Empleo de un medio adecuado para vencer el peligro

Programme director:

Prof.dr. C.H. Hommes

Department Quantitative Economics

METIS-code: uva/fee/res/e&d/prog

JEL-classification:

C, D, E6

Web-address: www.fee.uva.nl/cendef

VSNU-scores 1995-2000: Quality: 3, Productivity: 3, Relevance: 2, Viability: 4

Members of the research group and research in FTEs

11

Programme design

The objective of the program is the development of mathematical economic theory, which is focussed on the understanding of economic processes. The program aims at developing models of economic behaviour, in microeconomics, macroeconomics and finance. Emphasis is given to behavioural models of dynamic market phenomena. The research group has a multi-disciplinary approach. The

11 _{The numbers in the columns represent the research-time earned with publications under the RESAM-system.}

Name Title Function

Total 2002 Total 2003 Total 2004 Dept. Funding

Diks, C. (CeNDEF) dr postdoc 0.80 0.60 0.60 KE 2

Dindo, P.D.E. msc aio 0.20 0.60 0.60 KE 1

Furth, D. dr uhd 0.50 0.50 0.50 KE 1

Griffioen, G.A.W. (CeNDEF) drs aio 0.45 - - KE 1

Griffioen, G.A.W. (CeNDEF) drs oz 0.25 0.15 - KE 2

Heemeijer, P. (CeNDEF) drs aio 0.35 0.60 0.60 KE 1

Hommes, C.H. (CeNDEF) prof dr hgl 0.50 0.50 0.50 KE 1

Hoog, S. van der drs aio 0.60 0.60 0.45 KE 1

Koster, M.A.L. dr ud 0.50 0.50 0.50 KE 1

Manzan, S. (CeNDEF) msc burs 0.60 - - KE 1

Manzan, S. (CeNDEF) dr postdoc - 0.80 0.80 KE 2

Panchenko, V. (CeNDEF) msc aio 0.10 0.60 0.60 KE 2

Tuinstra, J. dr postdoc 0.80 0.60 - KE 2

Tuinstra, J. dr ud - 0.13 0.50 KE 1

Wagener, F. (CeNDEF) dr postdoc 0.80 0.60 - KE 2

Wagener, F. (CeNDEF) dr ud - 0.13 0.50 KE 1

Weddepohl, H.N. prof dr hgl 0.21 - - KE pm

Weide, R. van der (CeNDEF) drs aio 0.60 0.60 0.35 KE 1

Zerom, D. (CeNDEF) dr postdoc 0.21 0.40 - KE 2

Zovko, I. (CeNDEF) msc guest 0.00 0.00 - KE 1

Total 1st flow of funds 4.30 4.16 4.50

Total 2nd flow of funds 2.96 3.75 2.00

Total 3rd flow of funds 0.00 0.00 0.00

Total 1st f.o.f. excl. Ph.D.'s 1.40 1.96 2.50

Total 1st-3rd flow of funds 7.47 7.91 6.50

models are studied both from a theoretical and a computational perspective, and the validity of the models is tested in laboratory experiments as well as real data. The NWO-MaG Pionier project Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) and the NWO-Vernieuwingsimpuls Information Flows in Financial Markets are part of the research program. The program can be subdivided into four, closely related and interacting themes:

Equilibrium theory: Individual optimising behaviour of economic agents generates aggregate supply

and demand of commodities, as a function of prices and individual expectations. In equilibrium supply and demand are equal. Many types of equilibrium can be studied: partial versus general, competitive versus monopolistic, dynamic versus static, temporary equilibrium, single, representative agent as well as heterogeneous, interacting agents equilibria. Existence of equilibria as well as conditions for stability or instability of dynamic adjustment processes are studied.

Game theory: This part of the program focuses on modelling strategic behaviour of economic agents in

markets with imperfect competition, such as duopoly and oligopoly. Equilibria in non-cooperative games (e.g. duopoly, oligopoly) as well as cooperative games (costs sharing, general equilibrium) are studied. Evolutionary games with heterogeneous, boundedly rational strategies competing against each other are also studied.

Expectations and learning: Bounded rationality models of expectation formation and learning schemes

are becoming a serious alternative to rational expectations, which was the dominating paradigm until quite recently. The fully rational representative agent is replaced by a large heterogeneous population of boundedly rational interacting agents, who form expectations based upon time series observations and update their forecasting rules according to new observations and new information about market fundamentals. Conditions under which learning schemes converge to rational expectations or to a boundedly rational expectations equilibrium with excess volatility are investigated. Formation of expectations is studied in theory, in experiments and in real markets.

