CeNDEF working papers

Working papers 2017

Diks, C.G.H. and Fang, H.
Detecting Granger Causality with a Nonparametric Information-based Statistic
CeNDEF Working paper 17-03 University of Amsterdam

Boehl, G.
Monetary Policy and Speculative Stock Markets
CeNDEF Working paper 17-02 University of Amsterdam

Hommes, C.H.
From Self-Fulfilling Mistakes to Behavioral Learning Equilibria
CeNDEF Working paper 17-01 University of Amsterdam

Working papers 2016

Bao, T., Hennequin, M., Hommes, C.H., Massaro, D.
Coordination on bubbles in large-group asset pricing experiments
CeNDEF Working paper 16-09 University of Amsterdam

Lamantia, F., Negriu, A., Tuinstra, J. 
Evolutionary Cournot competition with endogenous technology choice: (in)stability and optimal policy
CeNDEF Working paper 16-08 University of Amsterdam

Van der Leij, M.J., In 't Veld, D., Hommes, C.H.
The formation of a core periphery structure in heterogeneous financial networks (revision of WP 14-04)
CeNDEF Working paper 16-07 University of Amsterdam

Arifovic, J., Hommes, C.H., Salle, I.
Learning to Believe in Simple Equilibria in a Complex OLG Economy - evidence from the lab
CeNDEF Working paper 16-06 University of Amsterdam

Sniekers, F.J.T.
Persistence and volatility of Beveridge cycles (revision of WP 14-11) 
CeNDEF Working paper 16-05 University of Amsterdam

Seppecher, P., Salle, I., Lang, D.
Is the Market Really a Good Teacher?
CeNDEF Working paper 16-04 University of Amsterdam

Hommes, C.H., Zhu, M.
Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy
CeNDEF Working paper 16-03 University of Amsterdam

Diks, C.G.H., Fang, H.
Comparing Density Forecasts in a Risk Management Context
CeNDEF Working paper 16-02 University of Amsterdam

Hommes, C.H., Lustenhouwer, J.
Managing Heterogeneous and Unanchored Expectations: A Monetary Policy Analysis
CeNDEF Working paper 16-01 University of Amsterdam

Working papers 2015

Wang, J.
Can a stochastic cusp catastrophe model explain housing market crashes?
CeNDEF Working paper 15-12 University of Amsterdam

Hommes, C.H., Massaro, D., Salle, I.
Monetary and Fiscal Policy Design at the Zero Lower Bound - Evidence from the Lab
CeNDEF Working paper 15-11 University of Amsterdam

Bao, T., Hommes, C.H.
When Speculators Meet Constructors: Positive and Negative Feedback in Experimental Housing Markets
CeNDEF Working paper 15-10 University of Amsterdam

Anufriev, M., Bao, T., Tuinstra, J.
Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment
CeNDEF Working paper 15-09 University of Amsterdam

Makarewicz, T.A.
Networks of Heterogeneous Expectations in an Asset Pricing Market
CeNDEF Working paper 15-08 University of Amsterdam

Anufriev, M., Hommes, C.H., Makarewicz, T.A.
Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments
CeNDEF Working paper 15-07 University of Amsterdam

Negriu, A.
Equilibrium Type of Competition with Horizontal Product Innovation
CeNDEF Working paper 15-06 University of Amsterdam

Agliari, A., Hommes, C.H., Pecora, N.
Path Dependent Coordination of Expectations in Asset Pricing Experiments: a Behavioral Explanation
CeNDEF Working paper 15-05 University of Amsterdam

Diks, C.G.H., Hommes, C.H., Wang, J.
Critical Slowing Down as Early Warning Signals for  Financial Crises?
CeNDEF Working paper 15-04 University of Amsterdam

Hommes, C.H., Lustenhouwer, J.  
Inflation Targeting and Liquidity Traps under Endogenous Credibility
CeNDEF Working paper 15-03 University of Amsterdam

Bao, T., Ding, L.
Non-Recourse Mortgage and Housing Price Boom, Bust, and Rebound
CeNDEF Working paper 15-02 University of Amsterdam

Hommes, C.H.,Makarewicz, T.A., Massaro, D., Smits, T.
Genetic Algorithm Learning in a New Keynesian Macroeconomic Setup
CeNDEF Working paper 15-01 University of Amsterdam

Working papers 2014

Schinkel, M.P., Tóth, L., Tuinstra, J. 
Discretionary Authority and Prioritizing in Government Agencies
CeNDEF Working paper 14-15 University of Amsterdam

Hommes, C., In 't Veld, D.
Booms, busts and behavioural heterogeneity in stock prices
CeNDEF Working paper 14-14 University of Amsterdam

Bolt, W., Demertzisz, M., Diks, C., Hommes, C., van der Leij, M.
Identifying Booms and Busts in House Prices under Heterogeneous Expectations
CeNDEF Working paper 14-13 University of Amsterdam

Agliari, A., Massaro, D., Pecora, N., Spelta, A.
Inflation Targeting, Recursive Inattentiveness and Heterogeneous Beliefs
CeNDEF Working paper 14-12 University of Amsterdam

Sniekers, F.J.T.
Persistence and volatility of Beveridge cycles (revision of WP 13-12, revised in WP 16-05)
CeNDEF Working paper 14-11 University of Amsterdam

