Cars H. Hommes

University of Amsterdam - Amsterdam School of Economics (ASE)

Professor

Center for Nonlinear Dynamics in Economics and Finance

1018 WB Amsterdam

Netherlands

CeNDEF

Roetersstraat 11

Amsterdam, NL-1018WB

Netherlands

http://www1.fee.uva.nl/cendef/

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

39

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CITATIONS
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272

Scholarly Papers (39)

1.

A Dynamic Analysis of Moving Average Rules

Tinbergen Institute Discussion Paper No. TI 05-057/1
Number of pages: 29 Posted: 13 Jun 2005
Carl Chiarella, Xuezhong He and Cars H. Hommes
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 969 (22,499)
Citation 4

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Moving averages, fundamentalists, trend followers, stability, bifurcation, evolutionary switching

2.

Heterogeneous Agent Models in Economics and Finance

Tinbergen Institute Discussion Paper No. TI 05-056/1
Number of pages: 70 Posted: 13 Jun 2005
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 888 (25,675)
Citation 22

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Interacting agents, behavioral economics, evolutionary finance, complex adaptive systems, nonlinear dynamics, numerical simulation

3.

Complex Evolutionary Systems in Behavioral Finance

Tinbergen Institute Discussion Paper No. 2008-054/1
Number of pages: 70 Posted: 27 May 2008
Cars H. Hommes and Florian Wagener
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics
Downloads 725 (33,818)
Citation 1

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Asset pricing, heterogeneous beliefs, empirical validation, forecasting experiments

4.
Downloads 494 ( 55,855)
Citation 80

Behavioral Heterogeneity in Stock Prices

Journal of Economic Dynamics and Control, Vol. 31, 2007
Number of pages: 40 Posted: 04 Feb 2009
H. Peter Boswijk, Cars H. Hommes and Sebastiano Manzan
Amsterdam School of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 289 (103,806)

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heterogeneous expectations, stock prices, bubbles, bounded rationality

Behavioral Heterogeneity in Stock Prices

Tinbergen Discussion Paper No. TI 05-05/21
Number of pages: 37 Posted: 03 Mar 2005
H. Peter Boswijk, Cars H. Hommes and S. Manzan
Amsterdam School of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 205 (147,250)
Citation 10

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Asset pricing, behavioral finance, bounded rationality

5.

A Nonlinear Structural Model for Volatility Clustering

EFA 0623; SFB Working Paper 63; Univ. of Vienna & Vienna Univ. of Economics & Business Admin. & CeNDEF Working Paper; Univ. of Amsterdam
Number of pages: 21 Posted: 23 Oct 2000
Andrea Gaunersdorfer and Cars H. Hommes
University of Vienna, Deparment of Finance and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 447 (63,247)
Citation 23

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6.

Testing for Nonlinear Structure and Chaos in Economic Time Series

Tinbergen Institute Discussion Papers No. 2006-030/1
Number of pages: 12 Posted: 04 Apr 2006
Cars H. Hommes and S. Manzan
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 283 (106,680)
Citation 3

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nonlinearity, chaos, noise, self-organized criticality, Mackey-Glass-GARCH

7.

Interacting Agents in Finance

Tinbergen Institute Discussion Paper No. 06-029/1
Number of pages: 12 Posted: 31 Mar 2006
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 277 (109,158)
Citation 1

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heterogeneous agents, behavioral finance, bounded rationality, complexity

8.

Monetary Policy Under Behavioral Expectations: Theory and Experiment

European Economic Review, 2019, 118:193–212
Number of pages: 52 Posted: 28 Jul 2015 Last Revised: 08 Jul 2019
Cars H. Hommes, Domenico Massaro and Matthias Weber
University of Amsterdam - Amsterdam School of Economics (ASE), Catholic University of Milan and University of St. Gallen - School of Finance
Downloads 263 (115,261)
Citation 2

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Behavioral Macroeconomics, Experimental Macroeconomics, Heterogeneous Expectations, Learning-to-Forecast Experiment

