This paper 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 by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

These 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...

A pluralist approach to economics is both necessary from an academic as well a policy point of view. From an academic viewpoint pluralism can be understood as the outcome of competition and specialization in the search for new ideas that can deal with imperfections of the real world. From a...

The aim of the paper is to obtain confidence intervals for the tail index and high quantiles taking into account the optimal rate of convergence of the estimator. The common approach to obtaining confidence intervals presented in the literature is to use the normal distribution approximation at...

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

In this paper we describe the extreme points of two closely related polytopes that are assigned to a digraph. The first polytope is the set of all sharing vectors (elements from the unit simplex) such that each node gets at least as much as each of its successors. The second one is the set of...

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...

Many economic and social situations can be represented by a digraph. Both axiomatic and iterative methods to determine the strength or power of all the nodes in a digraph have been proposed in the literature. We propose a new method, where the power of a node is determined by both the number of...

We consider cooperative games with transferable utility (TU-games), in which we allow for a social structure on the set of players. The social structure is utilized to refine the core of the game. For every coalition the relative strength of a player within that coalition is induced by the...

In this paper, we consider deterministic (both fluid and discrete) polling systems with <I>N</I> queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...</i>