Seppecher, P.,Salle I.
Deleveraging crises and deep recessions: a behavioural approach
CeNDEF Working paper 14-10 University of Amsterdam

Diks, C.G.H.,Kugiumtzis, D.,Kyrtsou, K.,Papana, A.,
Identifying causal relationships in case of non-stationary time series
CeNDEF Working paper 14-09 University of Amsterdam

Diks, C.G.H.,Kugiumtzis, D.,Kyrtsou, K.,Papana, A.,
Assessment of Resampling Methods for Causality Testing
CeNDEF Working paper 14-08 University of Amsterdam

Assenza, T.,Heemeijer, P.,Hommes, C.H.,Massaro, D.,
Managing Self-organization of Expectations through Monetary Policy: a Macro Experiment
CeNDEF Working paper 14-07 University of Amsterdam

Kopányi, D.,
Coexisting stable equilibria under least squares learning
CeNDEF Working paper 14-06 University of Amsterdam

Assenza, T.,Bao, T.,Hommes, C.H.,Massaro, D.,
Experiments on Expectations in Macroeconomics and Finance
CeNDEF Working paper 14-05 University of Amsterdam

Hommes, C.H.,In 't Veld, D.,Van der Leij, M.J.,
The formation of a core periphery structure in heterogeneous financial networks (revised in WP 16-07) 
CeNDEF Working paper 14-04 University of Amsterdam

Canoy, M.,In 't Veld, Daan,
How to boost the production of free services: In search of the holy referee grail
CeNDEF Working paper 14-03 University of Amsterdam

Sniekers, F.J.T.,
The order of buying and selling: Multiple equilibria in the housing market
CeNDEF Working paper 14-02 University of Amsterdam

Bao, T.,Hommes, C.H.,Makarewicz, T.A.,
Bubble Formation and (In)efficient Markets in Learning-to-Forecast and -Optimize Experiments
CeNDEF Working paper 14-01 University of Amsterdam

Working Papers 2013

Hommes, C.H.,
Reflexivity, Expectations Feedback and Almost Self-fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments
CeNDEF Working paper 13-19 University of Amsterdam

Hommes, C.H.,Zeppini, P.,
Innovate or Imitate? Behavioural Technological Change
CeNDEF Working paper 13-18 University of Amsterdam

Hommes, C.H.,
Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria
CeNDEF Working paper 13-17 University of Amsterdam

Diks, C.G.H.,Kugiumtzis, D.,Kyrtsou, K.,Papana, A.,
Partial Symbolic Transfer Entropy
CeNDEF Working paper 13-16 University of Amsterdam

Diks, C.G.H.,Wolski, M.,
Nonlinear Granger Causality: Guidelines for Multivariate Analysis
CeNDEF Working paper 13-15 University of Amsterdam

Wolski, M.,
Exploring Nonlinearities in Financial Systemic Risk
CeNDEF Working paper 13-14 University of Amsterdam

Kopányi, D.,
Price-Quantity Competition under Strategic Uncertainty
CeNDEF Working paper 13-13 University of Amsterdam

Sniekers, F.J.T.,
Endogenous Beveridge cycles and the volatility of unemployment (revised in WP 14-11) 
CeNDEF Working paper 13-12 University of Amsterdam

Zeppini, P.,
A Discrete Choice Model of Transitions to Sustainable Technologies
CeNDEF Working paper 13-11 University of Amsterdam

Negriu, A.,
Financial architecture and industrial technology: A co-evolutionary model
CeNDEF Working paper 13-10 University of Amsterdam

De Zeeuw, A.,Ochea, M.I.,
Evolution of Reciprocity in Asymmetric International Environmental Negotiations
CeNDEF Working paper 13-09 University of Amsterdam

Wagener, F.O.O.,
Economics of environmental regime shifts
CeNDEF Working paper 13-08 University of Amsterdam

Wagener, F.O.O.,
Expectations in Experiments
CeNDEF Working paper 13-07 University of Amsterdam

Assenza, T.,Delli Gatti, D.,
An Intertemporal Greenwald-Stiglitz
CeNDEF Working paper 13-06 University of Amsterdam

Hinloopen, J.,Smrkolj, G.,Wagener, F.O.O.,
In Defense of Trusts: R&D Cooperation in Global Perspective
CeNDEF Working paper 13-05 University of Amsterdam

Anufriev, M.,Bao, T.,Tuinstra, J.,
Fund Choice Behavior and Estimation of Switching Models: An Experiment
CeNDEF Working paper 13-04 University of Amsterdam

Dockner, E.J.,Wagener, F.O.O.,
Markov–Perfect Nash Equilibria in Models With a Single Capital Stock (Revised version, March 2013)
CeNDEF Working paper 13-03 University of Amsterdam

Linde, J.,Sonnemans, J.,Tuinstra, J.,
Strategies and Evolution in the Minority Game: A Multi- Round Strategy Experiment
CeNDEF Working paper 13-02 University of Amsterdam

Anufriev, M.,Tuinstra, J.,
The impact of short-selling constraints on financial market stability in a heterogeneous agents model
CeNDEF Working paper 13-01 University of Amsterdam