9.
Downloads 263 (115,261)
Citation 23

Individual Expectations and Aggregate Macro Behavior

Tinbergen Institute Discussion Paper 13-016/II
Number of pages: 59 Posted: 15 Jan 2013 Last Revised: 11 Dec 2015
Catholic University of Milan, University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and Catholic University of Milan
Downloads 219 (138,157)
Citation 15

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Experiments, New Keynesian Macro Model, Monetary Policy, Expectations, Heterogeneity

Individual Expectations and Aggregate Macro Behavior

De Nederlandsche Bank Working Paper No. 298
Number of pages: 48 Posted: 31 Oct 2011
Catholic University of Milan, University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and Catholic University of Milan
Downloads 44 (414,967)
Citation 20

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Experiments, Monetary Policy, Expectations, Heterogeneity

10.

More Hedging Instruments May Destabilize Markets

TI Discussion Paper No. 06-080/1
Number of pages: 34 Posted: 28 Sep 2006 Last Revised: 27 May 2008
William A. Brock, Cars H. Hommes and Florian Wagener
University of Wisconsin, Madison - Department of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics
Downloads 201 (150,154)
Citation 7

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Asset pricing, hedging, reinforcement learning, nonlinear dynamics, bifurcations

11.

Heterogeneous Agent Models: Two Simple Case Studies

Tinbergen Institute Discussion Paper No. TI 05-055/1
Number of pages: 36 Posted: 06 Jun 2005
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 196 (154,527)

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Interacting agents, complex adaptive systems, evolutionary dynamics, bounded rationality, nonlinear dynamics, bifurcations and chaos

The Formation of a Core Periphery Structure in Heterogeneous Financial Networks

Tinbergen Institute Discussion Paper 14-098/II
Number of pages: 56 Posted: 30 Jul 2014 Last Revised: 22 Jun 2019
Daan in 't Veld, Marco van der Leij and Cars H. Hommes
University of Amsterdam - Department of Quantitative Economics, CeNDEF, CeNDEF, University of Amsterdam and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 114 (241,809)
Citation 1

Abstract:

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financial networks, core periphery structure, network formation models

The Formation of a Core-Periphery Structure in Heterogeneous Financial Networks

De Nederlandsche Bank Working Paper No. 528
Number of pages: 65 Posted: 08 Nov 2016
Marco van der Leij, Daan in 't Veld and Cars H. Hommes
CeNDEF, University of Amsterdam, University of Amsterdam - Department of Quantitative Economics, CeNDEF and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 73 (323,439)
Citation 1

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financial networks, core-periphery structure, network formation models, over-the-counter markets, interbank market

13.

Super-Exponential Bubbles in Lab Experiments: Evidence for Anchoring Over-Optimistic Expectations on Price

Swiss Finance Institute Research Paper No. 12-20
Number of pages: 27 Posted: 18 May 2012
Andreas D. Huesler, Didier Sornette and Cars H. Hommes
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 170 (174,818)
Citation 2

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rational expectations, nancial bubbles, speculation, anchoring, laboratory experiments, behavioral model, super-exponential growth, positive feedback, behavioral expectations

Identifying Booms and Busts in House Prices Under Heterogeneous Expectations

De Nederlandsche Bank Working Paper No. 450
Number of pages: 43 Posted: 04 Dec 2014
De Nederlandsche Bank (Dutch Central Bank), Bruegel, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Amsterdam School of Economics (ASE) and CeNDEF, University of Amsterdam
Downloads 122 (229,870)
Citation 9

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housing prices, heterogenous agents model, bounded rationality, bubbles

Identifying Booms and Busts in House Prices Under Heterogeneous Expectations

Tinbergen Institute Discussion Paper 14-157/II
Number of pages: 40 Posted: 24 Dec 2014
De Nederlandsche Bank (Dutch Central Bank), Bruegel, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Amsterdam School of Economics (ASE) and CeNDEF, University of Amsterdam
Downloads 16 (562,841)
Citation 9

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housing prices, heterogenous agents model, bounded rationality, bubbles

15.

