Education
PhD in Economics, Sant Anna School of Advanced Studies, Pisa, Italy, 2005
MSc, with Honours, Economics, CORIPE Piemonte, Torino, Italy, 2001
MSc, with Honours, Economics, European University at St.Petersburg, Russia, 2000
MSc, with Honours, Mathematics, St.Petersburg State University, Russia, 1998
Affiliations
Professor at the Economics Department, University of Technology Sydney
Research Associate at the Department of Finance, Faculty of Economics, Technical University of Ostrava
Research Associate at the Behavioural Macroeconomics and Complexity program, Centre for Applied Macroeconomic Analysis (CAMA), the Australian National University
External Member at the Institute of Economics, Scuola Superiore Sant'Anna, Pisa, Italy
Publications
Journal articles
"IEL-CDA model: A more accurate theory of behavior in continuous double auctions", 2024, with Jasmina Arifovic, Anil Donmez, John Ledyard and Valentyn Panchenko, Journal of Economic Dynamics and Control, 104840, DOI: https://doi.org/10.1016/j.jedc.2024.104840
"Individual Evolutionary Learning in Repeated Beauty Contest Games", 2024, with John Duffy and Valentyn Panchenko, Journal of Economic Behavior & Organization, Volume 218, Pages 550-567. DOI: https://doi.org/10.1016/j.jebo.2023.12.010
"Dissonance minimization and conversation in social networks," 2023, with Kirill Borissov and Mikhail Pakhnin, Journal of Economic Behavior & Organization, Volume 215, Pages 167-191. DOI: https://doi.org/10.1016/j.jebo.2023.09.013
"An asset pricing model with accuracy-driven evolution of heterogeneous expectations", 2023, with Tomáš Tichý, Fabio Lamantia and Davide Radi, Communications in Nonlinear Science and Numerical Simulation, DOI: https://doi.org/10.1016/j.cnsns.2022.106975
"The role of information in a continuous double auction: An experiment and learning model", 2022, with Jasmina Arifovic, John Ledyard and Valentyn Panchenko, Journal of Economic Dynamics and Control, Volume 141, 104387, DOI: https://doi.org/10.1016/j.jedc.2022.104387
"Learning in two-dimensional beauty contest games: Theory and experimental evidence", 2022, with John Duffy and Valentyn Panchenko, Journal of Economic Theory, Volume 201, 105417, DOI: https://doi.org/10.1016/j.jet.2022.105417.
"Asset price volatility and investment horizons: An experimental investigation", 2022, with Aleksei Chernulich and Jan Tuinstra, Journal of Economic Behavior & Organization, Volume 193, Pages 19-48, DOI: https://doi.org/10.1016/j.jebo.2021.11.019.
"Integrated modeling of extended agro-food supply chains: A systems approach", 2021, with Firouzeh Taghikhah, Alexey Voinov, Nagesh Shukla, and Tatiana Filatova, European Journal of Operational Research, Volume 288, Issue 3, Pages 852-868, DOI: https://doi.org/10.1016/j.ejor.2020.06.036.
"Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents", 2020, with Laura Gardini and Davide Radi, Nonlinear Dynamics, Volume 102, Pages 993–1017, DOI: https://doi.org/10.1007/s11071-020-05689-1.
"Simple forecasting heuristics that make us smart: Evidence from different market experiments", 2019, with Cars Hommes and Tomasz Makarewicz, Journal of the European Economic Association, Volume 17, Issue 5, Pages 1538–1584, DOI: https://doi.org/10.1093/jeea/jvy028.
"Fee structure and mutual fund choice: An experiment'', 2019, with Te Bao, Angela Sutan and Jan Tuinstra, Journal of Economic Behavior & Organization, Volume 158, Pages 449-474, DOI: https://doi.org/10.1016/j.jebo.2018.12.013.
"A laboratory experiment on the heuristic switching model", 2018, with Aleksei Chernulich and Jan Tuinstra, Journal of Economic Dynamics & Control, Volume 91, Pages 21-42, DOI: https://doi.org/10.1016/j.jedc.2018.04.004.
"Oligopoly game: Price makers meet price takers", 2018, with Dávid Kopányi, Journal of Economic Dynamics & Control, Volume 91, Pages 84-103, DOI: https://doi-org.ezproxy.lib.uts.edu.au/10.1016/j.jedc.2018.02.013
"Timing under individual evolutionary learning in a continuous double auction", 2018, with Michiel van de Leur, Journal of Evolutionary Economics, Volume 28(3), Pages 609-631, DOI: https://doi.org/10.1007/s00191-017-0530-8
"Microfoundations for switching behaviour in heterogeneous agent models: An experiment", 2016, with Te Bao and Jan Tuinstra, Journal of Economic Behavior & Organization, Volume 129, Pages 74-99.
"Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions", 2015, with Valentyn Panchenko, Journal of Banking and Finance, Volume 61, Pages S241-S255, 2015.
"Learning cycles in Bertrand competition with differentiated commodities and competing learning rules", 2013, with Dávid Kopányi and Jan Tuinstra, Journal of Economic Dynamics & Control, Volume 37, Pages 2562-2581. DOI: https://doi-org.ezproxy.lib.uts.edu.au/10.1016/j.jedc.2013.06.010.