Working papers 2012

Ochea, M.I.,
Evolution of Repeated Prisoner's Dilemma Play under Logit Dynamics
CeNDEF Working paper 12-10 University of Amsterdam

Hommes, C.H.,Zhu, M.,
Behavioral Learning Equilibria
CeNDEF Working paper 12-09 University of Amsterdam

Assenza, T.,Delli Gatti, D.,
E Pluribus Unum: Macroeconomic Modelling for Multi-agent Economies
CeNDEF Working paper 12-08 University of Amsterdam

Assenza, T.,Brock, W.A.,Hommes, C.H.,
Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises
CeNDEF Working paper 12-07 University of Amsterdam

In 't Veld, Daan,Tuinstra, J.,
Market-Induced Rationalization and Welfare Enhancing Cartels
CeNDEF Working paper 12-06 University of Amsterdam

Anufriev, M.,Kopányi, D.,Tuinstra, J.,
Learning Cycles in Bertrand Competition with Differentiated Commodities and Competing Learning Rules
CeNDEF Working paper 12-05 University of Amsterdam

Peters, R.,Weide, R. van der,
Volatility: Expectations and Realizations
CeNDEF Working paper 12-04 University of Amsterdam

Cornea, A.,Hommes, C.H.,Massaro, D.,
Behavioral Heterogeneity in U.S. Inflation Dynamics
CeNDEF Working paper 12-03 University of Amsterdam

Massaro, D.,
Heterogeneous Expectations in Monetary DSGE Models
CeNDEF Working paper 12-02 University of Amsterdam

Wagener, F.O.O.,
Regime shifts: early warnings
CeNDEF Working paper 12-01 University of Amsterdam

Working papers 2011

Bolt, W.,Demertzis, M.,Diks, C.G.H.,Van der Leij, M.J.,
Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices
CeNDEF Working paper 11-12 University of Amsterdam

Hinloopen, J.,Smrkolj, G.,Wagener, F.O.O.,
From Mind to Market: A Global, Dynamic Analysis of R&D
CeNDEF Working paper 11-11 University of Amsterdam

Hommes, C.H.,Ochea, M.I.,Tuinstra, J.,
On the stability of the Cournot equilibrium: An evolutionary approach
CeNDEF Working paper 11-10 University of Amsterdam

Anufriev, M.,Bottazzi, G.,Marsili, M.,Pin, P.,
Excess Covariance and Dynamic Instability in a Multi-Asset Model
CeNDEF Working paper 11-09 University of Amsterdam

Bao, T.,Duffy, J.,Hommes, C.H.,
Learning, Forecasting and Optimizing: an Experimental Study
CeNDEF Working paper 11-08 University of Amsterdam

Grazzini, J.,
Experimental Based, Agent Based Stock Market
CeNDEF Working paper 11-07 University of Amsterdam

Anufriev, M.,Hommes, C.H.,
Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (revised version of WP 09-09)
CeNDEF Working paper 11-06 University of Amsterdam

Kiseleva, T.,Wagener, F.O.O.,
Bifurcations of Optimal Vector Fields
CeNDEF Working paper 11-05 University of Amsterdam

Hommes, C.H.,Zhu, M.,
Learning under misspecification: a behavioral explanation of excess volatility in stock prices and persistence in inflation
CeNDEF Working paper 11-04 University of Amsterdam

Diks, C.G.H.,Wagener, F.O.O.,
Phenomenological and ratio bifurcations of a class of discrete time stochastic processes
CeNDEF Working paper 11-03 University of Amsterdam

De Zeeuw, A.,Wagener, F.O.O.,
The Size of Stable International Environmental Agreements in the case of Stock Pollution
CeNDEF Working paper 11-02 University of Amsterdam

Assenza, T.,Heemeijer, P.,Hommes, C.H.,Massaro, D.,
Individual Expectations and Aggregate Macro Behavior
CeNDEF Working paper 11-01 University

Working papers 2010

Bergh, J.C.J.M. van der,Zeppini Rossi, P.,
Competing Recombinant Technologies for Environmental Innovation: Extending Arthur’s Model of Lock-in
CeNDEF Working paper 10-11 University of Amsterdam

De Zeeuw, A.,Polasky, S.,Wagener, F.O.O.,
Optimal Management with Potential Regime Shifts
CeNDEF Working paper 10-10 University of Amsterdam

Dindo, P.D.E.,Tuinstra, J.,
A class of evolutionary model for participation games with negative feedback (revised version of WP 06-10)
CeNDEF Working paper 10-09 University of Amsterdam

Sonnemans, J.,Tuinstra, J.,
Positive expectations feedback experiments and number guessing games as models of financial markets (revised version of WP 08-07)
CeNDEF Working paper 10-08 University of Amsterdam

Bao, T.,Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,
Individual Expectations, Limited Rationality and Aggregate Outcomes
CeNDEF Working paper 10-07 University of Amsterdam

Hommes, C.H.,
The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab
CeNDEF Working paper 10-06 University of Amsterdam

Anufriev, M.,Hommes, C.H.,Philipse, R.H.S.,
Evolutionary Selection of Expectations in Positive and Negative Feedback Markets
CeNDEF Working paper 10-05 University of Amsterdam