Booms, Busts and Behavioural Heterogeneity in Stock Prices

Tinbergen Institute Discussion Paper 15-088/II
Number of pages: 48 Posted: 28 Jul 2015
Cars H. Hommes and Daan in 't Veld
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics, CeNDEF
Downloads 122 (228,880)
Citation 4

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behavioural finance, bounded rationality, heterogeneous expectations, stock prices, financial crisis

16.

Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations

Macroeconomic Dynamics, Forthcoming
Number of pages: 46 Posted: 07 May 2009 Last Revised: 03 Apr 2012
University of Technology Sydney (UTS), Catholic University of Milan, University of Amsterdam - Amsterdam School of Economics (ASE) and Catholic University of Milan
Downloads 117 (236,106)
Citation 7

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Heterogeneous Expectations, Monetary Policy, Cumulative Process, Taylor Rule

Learning, Forecasting and Optimizing: An Experimental Study

European Economic Review, Vol. 61, No. July, 2013, Tinbergen Institute Discussion Paper No. 12-015/1
Number of pages: 52 Posted: 18 Feb 2012 Last Revised: 06 May 2016
Te Bao, John Duffy and Cars H. Hommes
Nanyang Technological University (NTU) - Division of Economics, University of California, Irvine and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 60 (359,642)
Citation 1

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Learning, Rational Expectations, Optimization, Experimental Economics, Bounded Rationality

Learning, Forecasting and Optimizing: An Experimental Study

European Economic Review, Vol. 61, 2013
Number of pages: 59 Posted: 16 Feb 2012 Last Revised: 13 May 2013
Te Bao, John Duffy and Cars H. Hommes
Nanyang Technological University (NTU) - Division of Economics, University of California, Irvine and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 43 (418,910)
Citation 1

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learning, rational expectations, optimization, experimental economics, bounded rationality

Coordination of Expectations in Asset Pricing Experiments

Tinbergen Institute Discussion Paper No. 2003-010/1
Number of pages: 36 Posted: 19 May 2003
University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 103 (260,001)
Citation 9

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experimental economics, expectations, asset pricing, coordination

Coordination of Expectations in Asset Pricing Experiments

The Review of Financial Studies, Vol. 18, Issue 3, pp. 955-980, 2005
Posted: 29 Feb 2008
University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

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time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

Comparing Behavioural Heterogeneity Across Asset Classes

Number of pages: 43 Posted: 01 Apr 2017 Last Revised: 15 Sep 2017
Norges Bank, University of Amsterdam - Amsterdam School of Economics (ASE) and Vrije Universiteit Amsterdam
Downloads 71 (328,603)
Citation 1

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financial markets, heterogeneous expectations, market stability

Comparing Behavioural Heterogeneity Across Asset Classes

Norges Bank Working Paper 12/17
Number of pages: 43 Posted: 08 Sep 2017
Norges Bank, University of Amsterdam - Amsterdam School of Economics (ASE) and Vrije Universiteit Amsterdam
Downloads 29 (482,379)
Citation 1

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Financial Markets, Heterogeneous Expectations, Market Stability

Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises

Number of pages: 39 Posted: 04 Jul 2012 Last Revised: 05 Jul 2012
Tiziana Assenza, Cars H. Hommes and William A. Brock
Catholic University of Milan, University of Amsterdam - Amsterdam School of Economics (ASE) and University of Wisconsin, Madison - Department of Economics
Downloads 99 (267,190)
Citation 1

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Heterogeneous Expectations, Crises, Animal Spirits

Animal Spirits, Heterogeneous Expectations, and the Amplification and Duration of Crises

Economic Inquiry, Vol. 55, Issue 1, pp. 542-564, 2017
Number of pages: 23 Posted: 21 Nov 2016
Tiziana Assenza, William A. Brock and Cars H. Hommes
Catholic University of Milan, University of Wisconsin, Madison - Department of Economics and University of Amsterdam - Amsterdam School of Economics (ASE)
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Bubble Formation and (In)Efficient Markets in Learning-to-Forecast and -Optimise Experiments

