1
  • 78
    • 0346936575 scopus 로고    scopus 로고
    • Microeconomic models for long memory in the volatility of financial time series
    • Kirman, A. & Teyssiè re, G. 2002. Microeconomic models for long memory in the volatility of financial time series. Studies in Nonlinear Dynamics and Econometrics 5(4), 3.
    • (2002) Studies in Nonlinear Dynamics and Econometrics , vol.5 , Issue.4 , pp. 3
    • Kirman, A.1    Teyssiè Re, G.2
  • 79
    • 0002426025 scopus 로고    scopus 로고
    • The Equity Premium: It's Still a Puzzle
    • Kocherlakota, N. 1996. The equity premium: it's still a puzzle. Journal of Economic Literature 34(1), 42-71. (Pubitemid 126420559)
    • (1996) Journal of Economic Literature , vol.34 , Issue.1 , pp. 42-71
    • Kocherlakota, N.R.1
  • 82
    • 0000444193 scopus 로고    scopus 로고
    • Agent-based computational finance: Suggested readings and early research
    • LeBaron, B. 2000. Agent-based computational finance: suggested readings and early research. Journal of Economic Dynamics and Control 24(5-7), 679-702.
    • (2000) Journal of Economic Dynamics and Control , vol.24 , Issue.5-7 , pp. 679-702
    • Lebaron, B.1
  • 83
    • 66049155348 scopus 로고    scopus 로고
    • Agent-based computational finance
    • Tesfatsion, L. & Judd, K. (eds)
    • LeBaron, B. 2006. Agent-based computational finance. In Handbook of Computational Economics, Tesfatsion, L. & Judd, K. (eds). Elsevier, 1187-1233.
    • (2006) Handbook of Computational Economics Elsevier , pp. 1187-1233
    • Lebaron, B.1
  • 87
    • 4043125297 scopus 로고    scopus 로고
    • Market dynamics and stock price volatility
    • Li, H. & Rosser, B. 2004. Market dynamics and stock price volatility. The European Physical Journal B 39(3), 409-413.
    • (2004) The European Physical Journal B , vol.39 , Issue.3 , pp. 409-413
    • Li, H.1    Rosser, B.2
  • 89
    • 0000015564 scopus 로고
    • Herd behavior, bubbles and crashes
    • Lux, T. 1995. Herd behavior, bubbles and crashes. Economic Journal 105(431), 881-896.
    • (1995) Economic Journal , vol.105 , Issue.431 , pp. 881-896
    • Lux, T.1
  • 90
    • 0031280697 scopus 로고    scopus 로고
    • Time variation of second moments from a noise trader/infection model
    • PII S0165188997000614
    • Lux, T. 1997. Time variation of second moments from a noise trader/infection model. Journal of Economic Dynamics and Control 22(1), 1-38. (Pubitemid 127164178)
    • (1997) Journal of Economic Dynamics and Control , vol.22 , Issue.1 , pp. 1-38
    • Lux, T.1
  • 91
    • 0031617088 scopus 로고    scopus 로고
    • The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions
    • PII S0167268197000887
    • Lux, T. 1998. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior and Organization 33(2), 143-165. (Pubitemid 128186429)
    • (1998) Journal of Economic Behavior and Organization , vol.33 , Issue.2 , pp. 143-165
    • Lux, T.1
  • 93
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and criticality in a stochastic multi-agent model of a financial market
    • Lux, T. & Marchesi, M. 1999. Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397(11), 498-500.
    • (1999) Nature , vol.397 , Issue.11 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 94
    • 0001334431 scopus 로고    scopus 로고
    • Volatility clustering in financial markets: A micro-simulation of interacting agents
    • Lux, T. & Marchesi, M. 2000. Volatility clustering in financial markets: a micro-simulation of interacting agents. International Journal of Theoretical and Applied Finance 3(4), 675-702.
    • (2000) International Journal of Theoretical and Applied Finance , vol.3 , Issue.4 , pp. 675-702
    • Lux, T.1    Marchesi, M.2
  • 95
    • 14844349532 scopus 로고    scopus 로고
    • Representativeness of news and exchange rate dynamics
    • DOI 10.1016/j.jedc.2003.08.008, PII S0165188904000624
    • Manzan, S. & Westerhoff, F. 2005. Representativeness of news and exchange rate dynamics. Journal of Economic Dynamics and Control 29(4), 677-689. (Pubitemid 40354904)
    • (2005) Journal of Economic Dynamics and Control , vol.29 , Issue.SPEC. ISS. , pp. 677-689
    • Manzan, S.1    Westerhoff, F.2
  • 96
    • 34447525647 scopus 로고    scopus 로고
    • Heterogeneous expectations, exchange rate dynamics and predictability
    • Manzan, S. & Westerhoff, F. 2007. Heterogeneous expectations, exchange rate dynamics and predictability. Journal of Economic Behavior and Organization 64(1), 111-128.