Nonlinear economic dynamics: This part of the program focuses on nonlinear, complexity models of

dynamic market phenomena. Are market fluctuations mainly caused by random exogenous shocks, or can endogenous nonlinear economic laws of motion explain (a significant part of) the fluctuations? Various deterministic and stochastic economic models are studied theoretically, computationally as well as empirically, attempting to mimic the most important stylised facts observed in real economic and financial time series. Emphasis is given to complex adaptive systems where markets consist of a large population of agents selecting simple strategies according to their relative success in the recent past. In these evolutionary adaptive systems endogenous variables such as prices and agents’ beliefs co-evolve over time.

Resources and funding

The research program has two sources of external funding, the NWO-MaG Pionier grant, 1998-2004 for CeNDEF of Hommes and the NWO Vernieuwingsimpuls 2001-2005 of Diks. CeNDEF has been embedded in the Department of Quantitative Economics, in particular the CeNDEF postdocs (Diks, Tuinstra and Wagener) obtained a tenured position (with a 50-50% teaching/research load as usual) in October 2003. Manzan is postdoc within the NWO Vernieuwingsimpuls until June 2005. Recently a new EU-grant for a Specific Targeted Research or Innovation Project (STREP) on Financial Markets and Complexity, 2005-2008, within the Sixth Framework Programme has been obtained. In this EU- project, CeNDEF will cooperate with research groups in Warwick (coordinator), Kiel, Marseille, Cagliari and Trieste. A new postdoc will be appointed for three years within this project.

Programme evaluation

This program grew out of a mathematical economics program Equilibrium and Dynamics, led by Weddepohl, which was quite small until the mid nineties. The group was extended considerably at the

Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics

end of 1998, due to a NWO-MaG Pionier grant awarded to Hommes, to set up the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF). The program changed from a small specialized mathematical economics program into a multi-disciplinary research program still with an emphasis on economic theory, but also running laboratory experiments (in cooperation with Prof. Joep Sonnemans at CREED) to test behavioural theories and doing empirical work, in particular non- linear time series analysis, to test behavioural models empirically. Weddepohl retired in 2002 but is still at the department one day per week. More recently Furth and Koster joined the group in 2002 and game theory has become one of the research themes of the program. At the end of 2003, the CeNDEF postdocs Diks, Tuinstra and Wagener obtained tenured positions, so that the continuation of the research program will be ensured.

The output of 8 articles in international journals in 2004 is somewhat below average, but with more than 10 forthcoming publications in 2005 (including several A journals) the output is expected to be above average next year. The research program has gained international recognition, as e.g. shown by good citation statistics (e.g. in 2004 more than 50 citations of published work by group members, and more than 250 cumulative citations) and many (invited) lectures given at international seminars, conferences and workshops by various members of the research group. CeNDEF organized the 10th

International SCE 2004 conference on Computing in Economics and Finance, July 8-10, in Amsterdam, with more than 300 participants from all over the world. Hommes was ranked at the 22nd

position in the ESB Economen Top 40, and at the no. 1 position of the publication tipparade based on publications in 2002. Various contributions and interviews in the media also witness the social relevance of the research program.

Key publications

Diks, C. & Tong, H. (1999). A test for symmetries of multivariate probability distributions.

Biometrika, 86, (3), 605-614.

Droste, E., Hommes, C.H. & Tuinstra, J. (2002). Endogenous Fluctuations under Evolutionary Pressure in Cournot Competition. Games and Economic Behavior, 40, 232-269.

Hommes, C.H. (2002). Modeling the stylised facts in finance through simple nonlinear adaptive systems. Proceedings National Academy of Sciences (PNAS), 99, suppl. 3, May, 7221-7228. Schinkel, M.P., Tuinstra, J. & Vermeulen, D. (2002). Convergence of Bayesian Learning to General

Equilibrium in Mis-specified Models. Journal of Mathematical Economics, 38, December, 483-508.

Wagener, F.O.O. (2003). Skiba points and heteroclinic bifurcations, with applications to the shallow lake system. Journal of Economic Dynamics & Control, 27, 1533-1561.

Forthcoming

Brock, W.A., Hommes, C.H. & Wagener, F.O.O. (2005). Evolutionary dynamics in markets with many trader types. Journal of Mathematical Economics.

