This chapter focuses on agent-based modeling, a computational intensive method for developing and exploring new kinds of economic and finance models. The complexity of financial markets represents a big challenge to the specialist in the area. The traditional way of coping with the analysis of such markets is the use of analytical models. However, the analytical models present some difficulties and this has led to the development of alternative methods for the analysis of such markets. The emerging fields of Agent-based Computational Finance provide some means to tackle some of the limitations of the analytical models in economics and finance. We introduce an agent-based modeling approach to study complex systems. This chapter also suggests some research directions, where agent-based models can be a useful complement to mainstream approaches.