Tesfatsion, L. (2002). Agent-based computational economics: growing economies from the bottom up. [pdf]
LeBaron, B. (2000). Agent-based computational finance: Suggested readings and early research. [pdf]
LeBaron, B. (2001). Empirical regularities from interacting long and short horizon investors in an agent-based stock market. [pdf]
Arthur, B. (1993). On designing economic agents that behave like human agents.
Chen, S.-H., Chang, C.-L., Du, Y.-R. (2009). Agent-based economic models and econometrics. [pdf]
Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. [pdf]