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Agent-based economic models and econometrics

Published online by Cambridge University Press:  26 April 2012

Shu-Heng Chen ,
Chia-Ling Chang  and
Ye-Rong Du
Shu-Heng Chen*
Affiliation:
AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan; e-mail: chchen@nccu.edu.tw, cutesphinx6@yahoo.com.tw, yerong.du@gmail.com
Chia-Ling Chang*
Affiliation:
AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan; e-mail: chchen@nccu.edu.tw, cutesphinx6@yahoo.com.tw, yerong.du@gmail.com
Ye-Rong Du*
Affiliation:
AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan; e-mail: chchen@nccu.edu.tw, cutesphinx6@yahoo.com.tw, yerong.du@gmail.com
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Abstract

This paper reviews the development of agent-based (computational) economics (ACE) from an econometrics viewpoint. The review comprises three stages, characterizing the past, the present, and the future of this development. The first two stages can be interpreted as an attempt to build the econometric foundation of ACE, and, through that, enrich its empirical content. The second stage may then invoke a reverse reflection on the possible agent-based foundation of econometrics. While ACE modeling has been applied to different branches of economics, the one, and probably the only one, which is able to provide evidence of this three-stage development is finance or financial economics. We will, therefore, focus our review only on the literature of agent-based computational finance, or, more specifically, the agent-based modeling of financial markets.

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The Knowledge Engineering Review , Volume 27 , Special Issue 2: Agent-Based Computational Economics , 26 April 2012 , pp. 187 - 219
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Copyright © Cambridge University Press 2012

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