Complexity in Economics and Finance

The purpose of this workshop is to bring together international

experts in complexity research applied to economics and finance.

Traditional economic theory describes the economy as an equilibrium

outcome of activities of perfectly rational economic agents. In the

classical approach agents are often assumed to be identical and

perfectly rational, leading to a representative rational agent

modeling framework. The standard approach fails to explain important

features of economic systems, such as high trading volume, the

emergence of speculative bubbles and dramatic crashes in financial

markets, and fat tail phenomena, long memory and clustered

volatility in the returns distribution of financial assets.

Since the 1990s an alternative approach has been developed where

markets are viewed as complex evolving systems emphasizing a

non-equilibrium price adjustment process through the interaction of

many heterogeneous agents, who are boundedly rational using simple

heuristics, learning and adapting their behavior over time.

According to this view, aggregate market phenomena are thought of as

emerging properties of complex systems resulting from the

interaction of many heterogeneous consumers, firms, investors, etc.

Research on complexity in economics and finance is characterized by

an interdisciplinary approach, attracting distinguished scholars

from physics, mathematics, computer science, biology, economics and

psychology, using tools developed in statistical physics, nonlinear

dynamics and agent-based simulation. Main topics of the workshop

include

·         evolutionary market dynamics in interacting systems of heterogeneous

agents;

·         expectations and learning: theory and laboratory experiments with

human subjects;

·         the relation between interacting particle systems in physics and

interacting agent-based modeling in economics and finance;

·         validation and estimation of agent-based models;

·         economic policy issues based on complexity theory modeling.

The workshop brings together a number of distinguished experts in

the broad field of complexity in economics and finance, and promotes

collaboration between participants. The workshop is also an ideal

opportunity to promote complexity research with applications in

economics in the Netherlands and attract Ph-D students from various

universities in the Netherlands.

Confirmed invited speakers

Larry Blume, Cornell University, USA

William Branch, University of California, Irvine, USA

John Duffy, University of Pittsburgh, USA

Doyne Farmer Santa Fe Institute, USA

Bruce McGough Oregon State University, USA

Michele Marchesi, University of Cagliari, Italy

Mark Salmon, University of Warwick, UK

Jan Tuinstra, University of Amsterdam, Netherlands

Marc Willinger, University of Montpellier, France

Organizers and co-organizers

Prof. Cars H. Hommes, CeNDEF, University of Amsterdam

Dr. Mikhail Anufriev, CeNDEF, University of Amsterdam