M.Escher, Metamorphosis
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CV

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Bibliometric data

Contacts

Mailing Address

Mikhail Anufriev, 
UTS Business School
PO Box 123, Broadway
NSW 2007, Australia

Last modified

23 June 2018

  Mikhail Anufriev

Education


Refereed publications

  1. "Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments" (with Cars Hommes and Tomasz Makarewicz)
        Forthcoming in the Journal of the European Economic Association, 2018.
        [Working Paper, PDF]    [Slides, PDF]

  2. "A laboratory experiment on the heuristic switching model" (with Aleksei Chernulich and Jan Tuinstra
        in the Journal of Economic Dynamics & Control, Vol. 91, pp. 21-42, 2018.
        [Working Paper, PDF]    [Slides, PDF]

  3. "Oligopoly Game: Price Makers Meet Price Takers" (with Dávid Kopányi)
        in the Journal of Economic Dynamics & Control, Vol. 91, pp. 84-103, 2018.
        [Working Paper, PDF]

  4. "Timing under Individual Evolutionary Learning in a Continuous Double Auction" (with Michiel van de Leur)
        Forthcoming in the Journal of Evolutionary Economics, 2018.
        [Working Paper, PDF]

  5. "Microfoundations for switching behaviour in heterogeneous agent models: An experiment" (with Te Bao and Jan Tuinstra)
        in the Journal of Economic Behavior & Organization, Vol. 129, pp. 74-99, 2016.
        [Working Paper, PDF]     [Slides, PDF]

  6. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions" (with Valentyn Panchenko),
        in the Journal of Banking and Finance, Vol. 61, pp. S241-S255, 2015.
        [Working Paper, PDF]     [Slides, PDF]

  7. "Learning Cycles in Bertrand Competition with Differentiated Commodities and Competing Learning Rules" (with Dávid Kopányi and Jan Tuinstra)
        in the Journal of Economic Dynamics & Control, Vol. 37, pp. 2562-2581, 2013.
        [Working Paper, PDF]

  8. "Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations" (with Tiziana Assenza, Cars Hommes and Domenico Massaro),
        in the Macroeconomic Dynamics, Vol. 17, pp.1574-1604, 2013.
        [Working Paper, PDF]

  9. "Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information" (with Jasmina Arifovic, John Ledyard and Valentyn Panchenko),
        in the Journal of Evolutionary Economics, Vol. 23(3), pp. 539-573, 2013.
        [Link to the Online Journal Access]    [Download PDF]

  10. "Evolutionary Selection of Expectations in Positive and Negative Feedback Markets" (with Cars Hommes and Raoul Philipse),
        in the Journal of Evolutionary Economics, Vol. 23(3), pp. 663-688, 2013.
        [Link to the Online Journal Access]    [Download PDF]

  11. "The Impact of Short-Selling Constraints on Financial Market Stability in a Heterogeneous Agents Model" (with Jan Tuinstra),
        in the Journal of Economic Dynamics & Control, 37(8), 1523-43, 2013.
        [Download PDF]

  12. "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments" (with Cars Hommes),
        in the American Economic Journal: Microeconomics, Vol. 4 (4), pp. 35-64, 2012.
        [Download PDF]    [Online Appendix]    [Download Model code and Data]

  13. "Asset Pricing with Heterogeneous Investment Horizons" (with Giulio Bottazzi),
        in the Studies in Nonlinear Dynamics & Econometrics, Vol. 16(4), 2012.
        [Download PDF]

  14. "Excess Covariance and Dynamic Instability in a Multi-Asset Model" (with Giulio Bottazzi, Matteo Marsili and Paolo Pin),
        in the Journal of Economic Dynamics & Control, Vol. 36, 1142-1161, 2012.
        [Download PDF]

  15. "Evolution of Market Heuristics" (with Cars Hommes),
        in the Knowledge Engineering Review, Vol. 27:2, pp. 255-271, 2012.
        [Download PDF]

  16. "Market Equilibria under Procedural Rationality" (with Giulio Bottazzi),
        in the Journal of Mathematical Economics, 46, 1140-1172, 2010.
        [Download PDF]

