Key publications

• Anufriev M., Bottazzi G. and Pancotto, F. (2006). Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous agents. Journal of Economic Dynamics and Control, 30 (9-10), 1787-1835. [A]
• Brock, W.A., Hommes, C.H. and Wagener, F.O.O., (2005), Evolutionary dynamics in markets with many trader types, Journal of Mathematical Economics, 41, 7-42 [B]
• Diks, C. and Van der Weide, R. (2005). Herding, A-synchronous Updating and Heterogeneity in memory in a CBS. Journal of Economic Dynamics and Control 29, 741-763. [A].
• Hommes, C.H. (2006), Heterogeneous Agent Models In Economics and Finance, In: Hand-book of Computational Economics, Volume 2: Agent-Based Computational Economics, Edited by L. Tesfatsion and K.L. Judd, Elsevier Science, 1109-1186. [A]
• Hommes, C.H., Sonnemans, J., Tuinstra, J. and Velden, H. van de, (2005), Coordination of expectations in asset pricing experiments. Review of Financial Studies 18, 955-980 [A]
• Tuinstra, J., and Wagener, F.O.O., (2007), On learning equilibria. Economic Theory 30, 493-513 [B]
• van Veelen, M. & van der Weide, R. (2008). A Note on Different Approaches to Index Number Theory. American Economic Review, 98, 1722-1730. [A]

Programme design

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 end of 1998, thanks to an NWO-MaG Pionier grant awarded to Hommes, to set up the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF). At that time the program changed from a small specialized mathematical economics program into a multi-disciplinary research program with an emphasis on economic theory, but also running laboratory experiments (in cooperation with Joep Sonnemans at CREED) to test behavioural theories and doing empirical work as well (in cooperation with Peter Boswijk at UvA-Econometrics), in particular nonlinear time series analysis, to test behavioural models empirically. Weddepohl retired in 2002 and Furth and Koster joined the group in 2002, and game theory has been included as 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 has been ensured.

The year 2008 has been a very good year. The output increased to 17 journal articles (of which 4 A publications, including one in AER) and 2 publications in books, including an entry on interacting agents in finance for the new edition of the New Palgrave: A Dictionary of Economics. The research program has gained international recognition, as is shown by excellent citation statistics (e.g. according to the Science Citation Index (SCI) in 2008 about 240 citations of published work by group members and more than 950 cumulative citations 1988-2008), many (invited) lectures at international seminars, conferences and workshops by various members of the research group. Hommes was ranked at the 24th position in the ESB Economen Top 40 (based on publications in 2002-2006). In the IDEAS/RePEc ranking of Top 20% institutes (http://ideas.repec.org/top/top.netherlands.html), CeNDEF ranks as number 15. This ranking contains faculties of economics and departments; among the small institutes of the order of a research group (about 10 researchers) CeNDEF ranks 3rd on the list (after the Finance Group UvA and Scholar, UvA).

Mikhail Anufriev's and Pim Heijnen's positions changed to UD; Andrea Cornea joined the group as a postdoc. Domenico Massaro and Paolo Zeppini-Rossi joined the group as PhD students in September 2007 and September 2008 respectively. Peter Heemeijer and Roy van der Weide are expected to finish their PhD theses in 2009. It therefore remains important that new PhD students will join the group next year.

The evaluation can be summarized in the following SWOT analysis of the CeNDEF activities.

Strengths: international reputation as an excellent research group on nonlinear dynamics and complexity applications in economics and finance, high scientific impact (e.g., with more than 200 citations, Brock and Hommes, Econometrica 1997 is one of the best cited journal articles co-authored by a Dutch economist), regular international visitors, active seminars and international workshops, own working paper series, frequently visited website, good facilities for computing and travel;
Weaknesses: relatively few publications in top mainstream journals, where multi-disciplinary work and non-mainstream approach such as agent-based modelling and complexity modelling are far from being well accepted; relatively few links with practitioners and policy applications;

Opportunities: development of UvA Graduate School in Economics; application of group-specific know-how to core economic problems, to demonstrate in this way the value of the programme's characteristic approach; developing more policy oriented research, e.g. through a new project on heterogeneous expectations in macro economics and monetary policy;

Threats: it remains difficult to attract suitable Ph-D from the Tinbergen Institute; more flexibility is needed, in particular the possibility to recruit Ph-D students from the UvA MSc Econometrics program or comparable relevant international MSc programs. A multidisciplinary group is likely to be handicapped when evaluated in a mono-disciplinary environment; finally, the complexity of the tools used may turn out to be an impediment at disseminating the research approach.