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Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

CeNDEF Working Papers

Contact information of Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance:
Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
Email:
Web page: http://www.fee.uva.nl/cendef/
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2012

12-04 Volatility: Expectations and Realizations
by Peters, R. & van der Weide, R.
12-03 Behavioral Heterogeneity in U.S. Inflation Dynamics
by Cornea, A. & Hommes, C.H. & Massaro, D.
12-02 Regime shifts: early warnings
by Massaro, D.
12-01 Regime shifts: early warnings
by Wagener, F.O.O.

2011

11-12 Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices
by Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J.
11-11 From Mind to Market: A Global, Dynamic Analysis of R&D
by Hinloopen, J. & Smrkolj, G. & Wagener, F.O.O.
11-10 On the stability of the Cournot equilibrium: An evolutionary approach
by Hommes, C.H. & Ochea, M. & Tuinstra, J.
11-09 Excess Covariance and Dynamic Instability in a Multi-Asset Model
by Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P.
11-08 Learning, Forecasting and Optimizing: an Experimental Study
by Bao, T. & Duffy, J. & Hommes, C.H.
11-07 Experimental Based, Agent Based Stock Market
by Grazzini, J.
11-06 Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (revised version of WP 09-09)
by Anufriev, M. & Hommes, C.H.
11-05 Bifurcations of Optimal Vector Fields
by Kiseleva, T. & Wagener, F.O.O.
11-04 Learning under misspecification: a behavioral explanation of excess volatility in stock prices and persistence in inflation
by Hommes, C.H. & Zhu, M.
11-03 Phenomenological and ratio bifurcations of a class of discrete time stochastic processes
by Diks, C.G.H. & Wagener, F.O.O.
11-02 The Size of Stable International Environmental Agreements in the case of Stock Pollution
by De Zeeuw, A. & Polasky, S. & Wagener, F.O.O.
11-01 Individual Expectations and Aggregate Macro Behavior
by Assenza, T. & Heemeijer, P. & Hommes, C.H. & Massaro, D.

2010

10-11 Competing Recombinant Technologies for Environmental Innovation: Extending Arthurâ€™s Model of Lock-in Abstract: This article presents a model of sequential decisions about investments in environmentally dirty and clean technologies, which extends the path-dependence framework of Arthur (1989). This allows us to evaluate if and how an economy locked into a dirty technology can be unlocked and move towards the clean technology. The main extension involves the inclusion of the effect of recombinant innovation of the two technologies. A mechanism of endogenous competition is described involving a positive externality of increasing returns to investment which are counterbalanced by recombinant innovation. We determine conditions under which lock-in can be avoided or escaped. A second extension is â€œsymmetry breakingâ€ of the system due to the introduction of an environmental policy that charges a price for polluting. A final extension adds a cost of environmental policy in the form of lower returns on investment implemented through a growth-depressing factor. We compare cumulative pollution under different scenarios, so that we can evaluate the combination of environmental regulation and recombinant innovation
by Van den Bergh, J.C.J.M. & Zeppini Rossi, P.
10-10 Optimal Management with Potential Regime Shifts
by De Zeeuw, A. & Polasky, S. & Wagener, F.O.O.
10-09 A class of evolutionary model for participation games with negative feedback (revised version of WP 06-10)
by Dindo, P.D.E. & Tuinstra, J.
10-08 Positive expectations feedback experiments and number guessing games as models of financial markets (revised version of WP 08-07)
by Sonnemans, J. & Tuinstra, J.
10-07 Individual Expectations, Limited Rationality and Aggregate Outcomes
by Bao, T. & Hommes, C.H. & Sonnemans, J. & Tuinstra, J.
10-06 The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab
by Hommes, C.H.
10-05 Evolutionary Selection of Expectations in Positive and Negative Feedback Markets
by Anufriev, M. & Hommes, C.H. & Philipse, R.
10-04 Multiple Steady States, Limit Cycles and Chaotic Attractors in Evolutionary Games with Logit Dynamics
by Hommes, C.H. & Ochea, M.
10-03 The impact of short-selling constraints on financial market stability in a model with heterogeneous agents
by Anufriev, M. & Tuinstra, J.
10-02 Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs
by Gerasymchuk, S. & Pavlov, O.V.
10-01 Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information
by Anufriev, M. & Arifovic, J. & Ledyard, D. & Panchenko, V.

