The Heterogeneous Agents Approach to Financial Markets – Development and Milestones

Jörn Dermietzel ()
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Jörn Dermietzel: Universität Karlsruhe (TH)

Chapter 19 in Handbook on Information Technology in Finance, 2008, pp 443-464 from Springer

Abstract: Abstract For economists financial markets are one of the most interesting mechanisms to investigate. One reason is the availability of tons of data ranging from high frequency data to long term observations covering several decades. On the basis of these huge data sets it is possible to study the dynamics of asset prices balancing supply and demand. On the other hand there is a sound theoretical basis that has mainly been developed in the last century. The results from this theory are based on strict assumptions in order to enabled researchers to derive and to solve analytical models for financial markets.

Keywords: Financial Market; Asset Price; Trading Strategy; Risky Asset; Excess Demand (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/978-3-540-49487-4_19

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