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