2009

09-17 Asset Prices and Monetary Policy: A New View of the Cost Channel
by Assenza, T. & Berardi, M. & Berardi, M. & Delli Gatti, D.
09-16 Incomplete Contract and Divisional Structures
by Bao, T. & Wang, Y.
09-15 Boundedly rational learning and heterogeneous trading strategies with hybrid neuro-fuzzy models
by Bekiros, S.
09-14 Genesis of indifference thresholds and infinitely many indifference points in discrete time infinite horizon optimisation problems
by Moghayer, S. & Wagener, F.O.O.
09-13 Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
by De Gooijer, J. & Diks, C.G.H. & Gatarek, L.
09-12 Bifurcations of optimal vector fields in the shallow lake model
by Kiseleva, T. & Wagener, F.O.O.
09-11 Market Equilibria under Procedural Rationality (revised version of WP 06-02)
by Anufriev, M. & Bottazzi, G.
09-10 Does eductive stability imply evolutionary stability?
by Hommes, C.H. & Wagener, F.O.O.
09-09 Evolutionary Selection of Individual Expectations and Aggregate Outcomes
by Anufriev, M. & Hommes, C.H.
09-08 On conjugate points and the Leitmann equivalent problem approach
by Wagener, F.O.O.
09-07 Is more memory in evolutionary selection (de)stabilizing?
by Hommes, C.H. & Kiseleva, T. & Kuznetsov, Y. & Verbic, M.
09-06 A parametrised version of Moser's modifying terms theorem
by Wagener, F.O.O.
09-05 Shallow lake economics run deep: Nonlinear aspects of an economic-ecological interest conflict
by Wagener, F.O.O.
09-04 Contracts, cost sharing and consistency
by Koster, M.
09-03 Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments
by Hommes, C.H. & Lux, T.
09-02 Forward and Backward Dynamics in implicitly defined Overlapping Generations Models
by Gardini, L. & Hommes, C.H. & Tramontana, F. & de Vilder, R.
09-01 Introduction to the Journal of Economic Dynamics and Control special issue on Complexity in Economics and Finance
by Anufriev, M. & Branch, W.A.

2008

08-13 Managing the environment and the economy in the presence of hysteresis and irreversibility
by Heijnen, P. & Wagener, F.O.O.
08-12 Optimal Diversity in Investments with Recombinant Innovation
by Zeppini Rossi, P. & Bergh, J.C.J.M. van der
08-11 The Hartwick rule as a conservation law
by Heijnen, P.
08-10 Out-of-sample comparison of copula specifications in multivariate density forecasts
by Diks, C.G.H. & Dijk, D. van & Panchenko, V.
08-09 Markov-perfect Nash equilibria in models with a single capital stock (Revised version, August 2008)
by Dockner, E.J. & Wagener, F.O.O.
08-08 Interest Rate Rules with Heterogeneous Expectations
by Anufriev, M. & Assenza, T. & Hommes, C.H. & Massaro, D.
08-06 On the Leitmann equivalent problem approach
by Wagener, F.O.O.
08-05 Complex evolutionary systems in behavioral finance
by Hommes, C.H. & Wagener, F.O.O.
08-04 More hedging instruments may destabilize markets (Revised version, April 2008)
by Brock, W.A. & Hommes, C.H. & Wagener, F.O.O.
08-03 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
by Dijk, D. van & Diks, C.G.H. & Panchenko, V.
08-02 Sound taxation? On the use of self-declared value
by Haan, M. A. & Heijnen, P. & Schoonbeek, L. & Toolsema, L. A.
08-01 Bifurcations of optimal vector fields in the shallow lake system
by Kiseleva, T. & Wagener, F.O.O.