Cason, T., Friedman, D. & Wagener, F.O.O. (2005). The dynamics of price dispersion, or Edgeworth variations. Journal of Economic Dynamics and Control.

Diks, C. & Panchenko, V. (2005). A note on the Hiemstra-Jones test for Granger non-causality.

Studies in Nonlinear Dynamics and Econometrics.

Diks, C. & Weide, R. van der (2005). Herding, A-synchronous Updating and Heterogeneity in memory in a CBS. Journal of Economic Dynamics and Control.

Dindo, P. (2005). A tractable evolutionary model for the minority game with asymmetric payoff.

Physica A.

Gaunersdorfer, A. & Hommes, C.H. (2005). A nonlinear structural model for volatility clustering. In Teyssière, G. & Kirman, A. (eds), Long Memory in Economics. Springer-Verlag.

Hommes, C.H. (2005). Heterogeneous Agents Models: two simple examples, In Lines, M. (ed.),

Nonlinear Dynamical Systems in Economics. CISM Lecture Notes Series. Vienna-New York:

Hommes, C.H., Sonnemans, J., Tuinstra, J. & Velden, H. van de (2005). Coordination of expectations in asset pricing experiments. Review of Financial Studies.

Hommes, C.H., Sonnemans, J., Tuinstra, J. & Velden, H. van de (2005). A strategy experiment in dynamic asset pricing. Journal of Economic Dynamics and Control.

Hommes, C.H. (2005). Heterogeneous Agents Models in Economics and Finance. In Judd, K. & Tesfatsion, L. (eds), Handbook of Computational Economics II: Agent-Based Computational

Economics. Elsevier.

Manzan, S. & Westerhoff, F. (2005). Representativeness of News and Exchange Rate Dynamics.

Journal of Economic Dynamics and Control.

Manzan, S. & Zerom, D. (2005). Kernel Estimation of a Partially Linear Additive Model. In Statistics

and Probability Letters.

Panchenko V. (2004). Goodness-of-fit test for copulas. Physica A.

Sadiraj, V., Tuinstra, J. & Winden, F. van (2005). Interest group size dynamics and policymaking.

Public Choice.

Suijs, J., Borm, P., Hamers, H., Quant, M. & Koster, M. (2005) Communication and cooperation in public network situations. Annals of Operations Research.

Vrugt, J.A., Diks, C.G.H., Gupta, H.V., Bouten, W. & Verstraten, J.M. (2005). Improved Treatment of Uncertainty in Hydrologic Modeling: Combining the Strengths of Global Optimization and Data Assimilation. Water Resources Research.

Publications in numbers

Academic publications (excluding publications in/of books) – refereed

B Bjorndal, E., Koster, M. & Tijs, S.H. (2004). Weighted Allocation Rules for Standard Fixed Tree Games. Mathematical Methods of Operations Research, 59, (2), 249-270. [B].

Bjorndal, E., Hamers, H. & Koster, M. (2004). Cost Allocation in a Bank ATM Network.

Mathematical Methods of Operations Research, 59, (3), 405-418. [B].

Diks, C. (2004). The correlation dimension of returns with stochastic volatility. Quantitative Finance,

4, (1), 45-54. [B].

Manzan, S. (2004). Model Selection for Nonlinear Time Series. Empirical Economics, 29, (4), 901- 920. [B].

Equilibrium, Expectations & Dynamics 2004

1) Academic publications a) in refereed journals A -

B 6 C 2 b) in other journals 2 c) book chapters A - B 3 C - Other 1 Total 14 2) Monographs A - B - C - Other 1 3) Ph.D. theses - 4) Professional publications - 5) Popular publications 2 6) Working papers 11 Total 28 8 3 -

Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics

Schinkel, M.P. & Tuinstra, J. (2004). Forced freebies: a note on partial deregulation with pro bono supply requirements. Journal of Regulatory Economics, 26, 177-187. [B].

Sonnemans, J., Hommes, C.H., Tuinstra, J. & Velden, H. van de (2004). The instability of a heterogeneous cobweb economy: a strategy experiment on expectation formation. Journal of

Economic Behaviour and Organization, 54, 453-481. [B].

C Manzan, S. & Westerhoff, F. (2004). Does Liquidity in the FX Market Depend on Volatility? Econo-

mics Bulletin, 6, (10), 1-8. [C].

Tuinstra, J. (2004). A price adjustment process in a model of monopolistic competition. International

Game Theory Review, 6, 417-442. [C].

In document Las 15 Eximentes de Responsabilidad Penal (página 139-144)