"Interest rate rules and macroeconomic stability under heterogeneous expectations", 2013, with Tiziana Assenza, Cars Hommes and Domenico Massaro, Macroeconomic Dynamics, Volume 17, Pages 1574-1604.
"Efficiency of continuous double auctions under individual evolutionary learning with full or limited information", 2013, with Jasmina Arifovic, John Ledyard and Valentyn Panchenko, Journal of Evolutionary Economics, Volume 23(3), Pages 539-573.
"Evolutionary selection of expectations in positive and negative feedback markets", 2013, with Cars Hommes and Raoul Philipse, Journal of Evolutionary Economics, Volume 23(3), Pages 663-688.
"The impact of short-selling constraints on financial market stability in a heterogeneous agents model", 2013, with Jan Tuinstra, Journal of Economic Dynamics & Control, Volume 37(8), Pages 1523-43, DOI: https://doi-org.ezproxy.lib.uts.edu.au/10.1016/j.jedc.2013.04.015.
"Evolutionary selection of individual expectations and aggregate outcomes in asset pricing experiments", 2012, with Cars Hommes, American Economic Journal: Microeconomics, Vol. 4 (4), pp. 35-64. [Download: Model code and Data]
"Asset Pricing with Heterogeneous Investment Horizons", 2012, with Giulio Bottazzi, Studies in Nonlinear Dynamics & Econometrics, Vol. 16(4).
"Excess covariance and dynamic instability in a multi-asset model", 2012, with Giulio Bottazzi, Matteo Marsili and Paolo Pin, Journal of Economic Dynamics & Control, Vol. 36, 1142-1161, DOI: https://doi-org.ezproxy.lib.uts.edu.au/10.1016/j.jedc.2012.03.015.
"Evolution of Market Heuristics", 2012, with Cars Hommes, Knowledge Engineering Review, Vol. 27:2, pp. 255-271.
"Market Equilibria under Procedural Rationality", 2010, with Giulio Bottazzi, Journal of Mathematical Economics, 46, 1140-1172.
"Wealth-driven Selection in a Financial Market with Heterogeneous Agents", 2010, with Pietro Dindo, Journal of Economic Behavior & Organization, 73(3), 327-58.
"Asset prices, traders' behavior and market design", 2009, with Valentyn Panchenko, Journal of Economic Dynamics & Control, 33(5), 1073-90, DOI: https://doi-org.ezproxy.lib.uts.edu.au/10.1016/j.jedc.2008.09.008.
"Wealth-driven Competition in a Speculative Financial Market: Examples with Maximizing Agents", 2008, Quantitative Finance, 8(4), 363-80.
"Equilibria, stability, and asymptotic dominance in a speculative market with heterogeneous agents", 2006, with Giulio Bottazzi and Francesca Pancotto, Journal of Economic Dynamics & Control, 30(9-10), 1787-835, DOI: https://doi-org.ezproxy.lib.uts.edu.au/10.1016/j.jedc.2005.10.012.
Other professional publications
"Social distancing policies and intersectoral spillovers: The case of Australia", with Andrea Giovannetti and Valentyn Panchenko, CEPR Covid Economics series, 2021, Issue 69, 140-165. [Download: Paper]
"Some reflections on past and future of nonlinear dynamics in economics and finance", with Davide Radi and Fabio Tramontana, Decisions in Economics and Finance, 2018, volume 41(2), 91-118. DOI: https://doi.org/10.1007/s10203-018-0229-9
Book review of "Macroeconomics at the Service of Public Policy" (ed. by T.J. Sargent and J. Vilmunen), Oxford University Press, Oxford, 2015, in the Economic Record, 2015, volume 91, 127-129. DOI: https://doi.org/10.1111/1475-4932.12170
Introduction to special issue on complexity in economics and finance, 2009, with William Branch, Journal of Economic Dynamics & Control, volume 33(5), 1019-22. DOI: https://doi.org/10.1016/j.jedc.2009.02.001
Book chapters
"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]
"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]
"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]
"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]
Conference proceedings
"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]
Editorial Activity
Associate Editor of the Journal of Economic Dynamics & Control
Associate Editor of the Review of Behavioral Economics
Associate Editor of the annual special issue of Macroeconomics and Development, at the Industrial and Corporate Change
Editor of the special issue on Complexity in Economics and Finance of the Journal of Economic Dynamics & Control, 2009 (with William Branch)
Editor of the special issue on Stability and Bifurcations in Nonlinear Economic Systems of Decisions in Economics and Finance, 2019, (with Davide Radi and Fabio Tramantana)
Research Grants
"Information design, cognitive abilities and macro-economic stability", 2020-2022, lead investigator, jointly with J. Duffy and J. Tuinstra, Australian Research Council (ARC): Discovery, DP200101438, AUD 484,396.
"Real Economy and Financial Networks: Formation, Structure, Policy Responses", 2017- 2020, lead Investigator, jointly with V. Panchenko and P. Pin, Australian Research Council (ARC): Discovery, DP, AUD 386,000.
"Heuristic-based behavioural models with an application to macroeconomics", 2014-2018, lead investigator, jointly with J. Tuinstra. Australian Research Council (ARC): Discovery, DP, AUD 190,000.
Too central to fail: networks, risks and policy responces", 2013-2015, lead Investigator, jointly with V. Panchenko and P. Pin. Centre for International Finance and Regulation (CIFR)