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Preface
Complex Systems in Finance and Econometrics is an authoritative reference to the basic tools and concepts of complexity
and systems theory as applied to an understanding of complex, ﬁnancial-based business and social systems. Fractals,
nonlinear time series modeling, cellular automata, game theory, network theory and statistical physics are among the
tools and techniques that are used for predicting, monitoring, evaluating, managing, and decision-making in a wide
range of ﬁelds from health care, poverty alleviation, and energy and the environment, to manufacturing and quality
assurance, model building, organizational learning. and macro and microeconomics. In the last of these areas, market
bubbles and crashes, foreign exchange, and bond markets are addressed.
Sixty-nine of the world’s leading experts present 49 articles for an audience of advanced undergraduate and graduate
students, professors, and professionals in all of these ﬁelds. Each article was selected and peer reviewed by one of the
Section Editors of the Encyclopedia of Complexity and Systems Science with advice and consultation provided by our
BoardMembers and Editor-in-Chief. This level of coordination assures that the reader can have a level of conﬁdence in
the relevance and accuracy of the information far exceeding that generally found on theWorldWideWeb or any print
publication. Accessiblilty is also a priority and for this reason each article includes a glossary of important terms and a
concise deﬁnition of the subject. The primary Section Editors for this project were BruceMizrach and Brian Dangerﬁeld,
while Andrej Nowak, Cristina Marchetti, Marilda Sotomayor, Daniel ben-avraham and Schlomo Havlin recruited and
reviewed several of the articles. An alphabetical list of the 49 articles and the authors is presented on pages XV throughXVII, and the articles are also organized by section on pages VII to VIII. A summary, perspective and roadmap for the
articles on Finance and Econometrics can be found on pages 290 to 292, and for System Dynamics on pages 853 to 855.
Complex systems are systems that comprise many interacting parts with the ability to generate a new quality of col-
lective behavior through self-organization, e.g. the spontaneous formation of temporal, spatial or functional structures.
They are therefore adaptive as they evolve andmay contain self-driving feedback loops. Thus, complex systems aremuch
more than a sum of their parts. Complex systems are often characterized as having extreme sensitivity to initial condi-
tions as well as emergent behavior that are not readily predictable or even completely deterministic. One conclusion is
that a reductionist (bottom-up) approach is often an incomplete description of a phenomenon. This recognition, that
the collective behavior of the whole system cannot be simply inferred from the understanding of the behavior of the in-
dividual components, has led tomany new concepts and sophisticated mathematical andmodeling tools for application
to ﬁnancial-based business and social systems.
Acknowledgements
I wish to thank Springer management David Packer, Lydia Mueller and Sylvia Blago for selecting this project for publi-
cation and providing valuable advice and counsel.
Robert A. Meyers
Editor in Chief
Larkspur, California
August 2010

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2011-5-22 23:57:28

Table of Contents
Agent Based Computational Economics
Moshe Levy .................................................... 1
Agent Based Modeling and Neoclassical Economics: A Critical Perspective
Scott Moss ..................................................... 22
Agent Based Models in Economics and Complexity
Mauro Gallegati,Matteo G. Richiardi ...................................... 30
Bayesian Methods in Non-linear Time Series
Oleg Korenok ................................................... 54
Business Policy and Strategy, System Dynamics Applications to
James M. Lyneis .................................................. 69
Corporate andMunicipal BondMarket Microstructure in the U.S.