    • (2007) Journal of Economic Behavior and Organization , vol.64 , Issue.1 , pp. 111-128
    • Manzan, S.1    Westerhoff, F.2
  • 97
    • 0001413344 scopus 로고
    • Exchange rates and fundamentals: Evidence on long-horizon predictability
    • Mark, N. 1995. Exchange rates and fundamentals: evidence on long-horizon predictability. American Economic Review 85(1), 201-218.
    • (1995) American Economic Review , vol.85 , Issue.1 , pp. 201-218
    • Mark, N.1
  • 99
    • 34250023821 scopus 로고    scopus 로고
    • Building and assurance of agent-based models: An example and challenge to the field
    • Midgley, D., Marks, R. & Kunchamwar, D. 2007. Building and assurance of agent-based models: an example and challenge to the field. Journal of Business Research 60(8), 884-893.
    • (2007) Journal of Business Research , vol.60 , Issue.8 , pp. 884-893
    • Midgley, D.1    Marks, R.2    Kunchamwar, D.3
  • 100
    • 0032090230 scopus 로고    scopus 로고
    • Active nonlinear tests (ANTs) of complex simulation models
    • Miller, J. 1998. Active nonlinear tests (ANTs) of complex simulation models. Management Science 44(6), 820-830. (Pubitemid 128572652)
    • (1998) Management Science , vol.44 , Issue.6 , pp. 820-830
    • Miller, J.H.1
  • 101
    • 84860807654 scopus 로고    scopus 로고
    • Measurement of liquidity risk in the context of market risk calculation
    • Bank for International Settlements
    • Muranaga, J. & Ohsawa, M. 1997. Measurement of liquidity risk in the context of market risk calculation. In The Measurement of Aggregate Market Risk. Bank for International Settlements.
    • (1997) The Measurement of Aggregate Market Risk
    • Muranaga, J.1    Ohsawa, M.2
  • 102
    • 0039571008 scopus 로고    scopus 로고
    • Risk aversion versus intertemporal substitution: A case study of identification failure in the intertemporal consumption capital asset pricing model
    • Neely, C., Roy, A. & Whiteman, C. 2001. Risk aversion versus intertemporal substitution: a case study of identification failure in the intertemporal consumption capital asset pricing model. Journal of Business and Economic Statistics 19(4), 395-403.
    • (2001) Journal of Business and Economic Statistics , vol.19 , Issue.4 , pp. 395-403
    • Neely, C.1    Roy, A.2    Whiteman, C.3
  • 103
    • 2142771404 scopus 로고    scopus 로고
    • Heterogeneous trading agents
    • Neuberg, L. & Bertels, K. 2003. Heterogeneous trading agents. Complexity 8(5), 28-35.
    • (2003) Complexity , vol.8 , Issue.5 , pp. 28-35
    • Neuberg, L.1    Bertels, K.2
  • 107
    • 43949161111 scopus 로고
    • Artificial economic life: A simple model of a stock market
    • Palmer, R., Arthur, W., Holland, J., LeBaron, B. & Tayler, P. 1994. Artificial economic life: a simple model of a stock market. Physica D 75(1-3), 264-274.
    • (1994) Physica D , vol.75 , Issue.1-3 , pp. 264-274
    • Palmer, R.1    Arthur, W.2    Holland, J.3    Lebaron, B.4    Tayler, P.5
  • 108
    • 34248651588 scopus 로고    scopus 로고
    • An evolutionary game theory explanation of ARCH effects
    • Parke, W. & Waters, G. 2007. An evolutionary game theory explanation of ARCH effects. Journal of Economic Dynamics and Control 31(7), 2234-2262.
    • (2007) Journal of Economic Dynamics and Control , vol.31 , Issue.7 , pp. 2234-2262
    • Parke, W.1    Waters, G.2
  • 110
    • 0035471558 scopus 로고    scopus 로고
    • Agent-based simulation of a financial market
    • Rabertoa, M., Cincottia, S. & Focardib, S. 2001. Agent-based simulation of a financial market. Physica A 299(1-2), 319-327.
    • (2001) Physica A , vol.299 , Issue.1-2 , pp. 319-327
    • Rabertoa, M.1    Cincottia, S.2    Focardib, S.3
  • 111
    • 34247248211 scopus 로고    scopus 로고
    • Prices are macro-observables! Stylized facts from evolutionary finance
    • Reimann, S. & Tupak, A. 2007. Prices are macro-observables! Stylized facts from evolutionary finance. Computational Economics 29(3), 313-331.