Hommes, C.H.,Ochea, M.I.,
Multiple Steady States, Limit Cycles and Chaotic Attractors in Evolutionary Games with Logit Dynamics
CeNDEF Working paper 10-04 University of Amsterdam

Anufriev, M.,Tuinstra, J.,
The impact of short-selling constraints on financial market stability in a model with heterogeneous agents
CeNDEF Working paper 10-03 University of Amsterdam

Gerasymchuk, S.,Panchenko, V.,Pavlov, O.V.,
Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs
CeNDEF Working paper 10-02 University of Amsterdam

Anufriev, M.,Arifovic, J.,Ledyard, J.,Panchenko, V.,
Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information
CeNDEF Working paper 10-01 University of Amsterdam

Working papers 2009 

Assenza, T.,Berardi, M.,Delli Gatti, D.,
Asset Prices and Monetary Policy: A New View of the Cost Channel
CeNDEF Working paper 09-17 University of Amsterdam

Bao, T.,Wang, Y.,
Incomplete Contract and Divisional Structures
CeNDEF Working paper 09-16 University of Amsterdam

Bekiros, S.,
Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models
CeNDEF Working paper 09-15 University of Amsterdam

M Moghayer, S.,Wagener, F.O.O.,
Genesis of indifference thresholds and infinitely many indifference points in discrete time infinite horizon optimisation problems
CeNDEF Working paper 09-14 University of Amsterdam

De Gooijer, J.G.,Diks, C.G.H.,Gatarek, L.G.,
Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
CeNDEF Working paper 09-13 University of Amsterdam

Kiseleva, T.,Wagener, F.O.O.,
Bifurcations of optimal vector fields in the shallow lake model
CeNDEF Working paper 09-12 University of Amsterdam

Anufriev, M.,Bottazzi, G.,
Market Equilibria under Procedural Rationality (revised version of WP 06-02)
CeNDEF Working paper 09-11 University of Amsterdam

Hommes, C.H.,Wagener, F.O.O.,
Does eductive stability imply evolutionary stability?
CeNDEF Working paper 09-10 University of Amsterdam

Anufriev, M.,Hommes, C.H.,
Evolutionary Selection of Individual Expectations and Aggregate Outcomes
CeNDEF Working paper 09-09 University of Amsterdam

Wagener, F.O.O.,
On conjugate points and the Leitmann equivalent problem approach
CeNDEF Working paper 09-08 University of Amsterdam

Hommes, C.H.,Kiseleva, T.,Kuznetsov, Y.A.,Verbic, M.,
Is more memory in evolutionary selection (de)stabilizing?
CeNDEF Working paper 09-07 University of Amsterdam

Wagener, F.O.O.,
A parametrised version of Moser's modifying terms theorem
CeNDEF Working paper 09-06 University of Amsterdam

Wagener, F.O.O.,
Shallow lake economics run deep: Nonlinear aspects of an economic-ecological interest conflict
CeNDEF Working paper 09-05 University of Amsterdam

Koster, M.,
Contracts, cost sharing and consistency
CeNDEF Working paper 09-04 University of Amsterdam

Hommes, C.H.,Lux, T.,
Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments
CeNDEF Working paper 09-03 University of Amsterdam

Gardini, L.,Hommes, C.H.,Tramontana, F.,Vilder, R. de,
Forward and Backward Dynamics in implicitly defined Overlapping Generations Models
CeNDEF Working paper 09-02 University of Amsterdam

Anufriev, M.,Branch, W.A.,
Introduction to the Journal of Economic Dynamics and Control special issue on Complexity in Economics and Finance
CeNDEF Working paper 09-01 University of Amsterdam

Working papers 2008

Heijnen, P.,Wagener, F.O.O.,
Managing the environment and the economy in the presence of hysteresis and irreversibility
CeNDEF Working paper 08-13 University of Amsterdam

Bergh, J.C.J.M. van der,Zeppini, P.,
Optimal Diversity in Investments with Recombinant Innovation
CeNDEF Working paper 08-12 University of Amsterdam

Heijnen, P.,
The Hartwick rule as a conservation law
CeNDEF Working paper 08-11 University of Amsterdam

Dijk, D. van,Diks, C.G.H.,Panchenko, V.,
Out-of-sample comparison of copula specifications in multivariate density forecasts
CeNDEF Working paper 08-10 University of Amsterdam

Dockner, E.J.,Wagener, F.O.O.,
Markov--perfect Nash equilibria in models with a single capital stock (Revised version, August 2008)
CeNDEF Working paper 08-09 University of Amsterdam

Anufriev, M.,Assenza, T.,Hommes, C.H.,Massaro, D.,
Interest Rate Rules with Heterogeneous Expectations
CeNDEF Working paper 08-08 University of Amsterdam

Sonnemans, J.,Tuinstra, J.,
Positive expectations feedback experiments and number guessing games as models of financial markets
CeNDEF Working paper 08-07 University of Amsterdam

Wagener, F.O.O.,
On the Leitmann equivalent problem approach
CeNDEF Working paper 08-06 University of Amsterdam

Hommes, C.H.,Wagener, F.O.O.,
Complex evolutionary systems in behavioral finance
CeNDEF Working paper 08-05 University of Amsterdam

