Agent-Based Modeling in Economics and Finance
TL;DR — The survey of agent-based modelling by two of its architects — the case for simulating economies from the bottom up instead of assuming equilibrium.
96 pages surveying the field’s past, present and future.
The argument is methodological: mainstream macroeconomics reaches tractability by assuming representative agents and equilibrium, and those assumptions are doing more work than they can bear when the phenomena of interest are precisely heterogeneity, adaptation and disequilibrium. Agent-based models give that up in exchange for simulating many interacting heterogeneous agents directly.
The honest part of the survey is its treatment of the costs — calibration and validation are genuinely harder, and the field has under-delivered on both. Worth reading alongside the fat-tails material for the same reason: both are about what standard method hides.
Where this came from
96 pages. A copy is archived locally against link rot; the header links the original source.