Essays on validation and estimation of agent-based models and on overconfidence measures

The unifying theme of this thesis is the study built around individual heterogeneity. When analyzing the behaviour of economic agents and institutions, the role of individual heterogeneity, various behavioural characteristics receive more attention in scientific research. This thesis can be divided into two parts, presenting two ways for studying individual heterogeneity in financial markets and economy. One way to study the behaviour of heterogeneous individuals is building models based on microsimulations where one can model agents with different preferences and behavioural rules and investigate behavioural characteristics and individual interactions which lead to the behaviour of the market as a whole. Another way to study the behaviour of heterogeneous individuals is studying the observed individual behaviour with the help of micro-level data retrieved from various surveys. When studying individual behaviour using survey responses, a researcher often needs to create reliable measures which may represent a behavioural characteristic under consideration. Sometimes a researcher encounters many alternatives when approaching a specific question. Therefore, it is also necessary to investigate the relations between these alternatives and whether they might represent the same underlying behavioural factor.