2007

07-16 Coalition Formation and Value Distribution in TU Games
by Ramer, R.
07-15 Timing in Canonical Models of Duopoly
by Ramer, R.
07-14 Asset Prices, Traders' Behavior, and Market Design
by Anufriev, M. & Panchenko, V.
07-13 Heterogeneity and Aggregation in a Financial Accelerator Model
by Assenza, T. & Delli Gatti, D. & Gallegati, M.
07-12 Anything goes with heterogeneous, but not with homogeneous oligopoly
by Furth, D.
07-11 The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality
by Bekiros, S. & Diks, C.G.H.
07-10 Wealth Selection in a Financial Market with Heterogeneous Agents
by Anufriev, M. & Dindo, P.D.E.
07-09 The diffusion of differentiated waste disposal taxes in the Netherlands
by Heijnen, P.
07-08 The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing
by Bekiros, S. & Diks, C.G.H.
07-07 Complexity, Evolution and Learning: a simple story of heterogeneous expectations and some empirical and experimental validation
by Hommes, C.H.
07-06 Evolution of Market Heuristics
by Anufriev, M. & Hommes, C.H.
07-05 Borrowing Constraints, Multiple Equilibria and Monetary Policy
by Assenza, T.
07-04 "Credit Cycle" in an OLG Economy with Money and Bequest
by Agliari, A. & Assenza, T. & Delli Gatti, D. & Santoro, E.
07-03 On the probability of breakdown in participation games
by Heijnen, P.
07-02 Informative advertising by an environmental group
by Heijnen, P.
07-01 Bounded Rationality and Learning in Complex Markets
by Hommes, C.H.

2006

06-17 Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models
by Bekiros, S. & Georgoutsos, D.
06-16 Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network
by Bekiros, S. & Georgoutsos, D.
06-15 E&F Chaos: a user friendly software package for nonlinear economic dynamics
by Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der
06-14 Rank-based entropy tests for serial independence
by Diks, C.G.H. & Panchenko, V.
06-13 Wake me up before you GO-GARCH
by Boswijk, H.P. & Weide, R. van der
06-12 More hedging instruments may destabilize markets
by Brock, W.A. & Hommes, C.H. & Wagener, F.O.O.
06-11 Informational differences and learning in an asset market with boundedly rational agents
by Diks, C.G.H. & Dindo, P.D.E.
06-10 A Behavioral Model for Participation Games with Negative Feedback
by Dindo, P.D.E. & Tuinstra, J.
06-09 Quantifying the Scope for Efficiency Defense in Merger Control: The Werden-Froeb-Index
by Goppelsroeder, M. & Schinkel, M.P. & Tuinstra, J.
06-08 Taxation on Agglomeration
by Commendatore, P. & Kubin, I.
06-07 Markov-Perfect Nash Equilibria in Models With a Single Capital Stock
by Dockner, E.J. & Wagener, F.O.O.
06-06 Semi-global analysis of periodic and quasi-periodic k:1 and k:2 resonances
by Wagener, F.O.O.
06-05 Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation
by Heemeijer, P. & Hommes, C.H. & Sonnemans, J. & Tuinstra, J.
06-04 A weak bifurcation theory for discrete time stochastic dynamical systems
by Diks, C.G.H. & Wagener, F.O.O.
06-03 Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model
by Anufriev, M. & Dindo, P.D.E.
06-02 Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders
by Anufriev, M. & Bottazzi, G.
06-01 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
by Hommes, C.H.

2005

05-17 Wealth-Driven Competition in a Speculative Financial Market: Examples With Maximizing Agents
by Anufriev, M.
05-16 A spatial separation model of a credit economy with optimistic and pessimistic quantity expectations
by Hoog S. van der
05-15 Adaptive Rational Equilibrium with Forward Looking Agents, fortcoming in International Journal of Economic Theory (IJET) 2006, special issue in honor of Jean-Michel Grandmont
by Brock, W.A. & Dindo, P.D.E. & Hommes, C.H.
05-14 Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment
by Hommes, C.H. & Manzan, S.
05-13 Nonparametric Tests for Serial Independence Based on Quadratic Forms
by Diks, C.G.H. & Panchenko, V.
05-12 Behavioral Heterogeneity in Stock Prices
by Boswijk, H.P. & Hommes C.H. & Manzan, S.
05-11 Illinois Walls in alternative market structures
by Schinkel, M.P. & Tuinstra, J.
05-10 Illinois Walls: How barring indirect purchaser suits facilitates collusion
by RÃ¼ggeberg, J. & Schinkel, M.P. & Tuinstra, J.
05-09 Equivalence and bifurcations of finite order stochastic processes
by Diks C.G.H. & Wagener, F.O.O.
05-08 On the size of the winning set in the presence of interest groups
by Sadiraj, V. & Tuinstra, J. & Winden, F. van
05-07 Cost Sharing, Differential Games, and the Moulin-Shenker Rule
by Koster, M.
05-06 Sharing Variable Returns of Cooperation
by Koster, M.
05-05 A Multi-Step Forecast Density
by Manzan, S. & Zerom, D.
05-04 On the Micro-Dynamics of a Cash-in-Advance Economy (revised version of WP 04-12)
by Hoog S. van der
05-03 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
by Hommes, C.H.
05-02 A nonlinear structural model for volatility clustering
by Gaunersdorfer, A. & Hommes, C.H.
05-01 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
by Hommes, C.H.

