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.

The organization of information processing resources is a central question in economic, organizational, and computational theory. Recent work by Radner (1992) and others has developed a simple theoretical framework and some useful formal mathematical results about the behavior of such systems....

This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling...

This paper presents a hybrid genetic algorithm to obtain maximum likelihood estimates of parameters in structural econometric models with multiple equilibria. The algorithm combines a pseudo maximum likelihood (PML) procedure with a genetic algorithm (GA). The GA searches globally over the large...

Saltwater intrusion management models can be used to derive optimal and efficient management strategies for controlling saltwater intrusion in coastal aquifers. To obtain physically meaningful optimal management strategies, the physical processes involved need to be simulated while deriving the...