Agent-based Computational Finance

This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings. ∗International Business School, Brandeis University, 415 South Street, Mailstop 32, Waltham, MA 02453 2728, [email protected], www.brandeis.edu/∼blebaron. The author is also a research associate at the National Bureau of Economic Research. This is a preliminary draft for The Handbook of Computational Economics, vol. II,, edited by K. L. Judd and L. Tesfatsion. The author is grateful to many people who have made comments on earlier drafts. These include W. A. Brock, Cars Hommes, Leigh Tesfatsion, Frank Westerhoff, and two anonymous referees.