Michael S. Piwowar ................................................ 93
Delay and Disruption in Complex Projects
Susan Howick, Fran Ackermann, Colin Eden, TerryWilliams ......................... 116
Diﬀusion of Innovations, System Dynamics Analysis of thePeterM. Milling, Frank H.Maier ........................................ 136
Dynamics of Income Distribution in a Market Economy: Possibilities for Poverty Allevation
Khalid Saeed ................................................... 163
Econometrics: Models of Regime Changes
Jeremy Piger .................................................... 190
Econometrics: Non-linear Cointegration
Juan-Carlos Escanciano, Alvaro Escribano .................................... 203
Econometrics: Panel Data Methods
JeﬀreyM.Wooldridge ............................................... 215
Econophysics, Observational
BertrandM. Roehner ............................................... 238
Econophysics, StatisticalMechanics Approach to
Victor M. Yakovenko ............................................... 247
Extreme Events in Socio-economic and Political Complex Systems, Predictability of
Vladimir Keilis-Borok, Alexandre Soloviev, Allan Lichtman .......................... 273
Finance and Econometrics, Introduction to
Bruce Mizrach .................................................. 290
Finance, Agent Based Modeling in
SebastianoManzan ................................................ 293
Financial Economics, Fat-Tailed Distributions
Markus Haas, Christian Pigorsch ........................................ 308Financial Economics, Non-linear Time Series in
Terence C.Mills, Raphael N.Markellos ..................................... 340
Financial Economics, Return Predictability andMarket Eﬃciency
Stijn van Nieuwerburgh, Ralph S. J. Koijen ................................... 353
Financial Economics, The Cross-Section of Stock Returns and the Fama-French Three FactorModel
Ralitsa Petkova .................................................. 361
Financial Economics, Time Variation in the Market Return
Mark J. Kamstra, Lisa A. Kramer ........................................ 375
Financial Forecasting, Non-linear Time Series in
Gloria González-Rivera, Tae-Hwy Lee ...................................... 394
Financial Forecasting, Sensitive Dependence
Mototsugu Shintani ................................................ 424
Fractals and Economics
Misako Takayasu, Hideki Takayasu ....................................... 444
GARCH Modeling
ChristianM. Hafner ............................................... 464
Group Model Building
Etiënne A. J. A. Rouwette, JacA.M.Vennix ................................... 484
Health Care in the United Kingdom and Europe, System Dynamics Applications to
EricWolstenholme ................................................ 497
Health Care in the United States, System Dynamics Applications to
Gary Hirsch, Jack Homer ............................................. 513
Macroeconomics, Non-linear Time Series in
James Morley ................................................... 525Market Games and Clubs
MyrnaWooders .................................................. 549
Market Microstructure
Clara Vega, Christian S. Miller .......................................... 567
Market Microstructure, Foreign Exchange
Carol Osler .................................................... 580
Microeconometrics
Pravin K. Trivedi ................................................. 615
Nonparametric Tests for Independence
Cees Diks ..................................................... 636
Public Policy, System Dynamics Applications to
David F. Andersen, Eliot Rich, RoderickMacDonald .............................. 655
Scenario-Driven Planning with System Dynamics
Nicholas C. Georgantzas ............................................. 671
Stochastic Volatility
Torben G. Andersen, Luca Benzoni ....................................... 694
System Dynamics and Its Contribution to Economics and Economic Modeling
Michael J. Radzicki ................................................ 727
System Dynamics and Organizational Learning
KambizMaani .................................................. 738
System Dynamics in the Evolution of the Systems Approach
Markus Schwaninger ............................................... 753SystemDynamics Modeling: Validation for Quality Assurance
Markus Schwaninger, Stefan Groesser ...................................... 767
SystemDynamics Models of Environment, Energy and Climate Change
Andrew Ford ................................................... 782
System Dynamics Models, Optimization of
Brian Dangerﬁeld ................................................. 802
SystemDynamics Philosophical Background and Underpinnings
Camilo Olaya ................................................... 812
SystemDynamics, AnalyticalMethods for StructuralDominance, Analysis in
Christian Erik Kampmann, Rogelio Oliva .................................... 833
SystemDynamics, Introduction to
Brian Dangerﬁeld ................................................. 853
System Dynamics, The Basic Elements of
George P. Richardson ............................................... 856
TreasuryMarket, Microstructure of the U.S.
Bruce Mizrach, Christopher J. Neely ....................................... 863
List of Glossary Terms ................................................ 877
Index ......................................................... 883