Lecture Series on Market Dynamics


  17, 18, 19, 20 October 2006
"Nonparametric Time Series Analysis"
Prof. Cees Diks, CeNDEF, University of Amsterdam, The Netherlands
download pdf Outline of the course

In the outline, the papers printed in boldface will be covered in somewhat more detail than the others.

Links to Prof. Diks' papers can be found at the website:
with one exception, the paper Diks and Panchenko (2005).

Most of the other papers are available in JSTOR (http://www.jstor.org/), except Baek and Brock (1992):

The slides of the first Lecture are available download pdf here

Programs used in the course:
  • The EFChaos program can be used for simulating dynamical systems, generate time series and produce a variety of standard plots.
  • The NTSA (Non-linear Time Series Analysis) program provides a set of tools for the analysis of time series.
  13 June 2006
"Switching Heterogeneous Agents under Realistic Market Mechanisms"
Dr. Mikhail Anufriev, CeNDEF, University of Amsterdam, The Netherlands
  download pdf
  26, 27, 28 April 2006
"Heterogeneous Agents Models in Economics and Finance: Theory, Laboratory Experiments and Empirical Testing"
Prof. Cars Hommes, University of Amsterdam, The Netherlands

First lecture (26 april 2006): Theory
  C.H. Hommes
"Heterogeneous Agent Models in Economics and Finance", Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics, edited by L. Tesfatsion and K.L. Judd, Elsevier Science, 2006, to appear
  download pdf
Second lecture (27 april 2006): Empirical testing
  H.P. Boswijk, C.H. Hommes, S. Manzan
Behavioral Heterogeneity in Stock Prices
CeNDEF Working paper 05-12, University of Amsterdam.
  download pdf

Third lecture (28 april 2006): Laboratory experiments
  C.H. Hommes, J. Sonnemans, J. Tuinstra, H. van de Velden
"Coordination of Expectations in Asset Pricing Experiments",
Review of Financial Studies 18: 955-980
  download pdf
  P. Heemeijer, C.H. Hommes, J. Sonnemans, J. Tuinstra
Forming Price Expectations in Positive and Negative Feedback Systems ,
CeNDEF Working paper 04-15, University of Amsterdam
  download pdf
  5, 6, 7 April 2006
"Dynamics of Financial Markets"
Prof. Joe McCauley, University of Houston, Texas

  K.E. Bassler, G.H. Gunaratne, J.L. McCauley
"Markov Processes, Hurst Exponents, and Nonlinear Diffusion Processes - with Application to Finance"; forthcoming Physica A
  download pdf
  J. L. McCauley, G.H. Gunaratne, K.E. Bassler
"What Economists Should Learn from Econophysics", in Dynamics of Complex Interconnected Systems, Networks and Bioprocesses, ed. A.T. Skjeltorp; A. Belyushkin, Springer, NY, 2005.
  download pdf
  J. L. McCauley
Dynamics of Markets: Econophysics and Finance
Cambridge University Press, 2004.

  14 February 2006
"Financial Markets as a Laboratory to Study the Ecology of Human Behavior"
Prof. J. Doyne Farmer, Santa Fe Institute, USA