  17. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents" (with Pietro Dindo),
        in the Journal of Economic Behavior & Organization, 73(3), 327-58, 2010.
         [Download PDF]

  18. "Asset Prices, Traders' Behavior and Market Design" (with Valentyn Panchenko),
        in the Journal of Economic Dynamics & Control, 33(5), 1073-90, 2009.
        [Download PDF]

  19. "Wealth-driven Competition in a Speculative Financial Market: Examples with Maximizing Agents",
        in the Quantitative Finance, 8(4), 363-80, 2012.
        [Download PDF]

  20. "Evolutionary Switching between Forecasting Heuristics: An Explanation of an Asset-Pricing Experiment" (with Cars Hommes),
        pp. 41-53 in the Complexity and Artificial Markets, (Eds. K.Schredelseker and F.Hauser), Springer, 2008.
        [Link to the Book Chapter]

  21. "Equilibria, Stability, and Asymptotic Dominance in a Speculative Market with Heterogeneous Agents" (with Giulio Bottazzi and Francesca Pancotto),
        in the Journal of Economic Dynamics & Control, 30(9-10), 1787-835, 2006.
        [Download PDF]

  22. "Heterogeneous Beliefs under Different Market Architecture" (with Valentyn Panchenko),
        pp. 3-15 in the Advances in Artificial Economics, (Ed. C.Bruun), Springer, 2006.
        [Link to the Book Chapter] 

  23. "Equilibrium Return and Agents Survival in a Multiperiod Asset Market: Analytic Support of a Simulational Model" (with Pietro Dindo),
        pp. 269-282 in the Advances in Artificial Economics, (Ed. C.Bruun), Springer, 2006.
        [Link to the Book Chapter]

  24. "Noisy Trading in the Large Market Limit" (with Giulio Bottazzi),
        pp. 137-146 in the Artificial Economics (Ed. P.Mathieu, B.Beaufils and O.Brandouy), Springer, 2006.
        [Link to the Book Chapter]

  25. "Speculative Equilibria and Asymptotic Dominance in a Market with Adaptive CRRA Traders" (with Giulio Bottazzi and Francesca Pancotto),
        in the Proceedings of SPIE Conference "Noise and fluctuations in econophysics and finance", vol. 5848, 2005.
        [Download PDF]


Professional publications


On-going Work: Working papers and Recent presentations

  • "Fee Structure and Mutual Fund Choice: An Experiment (with Te Bao, Angela Sutan and Jan Tuinstra), 2018
        [Working Paper, PDF]     [Slides (2015), PDF]

  • "Planar Beauty Contests" (with John Duffy and Valentyn Panchenko), 2018
        [Working Paper: coming soon]     [Slides, PDF]

  • "A model of network formation for the overnight interbank market" (with Andrea Deghi, Paolo Pin and Valentyn Panchenko), 2018
        [Working Paper, PDF]     [Slides, PDF]

  • "Local Interactions in a Market with Heterogeneous Expectations" (with Andrea Giovannetti and Valentyn Panchenko), 2018.
        [Working Paper: coming soon]     
    [Slides, PDF]

  • "Price Volatility and Forecasting Horizons: An Experimental Investigation " (with Aleksei Chernulich and Jan Tuinstra), 2018.
        [Working Paper: coming soon]

  • "Hypocrisy in a Simple Social Interaction Model" (with Kirill Borissov and Mikhail Pakhnin), 2018.
        [Working Paper: coming soon]

  • "Individual Evolutionary Learning in the Double Auction Market with Full or Limited Information: Laboratory Experiment " (with Jasmina Arifovic, John Ledyard and Valentyn Panchenko), 2017.
        [Working Paper: coming soon]

  • "The network view on input-output analysis for Australia" (with Evgeniya Goryacheva and Valentyn Panchenko), 2016
        [Working Paper, PDF]

  • "Bayesian Estimation of the Heuristic Switching Model using Experimental Data" (with Cars Hommes and Valentyn Panchenko), 2016
        [Working Paper: coming soon]     
    [Slides, PDF]

  • "Heterogeneous Beliefs in an Asset Pricing Model with Endogenous Fundamentals", 2013
        [Slides, PDF]


Research grants


Courses recently taught