Working papers 2022
Salle, I.
What to target? - Insights from a lab experiment
CeNDEF Working paper 22-03 University of Amsterdam
Boehl, G.
Ensemble MCMC Sampling for Robust Bayesian Inference
CeNDEF Working paper 22-02 University of Amsterdam
Punder, R. de, Diks, C., Laeven R. and Dijk, D. van
A General Procedure for Localising Strictly Proper Scoring Rules
CeNDEF Working paper 22-01 University of Amsterdam
Working papers 2021
Boehl, G. and Hommes, C.
Rational vs Irrational Beliefs in a Complex World
CeNDEF Working paper 21-04 University of Amsterdam
Terranova, R. and Turco, E.
Concentration, Stagnation and Inequality: An Agent-Based Approach
CeNDEF Working paper 21-03 University of Amsterdam
Brandts, J., El Baroudi, S., Huber, S. and Rott, C.
Gender Differences in Private and Public Goal Setting
CeNDEF Working paper 21-02 University of Amsterdam
Bernasconi, M. and Neunhoffer, F.
The inequality trap: how high stakes fuel overestimation and equity aversion
CeNDEF Working paper 21-01 University of Amsterdam
Working papers 2020
Bao, T., Hommes, C. and Pei, J.
Expectation Formation in Finance and Macroeconomics: A Review of New Experimental Evidence
CeNDEF Working paper 20-06 University of Amsterdam
Hodbod, A., Huber, S. and Vasilev, K.
Sectoral Risk-Weights and Macroprudential Policy
CeNDEF Working paper 20-05 University of Amsterdam
Gasteiger, E. and Grimaud, A.
Price setting frequency and the Phillips curve
CeNDEF Working paper 20-04 University of Amsterdam
Leij, M. van der and Petryle, V.
Building a new export network: the case of Lithuania
CeNDEF Working paper 20-03 University of Amsterdam
Anufriev, M., Chernulich, A., and Tuinstra, J.
Asset price volatility and investment horizons: An experimental investigation
CeNDEF Working paper 20-02 University of Amsterdam
Li, H., Diks, C. and Panchenko V.
Predicting Intraday Return Patterns based on Overnight Returns for the US Stock Market
CeNDEF Working paper 20-01 University of Amsterdam
Working papers 2019
Hennequin, M. and Hommes, C.
Managing bubbles in experimental asset markets with monetary policy
CeNDEF Working paper 19-08 University of Amsterdam
Koster, M.
A Note on Uniqueness of Clearing Prices in Financial Systems
CeNDEF Working paper 19-08 University of Amsterdam
Kopányi-Peuker, A. and Zheng, J.
I on You: Identity in the Dictator Game
CeNDEF Working paper 19-07 University of Amsterdam
Hanaki, N., Hommes, C., Kopányi, D. and Tuinstra, J.
The Effect of Framing on the Emergence of Bubbles and Crashes in a Learning to Forecast Experiment
CeNDEF Working paper 19-05 University of Amsterdam
Ruiter, A.
Understanding trading at all prices
CeNDEF Working paper 19-02 University of Amsterdam
Koster, M. and Boonen,T.
Constrained stochastic Cost allocation
CeNDEF Working paper 19-01 University of Amsterdam
Working papers 2018
Kopányi, D., Rabanal, J., Rud, O. and Tuinstra, J.
Can successful forecasters help stabilize asset prices in a learning to forecast experiment?
CeNDEF Working paper 18-09 University of Amsterdam
Huber, S.J. and Schmidt, T.
Cross-Country Difference in Homeownership: A Cultural Phenomenon?
CeNDEF Working paper 18-08 University of Amsterdam
Huber, S.J.
Preference for Housing Services and House Price Bubbles
CeNDEF Working paper 18-07 University of Amsterdam
Huber, S.J., Rott, C. and Giusti, G.
Preference for Housing Services and House Price Bubble Occurrence: Evidence from a Macro-Experiment
CeNDEF Working paper 18-06 University of Amsterdam
Hommes, C., Kopányi-Peuker, A. and Sonnemans, J.
Bubbles, crashes and information contagion in large-group asset market experiments
CeNDEF Working paper 18-05 University of Amsterdam
Hommes, C. and Makarewicz, T.
Price level versus inflation targeting under heterogeneous expectations: A laboratory experiment
CeNCEF Working paper 18-04 University of Amsterdam
Ruiter, A.
Approximating Walrasian equilibria
CeNDEF Working paper 18-03 University of Amsterdam
Diks, C. and Wolski, M.
NCoVar Granger Causality
CeNDEF Working paper 18-02 University of Amsterdam
Kopányi-Peuker, A.
Yes, I’ll do it: A large-scale experiment on the volunteer’s dilemma
CeNDEF Working paper 18-01 University of Amsterdam
Working papers 2017
Anufriev, M., Chernulich, A. and Tuinstra, J.
A laboratory experiment on the heuristic switching model
CeNDEF Working paper 17-06 University of Amsterdam
Anufriev, M. and Kopányi, D.
Oligopoly Game: Price Makers Meet Price Takers
CeNDEF Working paper 17-05 University of Amsterdam
Linardi, F., Diks, C., Van der Leij, M. and Lazier, I.
Dynamic Interbank Network Analysis using Latent Space Models
CeNDEF Working paper 17-04 University of Amsterdam
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., Demertzis, 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