Cars Hommes

Roberto Dieci

Xue-Zhong He

This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Essays in Honour of Carl Chiarella

Nonlinear Economic Dynamics and Financial Modelling

Recognising that the economy is a complex system with boundedly rational interacting agents, applies complexity modelling to economics and finance.

Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems

Robert Lensink

Peter A. G. van Bergeijk

Hans van Ees

Ronald Boin

Wietse Dol

Jouke van Dijk

Ton Steerneman

Research memorandum

Memorandum from Institute of Economic Research, Faculty of Economics, University of Groningen

Cars Hommes

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