The complexity of modeling electricity markets is increasing, due to for example increased penetration of renewable energy sources, electric vehicles and more active participation from the demand side. An analysis of a system with multiple market participants displaying certain behavior, could be difficult through an optimization problem. Due to several advantages, agent based approach can be followed to model the behavior of different market participants in the electricity markets. Lately, considerable amount of research work has been carried out on developing Agent-Based Models (ABMs) for electricity markets. This paper is aimed at providing a review of the literature on different applications of ABM in electricity markets. It is shown that ABMs have been applied to a wide range of studies of different parts of electricity trading. Some specific electricity markets modeled with ABMs have also been mentioned. According to the literature survey, the research gap is highlighted and future scope of work in this area is discussed.