This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.

This thesis consists of three single-authored chapters on high-frequency market microstructure. All of them are self-contained, and can be read independently. Chapter 1 examines the extent of herd behavior in a financial market from 2005 to 2008; in particular, whether herd selling increased during...