Economic Journal, Forthcoming, Tinbergen Institute Discussion Paper 15-107/II
Number of pages: 55 Posted: 08 Sep 2015
Te Bao, Cars H. Hommes and Tomasz Makarewicz
Nanyang Technological University (NTU) - Division of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and University of Bamberg
Downloads 93 (278,531)
Citation 4

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Financial Bubbles, Experimental Finance, Rational Expectations, Learning to Forecast, Learning to Optimize

Bubble Formation and (In)Efficient Markets in Learning‐To‐Forecast and Optimise Experiments

The Economic Journal, Vol. 127, Issue 605, pp. F581-F609, 2017
Number of pages: 29 Posted: 25 Oct 2017
Te Bao, Cars H. Hommes and Tomasz Makarewicz
Nanyang Technological University (NTU) - Division of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and University of Bamberg
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Individual Expectations, Limited Rationality and Aggregate Outcomes

Journal of Economic Dynamics and Control, Vol. 36, No. 8, 2012, Tinbergen Institute Discussion Paper No. 12-016/1
Number of pages: 45 Posted: 18 Feb 2012 Last Revised: 08 Oct 2012
Te Bao, Cars H. Hommes, Joep Sonnemans and Jan Tuinstra
Nanyang Technological University (NTU) - Division of Economics, University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 44 (414,967)
Citation 3

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Expectation feedback, under- and over-reaction, strategic substitutes and strategic complements, heuristic switching model, experimental economics

Individual Expectations, Limited Rationality and Aggregate Outcomes

Number of pages: 41 Posted: 15 Apr 2011
Te Bao, Cars H. Hommes, Joep Sonnemans and Jan Tuinstra
Nanyang Technological University (NTU) - Division of Economics, University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 30 (477,136)
Citation 4

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Expectation feedback, under- and overreaction, strategic substitutes and strategic complements, heuristic switching model, experimental economics

23.

Learning in Cobweb Experiments

Tinbergen Institute Discussion Paper No. 2003-020/1
Number of pages: 29 Posted: 12 Jun 2003
University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 74 (317,469)
Citation 2

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expectations, learning, cobweb dynamics, excess volatility

24.

Do Investors Trade Too Much? A Laboratory Experiment

Number of pages: 57 Posted: 11 Dec 2015
CentraleSupélec, Catholic University of Milan, Capital Fund Management, CentraleSupélec and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 73 (319,929)

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25.

Reflexivity, Expectations Feedback and Almost Self-Fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments

Tinbergen Institute Discussion Paper 13-206/II
Number of pages: 24 Posted: 20 Dec 2013
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 73 (319,929)

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expectation feedback, self-fulfilling beliefs, heuristic switching model, experimental macroeconomics

26.

Simple Forecasting Heuristics that Make Us Smart: Evidence from Different Market Experiments

Number of pages: 50 Posted: 24 Jul 2015
Mikhail Anufriev, Cars H. Hommes and Tomasz Makarewicz
University of Technology Sydney (UTS), University of Amsterdam - Amsterdam School of Economics (ASE) and University of Bamberg
Downloads 54 (373,171)
Citation 5

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Expectation Formation, Learning to Forecast Experiment, Genetic Algorithm Model of Individual Learning

27.

Innovate or Imitate? Behavioural Technological Change

Tinbergen Institute Discussion Paper 13-099/II
Number of pages: 30 Posted: 27 Jul 2013
Cars H. Hommes and Paolo Zeppini
University of Amsterdam - Amsterdam School of Economics (ASE) and Eindhoven University of Technology (TUE)
Downloads 49 (389,491)

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C62, C73, D21, O33

28.

Behavioral Learning Equilibria

Tinbergen Institute Discussion Paper 13-014/II
Number of pages: 52 Posted: 15 Jan 2013
Cars H. Hommes and Mei Zhu
University of Amsterdam - Amsterdam School of Economics (ASE) and Shanghai University of Finance and Economics
Downloads 48 (392,978)
Citation 3

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Bounded rationality, Stochastic consistent expectations equilibrium, Adaptive learning, Excess volatility, Inflation persistence

29.

Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts

Tinbergen Institute Discussion Paper 13-205/II
Number of pages: 39 Posted: 20 Dec 2013
Tiziana Assenza, William A. Brock and Cars H. Hommes
Catholic University of Milan, University of Wisconsin, Madison - Department of Economics and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 45 (403,458)
Citation 1

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Heterogeneous Expectations, Crises, Animal Spirits

30.

Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria

Tinbergen Institute Discussion Paper 13-204/II
Number of pages: 30 Posted: 20 Dec 2013
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 45 (403,458)
Citation 1

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expectation feedback, self-fulfilling beliefs, heuristic switching model, experimental economics

31.

Behavioral & Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach

ECB Working Paper No. 2201
Number of pages: 104 Posted: 21 Nov 2018
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 40 (422,032)
Citation 1

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expectations feedback, learning, coordination failure, almost self-fulfilling equilibria, simple heuristics, experimental & behavioral macro-economics

32.

Production Delay and Belief Distributions in a Continuous-Time Cobweb Model

Number of pages: 33 Posted: 21 Feb 2017
Cars H. Hommes and Kai Li
University of Amsterdam - Amsterdam School of Economics (ASE) and Macquarie Business School, Macquarie University
Downloads 35 (442,411)

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Cobweb model, heterogeneity, adaptiveness, production delay, belief distribution, stability, chaos

33.

Internal Rationality, Heterogeneity, and Complexity in the New Keynesian Model

Number of pages: 58 Posted: 28 Dec 2017
Cars H. Hommes, Robert Jump and Paul Levine
University of Amsterdam - Amsterdam School of Economics (ASE), University of the West of England (UWE) - Department of Accounting, Economics, and Finance and School of Economics, University of Surrey
Downloads 27 (479,710)
Citation 1

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New Keynesian behavioural model, internal rationality, heterogeneous expectations

34.

Inflation Expectations and Stability in an Overlapping Generations Experiment with Money Creation

De Nederlandsche Bank Working Paper No. 241
Number of pages: 77 Posted: 21 Oct 2011
University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 24 (496,069)

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Experimental economics, Expectations feedback, Inflation expectations, Price stability, Anchoring

35.

Bubbles, Crashes and Information Contagion in Large-Group Asset Market Experiments

Tinbergen Institute Discussion Paper 2019-016/II
Number of pages: 46 Posted: 13 Mar 2019
University of Amsterdam - Amsterdam School of Economics (ASE), University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 21 (513,200)
Citation 5

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experimental finance, expectation formation, learning to forecast, financial bubbles

36.

Forward Guidance and the Role of Central Bank Credibility under Heterogeneous Beliefs

De Nederlandsche Bank Working Paper No. 614
Number of pages: 56 Posted: 06 Dec 2018
Gavin Goy, Cars H. Hommes and Kostas Mavromatis
University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Amsterdam School of Economics (ASE) and De Nederlandsche Bank
Downloads 19 (524,858)
Citation 2

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Forward Guidance, Heterogeneous Beliefs, Bounded Rationality, Central Bank Learning

37.

From Self-Fulfilling Mistakes to Behavioral Learning Equilibria

Number of pages: 39 Posted: 30 Jan 2017
Cars H. Hommes
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 19 (524,858)

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expectations, learning, bounded rationality, chaos, almost self-fulfilling equilibria, laboratory experiments

38.

Monetary and Fiscal Policy Design at the Zero Lower Bound: Evidence from the Lab

Economic Inquiry, Vol. 57, Issue 2, pp. 1120-1140, 2019
Number of pages: 21 Posted: 27 Feb 2019
Cars H. Hommes, Domenico Massaro and Isabelle Salle
University of Amsterdam - Amsterdam School of Economics (ASE), Catholic University of Milan and Government of Canada - Bank of Canada
Downloads 1 (648,481)
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39.

Success and Failure of Technical Analysis in the Cocoa Futures Market

Posted: 20 Jun 2005
Amsterdam School of Economics, University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Amsterdam School of Economics (ASE)

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technical analysis, parametric bootstrap techniques, commodity futures, exchange rate