Brock, W.A.,Hommes, C.H.,Wagener, F.O.O.,
More hedging instruments may destabilize markets (Revised version, April 2008)
CeNDEF Working paper 08-04 University of Amsterdam

Dijk, D. van,Diks, C.G.H.,Panchenko, V.,
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
CeNDEF Working paper 08-03 University of Amsterdam

Haan, M. A.,Heijnen, P.,Schoonbeek, L.,Toolsema, L. A.,
Sound taxation? On the use of self-declared value
CeNDEF Working paper 08-02 University of Amsterdam

Kiseleva, T.,Wagener, F.O.O.,
Bifurcations of optimal vector fields in the shallow lake system: an overview
CeNDEF Working paper 08-01 University of Amsterdam

Working Papers 2007

Ramer, R.,
Coalition Formation and Value Distribution in TU Games
CeNDEF Working paper 07-16 University of Amsterdam

Ramer, R.,
Timing in Canonical Models of Duopoly
CeNDEF Working paper 07-15 University of Amsterdam

Anufriev, M.,Panchenko, V.,
Asset Prices, Traders' Behavior, and Market Design
CeNDEF Working paper 07-14 University of Amsterdam

Assenza, T.,Delli Gatti, D.,Gallegati, M.,
Heterogeneity and Aggregation in a Financial Accelerator Model
CeNDEF Working paper 07-13 University of Amsterdam

Furth, D.,
Anything goes with heterogeneous, but not with homogeneous oligopoly
CeNDEF Working paper 07-12 University of Amsterdam

Bekiros, S.,Diks, C.G.H.,
The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality
CeNDEF Working paper 07-11 University of Amsterdam

Anufriev, M.,Dindo, P.D.E.,
Wealth-driven Selection in a Financial Market with Heterogeneous Agents
CeNDEF Working paper 07-10 University of Amsterdam

Heijnen, P.,
The diffusion of differentiated waste disposal taxes in the Netherlands
CeNDEF Working paper 07-09 University of Amsterdam

Bekiros, S.,Diks, C.G.H.,
The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing
CeNDEF Working paper 07-08 University of Amsterdam

Hommes, C.H.,
Complexity, Evolution and Learning: a simple story of heterogeneous expectations and some empirical and experimental validation
CeNDEF Working paper 07-07 University of Amsterdam

Anufriev, M.,Hommes, C.H.,
Evolution of Market Heuristics
CeNDEF Working paper 07-06 University of Amsterdam

Assenza, T.,
Borrowing Constraints, Multiple Equilibria and Monetary Policy
CeNDEF Working paper 07-05 University of Amsterdam

Agliari, A.,Assenza, T.,Delli Gatti, D.,Santoro, E.,
"Credit Cycles" in an OLG Economy with Money and Bequest
CeNDEF Working paper 07-04 University of Amsterdam

Heijnen, P.,
On the probability of breakdown in participation games
CeNDEF Working paper 07-03 University of Amsterdam

Heijnen, P.,
Informative advertising by an environmental group
CeNDEF Working paper 07-02 University of Amsterdam

Hommes, C.H.,
Bounded Rationality and Learning in Complex Markets
CeNDEF Working paper 07-01 University of Amsterdam

Working Papers 2006

Bekiros, S.,Georgoutsos, D.,
Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models
CeNDEF Working paper 06-17 University of Amsterdam

Bekiros, S.,Georgoutsos, D.,
“Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network”
CeNDEF Working paper 06-16 University of Amsterdam

Diks, C.G.H.,Hommes, C.H.,Panchenko, V.,Weide, R. van der,
E&F Chaos: a user friendly software package for nonlinear economic dynamics
CeNDEF Working paper 06-15 University of Amsterdam

Diks, C.G.H.,Panchenko, V.,
Rank-based entropy tests for serial independence
CeNDEF Working paper 06-14 University of Amsterdam

Boswijk, H.P.,Weide, R. van der,
Wake me up before you GO-GARCH
CeNDEF Working paper 06-13 University of Amsterdam

Brock, W.A.,Hommes, C.H.,Wagener, F.O.O.,
More hedging instruments may destabilize markets
CeNDEF Working paper 06-12 University of Amsterdam

Diks, C.G.H.,Dindo, P.D.E.,
Informational differences and learning in an asset market with boundedly rational agents
CeNDEF Working paper 06-11 University of Amsterdam

Dindo, P.D.E.,Tuinstra, J.,
A Behavioral Model for Participation Games with Negative Feedback
CeNDEF Working paper 06-10 University of Amsterdam

Goppelsroeder, M.,Schinkel, M.P.,Tuinstra, J.,
Quantifying the Scope for Efficiency Defense in Merger Control: The Werden-Froeb-Index
CeNDEF Working paper 06-09 University of Amsterdam

Commendatore, P.,Kubin, I.,
Taxation on Agglomeration
CeNDEF Working paper 06-08 University of Amsterdam

Dockner, E.J.,Wagener, F.O.O.,
Markov-Perfect Nash Equilibria in Models With a Single Capital Stock
CeNDEF Working paper 06-07 University of Amsterdam

Saleh, K.,Wagener, F.O.O.,
Semi-global analysis of periodic and quasi-periodic k:1 and k:2 resonances
CeNDEF Working paper 06-06 University of Amsterdam

