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Emotion meets coordination: Designing multi-agent LLMs for fine-grained user sentiment detection on social media. [PDF]
PLoS OneDong H, Bao Z, Li M, Yang Z.
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AEA Papers and Proceedings
Heterogeneous agent models have become central to modern macroeconomic research, often replacing the representative agent framework. However, what is core for these frameworks is the use of microfoundations that involve optimizing behavior.
Ayse Imrohoroglu
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Heterogeneous agent models have become central to modern macroeconomic research, often replacing the representative agent framework. However, what is core for these frameworks is the use of microfoundations that involve optimizing behavior.
Ayse Imrohoroglu
semanticscholar +3 more sources
Identification in Heterogeneous Agent Models
SSRN Electronic Journal, 2019Many representative agent macro models suffer from parameter identification failure. These issues extend to the structural parameters of the standard incomplete markets model of Aiyagari (1994), the workhorse heterogeneous agent model for household and ...
E. Janssens
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Estimating linearized heterogeneous agent models using panel data
Journal of Economic Dynamics and Control, 2020We develop a method to estimate heterogeneous agent models that uses not only time series of macroeconomic aggregates, but can also incorporate micro level data (repeated cross-section or panel).
Tamás K. Papp, M. Reiter
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Heterogeneous Agent Models in Finance
, 2018This 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 latest development in computational finance. It provides supporting evidence on the explanatory power of HAMs to various stylized facts and market anomalies through model ...
R. Dieci, Xue-zhong He
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Do we really need heterogeneous agent models?
The Quarterly Review of Economics and Finance, 2020We investigate the existence of representative agent under various heterogeneities in a recursive utility framework. We provide the analytical solution of household allocations.
H. Aydilek, Asiye Aydilek
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Heterogeneous Agent Models: two simple examples
, 2005These notes review two simple heterogeneous agent models in economics and finance. The first is a cobweb model with rational versus naive agents introduced in Brock and Hommes (1997). The second is an asset pricing model with fundamentalists versus technical traders introduced in Brock and Hommes (1998).
C. Hommes
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Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Quantitative finance (Print), 2021Models with heterogeneous agents go some way in explaining the bi-modality of the distortion between the S&P 500 and its ex-post rational fundamental ...
T. Lux
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A Behavioral Heterogeneous Agent New Keynesian Model
SSRN Electronic Journal, 2022We develop a New Keynesian model with household heterogeneity and bounded rationality in the form of cognitive discounting. The interaction of household heterogeneity and bounded rationality generates amplification of monetary and fiscal policy through indirect general equilibrium effects while simultaneously ruling out the forward guidance puzzle and ...
Pfäuti, Oliver, Seyrich, Fabian
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