This chapter surveys work on dynamic heterogeneous agent models (HAMs) in economics
and finance. Emphasis is given to simple models that, at least to some extent, are tractable …

This chapter surveys the state-of-art of heterogeneous agent models (HAMs) in finance
using a jointly theoretical and empirical analysis, combined with numerical analysis from the …

The finding of clustered volatility and ARCH effects is ubiquitous in financial data. This paper
presents a possible explanation for this phenomenon within a multi-agent framework of …

The Microstructure Approach to Exchange Rates Page 1 The Microstructure Approach to
Exchange Rates MIT Press, forthcoming Richard K. Lyons Haas School of Business, UC …

The use of technical analysis by financial market professionals is not well understood. This
paper thus analyzes survey evidence from 692 fund managers in five countries, the vast …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

Technical analysis involves the prediction of asset price movements from inductive analysis
of past movements. We establish a number of stylized facts, including that technical analysis …

We report findings from a survey of United States foreign exchange traders. Our results
indicate that:(i) in recent years electronically-brokered transactions have risen substantially …

Markets have internal dynamics leading to excess volatility and other phenomena that are
difficult to explain using rational expectations models. This paper studies these using a …

We study dealer behavior in the foreign exchange spot market using detailed observations
on all the transactions of four interbank dealers. There is strong support for an information …