Heemeijer, P.,Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,
Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation
CeNDEF Working paper 06-05 University of Amsterdam

Diks, C.G.H.,Wagener, F.O.O.,
A weak bifurcation theory for discrete time stochastic dynamical systems
CeNDEF Working paper 06-04 University of Amsterdam

Anufriev, M.,Dindo, P.D.E.,
Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model
CeNDEF Working paper 06-03 University of Amsterdam

Anufriev, M.,Bottazzi, G.,
Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders
CeNDEF Working paper 06-02 University of Amsterdam

Hommes, C.H.,
Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006.
CeNDEF Working paper 06-01 University of Amsterdam

Working Papers 2005

Anufriev, M.,
Wealth-Driven Competition in a Speculative Financial Market: Examples With Maximizing Agents
CeNDEF Working paper 05-17 University of Amsterdam

Hoog S. van der,
A spatial separation model of a credit economy with optimistic and pessimistic quantity expectations
CeNDEF Working paper 05-16 University of Amsterdam

Brock, W.A.,Dindo, P.D.E.,Hommes, C.H.,
Adaptive Rational Equilibrium with Forward Looking Agents, fortcoming in International Journal of Economic Theory (IJET) 2006, special issue in honor of Jean-Michel Grandmont.
CeNDEF Working paper 05-15 University of Amsterdam

Hommes, C.H.,Manzan, S.,
Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment
CeNDEF Working paper 05-14 University of Amsterdam

Diks, C.G.H.,Panchenko, V.,
Nonparametric Tests for Serial Independence Based on Quadratic Forms
CeNDEF Working paper 05-13 University of Amsterdam

Boswijk, H.P.,Hommes, C.H.,Manzan, S.,
Behavioral Heterogeneity in Stock Prices
CeNDEF Working paper 05-12 University of Amsterdam

Schinkel, M.P.,Tuinstra, J.,
Illinois Walls in alternative market structures
CeNDEF Working paper 05-11 University of Amsterdam

Rüggeberg, J.,Schinkel, M.P.,Tuinstra, J.,
Illinois Walls: How barring indirect purchaser suits facilitates collusion
CeNDEF Working paper 05-10 University of Amsterdam

Diks, C.G.H.,Wagener, F.O.O.,
Equivalence and bifurcations of finite order stochastic processes
CeNDEF Working paper 05-09 University of Amsterdam

Sadiraj, V.,Tuinstra, J.,Winden, F. van,
On the size of the winning set in the presence of interest groups
CeNDEF Working paper 05-08 University of Amsterdam

Koster, M.,
Cost Sharing, Differential Games, and the Moulin-Shenker Rule
CeNDEF Working paper 05-07 University of Amsterdam

Koster, M.,
Sharing Variable Returns of Cooperation
CeNDEF Working paper 05-06 University of Amsterdam

Manzan, S.,Zerom, D.,
A Multi-Step Forecast Density
CeNDEF Working paper 05-05 University of Amsterdam

Hoog S. van der,
On the Micro-Dynamics of a Cash-in-Advance Economy (revised version of WP 04-12)
CeNDEF Working paper 05-04 University of Amsterdam

Hommes, C.H.,
Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006, pp.1109-1186.
CeNDEF Working paper 05-03 University of Amsterdam

Gaunersdorfer, A.,Hommes, C.H.,
A nonlinear structural model for volatility clustering
CeNDEF Working paper 05-02 University of Amsterdam

Hommes, C.H.,
Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164.
CeNDEF Working paper 05-01 University of Amsterdam

Working Papers 2004

Dindo, P.D.E.,
A tractable evolutionary model for the Minority Game with asymmetric payoffs
CeNDEF Working paper 04-17 University of Amsterdam

Panchenko, V.,
Goodness-of-fit test for copulas
CeNDEF Working paper 04-16 University of Amsterdam

Heemeijer, P.,Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,
Forming price expectations in positive and negative feedback systems
CeNDEF Working paper 04-15 University of Amsterdam

He, X-Z.,Hommes, C.H.,
A Dynamic Analysis of Moving Average Rules
CeNDEF Working paper 04-14 University of Amsterdam

Hommes, C.H.,
Economic Dynamics, Contribution to the Encyclopedia of Nonlinear Science, Alwyn Scott (ed.), Routledge, 2004.
CeNDEF Working paper 04-13 University of Amsterdam

Hoog S. van der,
On the Micro-Dynamics of a Cash-in-Advance Economy (first version, see revised version WP 05-04)
CeNDEF Working paper 04-12 University of Amsterdam

Diks, C.G.H.,Panchenko, V.,
A new statistic and practical guidelines for nonparametric Granger causality testing
CeNDEF Working paper 04-11 University of Amsterdam

Diks, C.G.H.,Panchenko, V.,
A note on the Hiemstra-Jones test for Granger non-causality
CeNDEF Working paper 04-10 University of Amsterdam

Wagener, F.O.O.,
Skiba points for small discount rates
CeNDEF Working paper 04-09 University of Amsterdam

Sadiraj, V.,Tuinstra, J.,Winden, F. van,
A Computational Electoral Competition Model with Social Clustering and Endogenous Interest Groups as Information Brokers
CeNDEF Working paper 04-08 University of Amsterdam