    • (2007) Computational Economics , vol.29 , Issue.3 , pp. 313-331
    • Reimann, S.1    Tupak, A.2
  • 112
    • 34548101935 scopus 로고    scopus 로고
    • Commodity price cycles and heterogeneous speculators: A STAR-GARCH model
    • DOI 10.1007/s00181-006-0100-7
    • Reitz, S. & Westerhoff, F. 2007. Commodity price cycles and heterogeneous speculators: A STAR-GARCH model. Empirical Economics 33(2), 231-244. (Pubitemid 47288760)
    • (2007) Empirical Economics , vol.33 , Issue.2 , pp. 231-244
    • Reitz, S.1    Westerhoff, F.2
  • 116
    • 34249775769 scopus 로고    scopus 로고
    • Asset price dynamics in a financial market with heterogeneous trading strategies and time delays
    • DOI 10.1016/j.physa.2007.02.022, PII S0378437107001562, Applications of Physics in Financial Analysis Proceedings of the 5th International Conference 'Applications of Physics in Financial Analysis' (APFA 5)
    • Sansone, A. & Garofalo, G. 2007. Asset price dynamics in a financial market with heterogeneous trading strategies and time delays. Physica A 382(1), 247-257. (Pubitemid 46856084)
    • (2007) Physica A: Statistical Mechanics and its Applications , vol.382 , Issue.1 , pp. 247-257
    • Sansone, A.1    Garofalo, G.2
  • 118
    • 0000714123 scopus 로고
    • Empirical approaches to the problem of aggregation over individuals
    • Stoker, T. 1993. Empirical approaches to the problem of aggregation over individuals. Journal of Economic Literature 314, 1827-1874.
    • (1993) Journal of Economic Literature , vol.314 , pp. 1827-1874
    • Stoker, T.1
  • 119
    • 0035732699 scopus 로고    scopus 로고
    • Trading volume and information revelation in stock markets
    • Suominen, M. 2001. Trading volume and information revelation in stock markets. Journal of Financial and Quantitative Analysis 36(4), 545-565. (Pubitemid 33581933)
    • (2001) Journal of Financial and Quantitative Analysis , vol.36 , Issue.4 , pp. 545-565
    • Suominen, M.1
  • 120
    • 0006050336 scopus 로고    scopus 로고
    • Fuzzy inductive reasoning, formation and the behavior of security prices
    • Tay, N. & Lin, S. 2001. Fuzzy inductive reasoning, formation and the behavior of security prices. Journal of Economic Dynamics and Control 25(3-4), 321-362.
    • (2001) Journal of Economic Dynamics and Control , vol.25 , Issue.3-4 , pp. 321-362
    • Tay, N.1    Lin, S.2
  • 123
    • 0001838252 scopus 로고    scopus 로고
    • An illustration of the essential difference between individual and social learning, and its consequences for computational analysis
    • Vriend, N. 2000. An illustration of the essential difference between individual and social learning, and its consequences for computational analysis. Journal of Economic Dynamics and Control 24(1), 1-19.
    • (2000) Journal of Economic Dynamics and Control , vol.24 , Issue.1 , pp. 1-19
    • Vriend, N.1
  • 124
    • 1642333089 scopus 로고    scopus 로고
    • On two types of GA-Learning
    • Evolutionary Computation in Economics and Finance, Chen, S.-H. (ed.)
    • Vriend, N. 2002. On two types of GA-Learning. In Evolutionary Computation in Economics and Finance, Chen, S.-H. (ed.). Physica-Verlag, 233-243.
    • (2002) Physica-Verlag , pp. 233-243
    • Vriend, N.1
  • 125
    • 14844349175 scopus 로고    scopus 로고
    • Nonlinearities and cyclical behavior: The role of chartists and fundamentalists
    • Art. 3
    • Westerhoff, F. & Reitz, S. 2003. Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Studies in Nonlinear Dynamics and Econometrics 7(4), Art. 3.
    • (2003) Studies in Nonlinear Dynamics and Econometrics , vol.7 , Issue.4
    • Westerhoff, F.1    Reitz, S.2
  • 128
    • 27144485066 scopus 로고    scopus 로고
    • The efficiency of an artificial double auction stock market with neural learning agents
    • Evolutionary Computation in Economics and Finance, Chen, S.-H. (ed.)
    • Yang, J. 2002. The efficiency of an artificial double auction stock market with neural learning agents. In Evolutionary Computation in Economics and Finance, Chen, S.-H. (ed.). Physica-Verlag, 87-107.
    • (2002) Physica-Verlag , pp. 87-107
    • Yang, J.1
  • 130
    • 72349084866 scopus 로고    scopus 로고
    • Correlations and clustering in the trading of members of the London Stock Exchange
    • Abe, S., Mie, T., Herrmann, H., Quarati, P., Rapisarda, A. & Tsallis, C. (eds). Springer
    • Zovko, I. & Farmer, P. 2007. Correlations and clustering in the trading of members of the London Stock Exchange. In Complexity, Metastability and Nonextensivity: An International Conference, AIP Conference Proceedings, Abe, S., Mie, T., Herrmann, H., Quarati, P., Rapisarda, A. & Tsallis, C. (eds). Springer.
    • (2007) Complexity, Metastability and Nonextensivity: An International Conference, AIP Conference Proceedings
    • Zovko, I.1    Farmer, P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.