2004

04-17 A tractable evolutionary model for the Minority Game with asymmetric payoffs
by Dindo, P.D.E.
04-16 Goodness-of-fit test for copulas
by Panchenko, V.
04-15 Forming price expectations in positive and negative feedback systems
by Heemeijer, P. & Hommes, C.H. & Sonnemans, J. & Tuinstra, J.
04-14 A Dynamic Analysis of Moving Average Rules
by Chiarella, C. & He, X.-Z. & Hommes, C.H.
04-13 Economic Dynamics, Contribution to the Encyclopedia of Nonlinear Science, Alwyn Scott (ed.), Routledge, 2004
by Hommes, C.H.
04-12 On the Micro-Dynamics of a Cash-in-Advance Economy (first version, see revised version WP 05-04)
by Hoog, S. van der
04-11 A new statistic and practical guidelines for nonparametric Granger causality testing
by Diks, C.G.H. & Panchenko, V.
04-10 A note on the Hiemstra-Jones test for Granger non-causality
by Diks, C.G.H. & Panchenko, V.
04-09 Skiba points for small discount rates
by Wagener, F.O.O.
04-08 A Computational Electoral Competition Model with Social Clustering and Endogenous Interest Groups as Information Brokers
by Sadiraj, V. & Tuinstra, J. & Winden, F. van
04-07 Imperfect Competition Law Enforcement
by Schinkel, M.P. & Tuinstra, J.
04-06 Interest Group Size Dynamics and Policymaking (extensive revised version of WP 01-03)
by Sadiraj, V. & Tuinstra, J. & Winden, F. van
04-05 Introduction to the Journal of Economic Dynamics and Control special issue on Bounded Rationality, Heterogeneity and Market Dynamics
by Kirman, A. & Tuinstra, J.
04-04 Forced Freebies: A Note on Partial Deregulation with Pro Bono Supply Requirements
by Schinkel, M.P. & Tuinstra, J.
04-03 Illinois Walls
by Schinkel, M.P. & Tuinstra, J. & Rueggeberg, J.
04-02 Coordination of Expectations in Asset Pricing Experiments (Version March 2004)
by Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de

2003

03-11 The dynamics of price dispersion, or Edgeworth variations
by Cason, T. & Friedman, D. & Wagener, F.O.O.
03-10 Nonlocal onset of instability in an asset pricing model with heterogeneous agents
by Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O.
03-09 Quasi-periodic response solutions at normal-internal resonances
by Broer, H.W. & Hanssmann, H. & Jorba, A. & Villanueva, J. & Wagener, F.O.O.
03-08 Structural analysis of optimal investment for firms with non-concave production
by Wagener, F.O.O.
03-07 On Learning Equilibria (Revised June 2003)
by Tuinstra, J. & Wagener, F.O.O.
03-06 Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
by Diks, C.G.H. & Weide, R. van der
03-05 Heterogeneity as a natural source of randomness
by Diks, C.G.H. & Weide, R. van der
03-04 Does eductive stability imply evolutionary stability?
by Hommes, C.H. & Wagener, F.O.O.
03-03 Bifurcation Routes to Volatility Clustering under Evolutionary Learning
by Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O.
03-02 Nonlinear Mean Reversion in Stock Prices
by Manzan, S.