Schinkel, M.P.,Tuinstra, J.,
Imperfect Competition Law Enforcement
CeNDEF Working paper 04-07 University of Amsterdam

Sadiraj, V.,Tuinstra, J.,Winden, F. van,
Interest Group Size Dynamics and Policymaking (extensive revised version of WP 01-03)
CeNDEF Working paper 04-06 University of Amsterdam

Kirman, A.,Tuinstra, J.,
Introduction to the Journal of Economic Dynamics and Control special issue on Bounded Rationality, Heterogeneity and Market Dynamics
CeNDEF Working paper 04-05 University of Amsterdam

Schinkel, M.P.,Tuinstra, J.,
Forced Freebies: A Note on Partial Deregulation with Pro Bono Supply Requirements
CeNDEF Working paper 04-04 University of Amsterdam

Rüggeberg, J.,Schinkel, M.P.,Tuinstra, J.,
Illinois Walls
CeNDEF Working paper 04-03 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,Velden, H. van de,
Coordination of Expectations in Asset Pricing Experiments (Version March 2004)
CeNDEF Working paper 04-02 University of Amsterdam

Working Papers 2003

Cason, T.,Friedman, D.,Wagener, F.O.O.,
The dynamics of price dispersion, or Edgeworth variations
CeNDEF Working paper 03-11 University of Amsterdam

Gaunersdorfer, A.,Hommes, C.H.,Wagener, F.O.O.,
Nonlocal onset of instability in an asset pricing model with heterogeneous agents
CeNDEF Working paper 03-10 University of Amsterdam

Broer, H.W.,Hanssmann, H.,Jorba, A.,Villanueva, J.,Wagener, F.O.O.,
Quasi-periodic response solutions at normal-internal resonances
CeNDEF Working paper 03-09 University of Amsterdam

Wagener, F.O.O.,
Structural analysis of optimal investment for firms with non-concave production
CeNDEF Working paper 03-08 University of Amsterdam

Tuinstra, J.,Wagener, F.O.O.,
On Learning Equilibria (Revised June 2003)
CeNDEF Working paper 03-07 University of Amsterdam

Diks, C.G.H.,Weide, R. van der,
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
CeNDEF Working paper 03-06 University of Amsterdam

Diks, C.G.H.,Weide, R. van der,
Heterogeneity as a natural source of randomness
CeNDEF Working paper 03-05 University of Amsterdam

Hommes, C.H.,Wagener, F.O.O.,
Does eductive stability imply evolutionary stability?
CeNDEF Working paper 03-04 University of Amsterdam

Gaunersdorfer, A.,Hommes, C.H.,Wagener, F.O.O.,
Bifurcation Routes to Volatility Clustering under Evolutionary Learning
CeNDEF Working paper 03-03 University of Amsterdam

Manzan, S.,
Nonlinear Mean Reversion in Stock Prices
CeNDEF Working paper 03-02 University of Amsterdam

Working Papers 2002

Manzan, S.,Westerhoff, F.,
Heterogeneous Expectations, Exchange Rate Dynamics and Predictability
CeNDEF Working paper 02-14 University of Amsterdam

Manzan, S.,Westerhoff, F.,
Representativeness of News and Exchange Rate Dynamics
CeNDEF Working paper 02-13 University of Amsterdam

Manzan, S.,
Model Selection for Nonlinear Time Series
CeNDEF Working paper 02-12 University of Amsterdam

Diks, C.G.H.,Weide, R. van der,
Continuous Beliefs Dynamics
CeNDEF Working paper 02-11 University of Amsterdam

Brock, W.A.,Hommes, C.H.,Wagener, F.O.O.,
Evolutionary dynamics in markets with many trader types
CeNDEF Working paper 02-10 University of Amsterdam

Diks, C.G.H.,
Detecting serial dependence in tail events: A test dual to BDS test
CeNDEF Working paper 02-09 University of Amsterdam

Hommes, C.H.,Huang, H.,Wang, D.,
A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)
CeNDEF Working paper 02-08 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,Velden, H. van de,
Coordination of Expectations in Asset Pricing Experiments (Revised June 2003)
CeNDEF Working paper 02-07 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,Velden, H. van de,
Learning in Coweb Experiments
CeNDEF Working paper 02-06 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,Velden, H. van de,
Expectations and Bubbles in Asset Pricing Experiments
CeNDEF Working paper 02-05 University of Amsterdam

Wagener, F.O.O.,
A Gevrey regular KAM theorem and the inverse approximation lemma
CeNDEF Working paper 02-04 University of Amsterdam

Wagener, F.O.O.,
On the quasi-periodic d-fold degenerate bifurcation
CeNDEF Working paper 02-03 University of Amsterdam

Weide, R. van der,
Generalized Orthogonal GARCH. A Multivariate GARCH model
CeNDEF Working paper 02-02 University of Amsterdam

Botman, D.P.J.,Diks, C.G.H.,
Location of Investors and Capital Flight
CeNDEF Working paper 02-01 University of Amsterdam

Working Papers 2001

Hommes, C.H.,
Modeling the stylized facts in finance through simple nonlinear adaptive systems
CeNDEF Working paper 01-06 University of Amsterdam