2002

02-14 Heterogeneous Expectations, Exchange Rate Dynamics and Predictability
by Manzan, S. & Westerhoff, F.
02-13 Representativeness of News and Exchange Rate Dynamics
by Manzan, S. & Westerhoff, F.
02-12 Model Selection for Nonlinear Time Series
by Manzan, S.
02-11 Continuous Beliefs Dynamics
by Diks, C.G.H. & Weide, R. van der
02-10 Evolutionary dynamics in markets with many trader types
by Brock, W.A. & Hommes, C.H. & Wagener, F.O.O.
02-09 Detecting serial dependence in tail events: A test dual to BDS test
by Diks, C.G.H.
02-08 A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)
by Hommes, C.H. & Huang, H. & Wang, D.
02-07 Coordination of Expectations in Asset Pricing Experiments (Revised June 2003)
by Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de
02-06 Learning in Coweb Experiments
by Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de
02-04 A Gevrey regular KAM theorem and the inverse approximation lemma
by Wagener, F.O.O.
02-03 On the quasi-periodic d-fold degenerate bifurcation
by Wagener, F.O.O.
02-02 Generalized Orthogonal GARCH. A Multivariate GARCH model
by Weide, R. van der
02-01 Location of investors and capitical flight
by Botman, D.P.J. & Diks, C.G.H.

2001

01-06 Modeling the stylized facts in finance through simple nonlinear adaptive systems
by Hommes, C.H.
01-05 Heterogeneous beliefs and and routes to complez dynamics in asset pricing models with price contingent contracts
by Brock, W.A. & Hommes, C.H.
01-04 Endogenous Fluctuations in the Demand of Education
by Neugart, M. & Tuinstra, J.
01-03 A dynamic model of endogenous interest group sizes and policymaking
by Sadiraj, V. & Tuinstra, J. & Winden, F. van
01-02 Tests for serial independence and linearity based on correlation integrals
by Diks, C.G.H. & Manzan, S.
01-01 Evolutionary Dynamics in Financial Markets With Many Trader Types
by Brock, W.A. & Hommes, C.H. & Wagener, F.O.O.

2000

00-11 Skiba Points and Heteroclinic Bifuration in the Shallow Lake System
by Wagener, F.O.O.
00-10 Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models
by Boswijk, H.P. & van Dijk, D. & Franses, P.H.
00-09 Testing for a Unit Root with Near-Integrated Volatility
by Boswijk, H.P.
00-08 Dimension estimations, stock returns and volatility clustering
by Diks, C.G.H.
00-07 Redundancies in the Earth's climatological time series
by Diks, C.G.H. & Mudelsee, M.
00-06 Succes and Failure of Technical Trading Strategies in the Cocoa Futures Markets
by Boswijk, H.P. & Griffioen, G.A.W. & Hommes, C.H.
00-05 Consistent Expectations Equilibria and Complex Dynamics in Renewable Resource Markets
by Hommes, C.H. & Rosser, B.J., Jr.
00-04 Bifurcation Routes to Volatility Clustering
by Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O.
00-02 A Nonlinear Structural Model for Volatility Clustering
by Gaunersdorfer, A. & Hommes, C.H.
00-01 On the dynamics of interest group formation and endogenous policymaking
by Sadiraj, V. & Tuinstra, J. & van Winden, F.

1999

99-08 Dynamical Behavior of Agent Models
by Diks, C.G.H.
99-07 Expectation Driven Price Volatility in an Experimental Cobweb Economy
by Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & van de Velden, H.
99-06 The Instability of a Heterogeneous Cobweb economy: a Strategy Experiment on Expectation Formation
by Sonnemans, J. & Hommes, C.H. & Tuinstra, J. & van de Velden, H.
99-05 Cobweb Dynamics under Bounded Rationality
by Hommes, C.H.
99-04 Endogenous Fluctuations under Evolutionary Pressure in Cournot Competition
by Droste, E. & Hommes, C.H. & Tuinstra, J.
99-03 Learning in Overlapping Generations Models
by Tuinstra, J.
99-02 Consistent Testing for Serial Independence
by Diks, C.G.H.
99-01 Complex Nonlinear Dynamics and Computational Methods
by Dechert, W.D. & Hommes, C.H.

Undated

00-03 Financial Markets as Nonlinear Adaptive Evolutionary Systems
by Hommes, C.H.