Brock, W.A.,Hommes, C.H.,
Heterogeneous beliefs and and routes to complez dynamics in asset pricing models with price contingent contracts
CeNDEF Working paper 01-05 University of Amsterdam

Neugart, M.,Tuinstra, J.,
Endogenous Fluctuations in the Demand of Education
CeNDEF Working paper 01-04 University of Amsterdam

Sadiraj, V.,Tuinstra, J.,Winden, F. van,
A Dynamic Model of Endogenous Interest Group Sizes and Policymaking
CeNDEF Working paper 01-03 University of Amsterdam

Diks, C.G.H.,Manzan, S.,
Tests for serial independence and linearity based on correlation integrals
CeNDEF Working paper 01-02 University of Amsterdam

Brock, W.A.,Hommes, C.H.,Wagener, F.O.O.,
Evolutionary Dynamics in Financial Markets with Many Trader Types
CeNDEF Working paper 01-01 University of Amsterdam

Working Papers 2000

Tuinstra, J.,
Price adjustment in a model of monopolistic competition
CeNDEF Working paper 00-13 University of Amsterdam

Tuinstra, J.,Wagener, F.O.O.,
On learning equilibria
CeNDEF Working paper 00-12 University of Amsterdam

Wagener, F.O.O.,
Skiba Points and Heteroclinic Bifuration in the Shallow Lake System
CeNDEF Working paper 00-11 University of Amsterdam

Boswijk, H.P.,Dijk, D. van,Franses, P.H.,
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models
CeNDEF Working paper 00-10 University of Amsterdam

Boswijk, H.P.,
Testing for a Unit Root with Near-Integrated Volatility
CeNDEF Working paper 00-09 University of Amsterdam

Diks, C.G.H.,
Dimension estimations, stock returns and volatility clustering
CeNDEF Working paper 00-08 University of Amsterdam

Diks, C.G.H.,Mudelsee, M.,
Redundancies in the Earth's climatological time series
CeNDEF Working paper 00-07 University of Amsterdam

Boswijk, H.P.,Griffioen, G.A.W.,Hommes, C.H.,
Succes and Failure of Technical Trading Strategies in the Cocoa Futures Markets
CeNDEF Working paper 00-06 University of Amsterdam

Hommes, C.H.,Rosser Jr, B.J.,
Consistent Expectations Equilibria and Complex Dynamics in Renewable Resource Markets
CeNDEF Working paper 00-05 University of Amsterdam

Gaunersdorfer, A.,Hommes, C.H.,Wagener, F.O.O.,
Bifurcation Routes to Volatility Clustering
CeNDEF Working paper 00-04 University of Amsterdam

Hommes, C.H.,
Financial Markets as Nonlinear Adaptive Evolutionary Systems
CeNDEF Working paper 00-03 University of Amsterdam

Sadiraj, V.,Tuinstra, J.,Winden, F. van,
On the dynamics of interest group formation and endogenous policymaking
CeNDEF Working paper 00-02 University of Amsterdam

Gaunersdorfer, A.,Hommes, C.H.,
A Nonlinear Structural Model for Volatility Clustering
CeNDEF Working paper 00-01 University of Amsterdam

Working Papers 1999

Diks, C.G.H.,
Dynamical Behavior of Agent Models
CeNDEF Working paper 99-08 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,Velden, H. van de,
Expectations driven price volatility in an experimental coweb economy
CeNDEF Working paper 99-07 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Tuinstra, J.,Velden, H. van de,
The instability of a heterogeneous cobweb economy: a strategy experiment in expectation formation 
CeNDEF Working paper 99-06 University of Amsterdam

Hommes, C.H.,
Cobweb dynamics under bounded rationality
CeNDEF Working paper 99-05 University of Amsterdam

Droste, E.,Hommes, C.H.,Tuinstra, J.,
Endogenous Fluctations under Evolutionary Pressure in Cournot Competition
CeNDEF Working paper 99-04 University of Amsterdam

Tuinstra, J.,
Learning in Overlapping Generations Model
CeNDEF Working paper 99-03 University of Amsterdam

Diks, C.G.H.,
Consistent Testing for Serial Independence
CeNDEF Working paper 99-02 University of Amsterdam

Dechert, W.D.,Hommes, C.H.,
Complex Nonlinear Dynamics and Computational Methods
CeNDEF Working paper 99-01 University of Amsterdam

Working Papers 1998

Goeree, J.K.,Hommes, C.H.,
Heterogeneous Beliefs and the Non-linear Cobweb Model
CeNDEF Working paper 98-04 University of Amsterdam

Droste, E.,Tuinstra, J.,
Evolutionary selection of behavioral rules in a Cournot model: a local bifurcation analysis
CeNDEF Working paper 98-03 University of Amsterdam

Hommes, C.H.,Sonnemans, J.,Velden, H. van de,
Expectations Formation in a Coweb Economy: some one persons experiments
CeNDEF Working paper 98-02 University of Amsterdam

Brock, W.A.,Hommes, C.H.,
Rational Animal Spirits
CeNDEF Working paper 98-01 University of Amsterdam

Published by  ASE-RI

CeNDEF

4 April 2017