Frank Westerhoff
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021.
"Speculative asset price dynamics and wealth taxes,"
BERG Working Paper Series
169, Bamberg University, Bamberg Economic Research Group.
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021. "Speculative asset price dynamics and wealth taxes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
Cited by:
- Sahm, Marco, 2022. "Optimal accuracy of unbiased Tullock contests with two heterogeneous players," BERG Working Paper Series 175, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Cantner, Uwe & Inoue, Hiroyasu & Savin, Ivan & Vannuccini, Simone, 2021. "Market selection in global value chains," BERG Working Paper Series 170, Bamberg University, Bamberg Economic Research Group.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank H., 2021.
"Production delays, technology choice and cyclical cobweb dynamics,"
BERG Working Paper Series
174, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank, 2022. "Production delays, technology choice and cyclical cobweb dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
Cited by:
- Mundt, Philipp & Savin, Ivan, 2022.
"Drivers of productivity change in global value chains: Reallocation vs. innovation,"
BERG Working Paper Series
179, Bamberg University, Bamberg Economic Research Group.
- Savin, Ivan & Mundt, Philipp, 2022. "Drivers of productivity change in global value chains: Reallocation vs. innovation," Economics Letters, Elsevier, vol. 220(C).
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2024.
"Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior,"
Annals of Operations Research, Springer, vol. 337(3), pages 809-834, June.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2023. "Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior," BERG Working Paper Series 187, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2022. "Optimal accuracy of unbiased Tullock contests with two heterogeneous players," BERG Working Paper Series 175, Bamberg University, Bamberg Economic Research Group.
- Daske, Thomas & March, Christoph, 2022.
"Efficient incentives with social preferences,"
BERG Working Paper Series
180, Bamberg University, Bamberg Economic Research Group.
- Daske, Thomas & March, Christoph, 2022. "Efficient Incentives with Social Preferences," EconStor Preprints 254263, ZBW - Leibniz Information Centre for Economics.
- Daske, Thomas & March, Christoph, 2024. "Efficient incentives with social preferences," Theoretical Economics, Econometric Society, vol. 19(3), July.
- Thomas Daske & Christoph March, 2022. "Efficient Incentives with Social Preferences," CESifo Working Paper Series 9784, CESifo.
- Dieci, Roberto & Mignot, Sarah & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Production delays, supply distortions and endogenous price dynamics," BERG Working Paper Series 182, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Sefanie Y. & Bruckner, Dominik, 2022. "Unaware consumers and disclosure of deficiencies," BERG Working Paper Series 178, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020.
"Heterogeneous expectations, housing bubbles and tax policy,"
BERG Working Paper Series
156, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021. "Heterogeneous expectations, housing bubbles and tax policy," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
Cited by:
- Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022.
"House price cycles, housing systems, and growth models,"
IPE Working Papers
194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Karsten Kohler & Benjamin Tippet & Engelbert Stockhammer, 2023. "House price cycles, housing systems, and growth models," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 20(3), pages 461-490, December.
- Jengei Hong & Doojin Ryu, 2023. "Expectations and the housing market: A model of house price dynamics," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1242-1266, October.
- Mundt, Philipp & Savin, Ivan, 2022.
"Drivers of productivity change in global value chains: Reallocation vs. innovation,"
BERG Working Paper Series
179, Bamberg University, Bamberg Economic Research Group.
- Savin, Ivan & Mundt, Philipp, 2022. "Drivers of productivity change in global value chains: Reallocation vs. innovation," Economics Letters, Elsevier, vol. 220(C).
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
- Yang Tang & Kairong Hong & Yucheng Zou & Yanwei Zhang, 2021. "Impact of Emotional Perceived Value on the Uncertain Evolution of the Housing Bubble," Mathematics, MDPI, vol. 9(13), pages 1-23, July.
- Sahm, Marco, 2022. "Optimal accuracy of unbiased Tullock contests with two heterogeneous players," BERG Working Paper Series 175, Bamberg University, Bamberg Economic Research Group.
- Carro, Adrian, 2023. "Taming the housing roller coaster: The impact of macroprudential policy on the house price cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Mundt, Philipp & Cantner, Uwe & Inoue, Hiroyasu & Savin, Ivan & Vannuccini, Simone, 2021. "Market selection in global value chains," BERG Working Paper Series 170, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Survival and the ergodicity of corporate profitability,"
BERG Working Paper Series
162, Bamberg University, Bamberg Economic Research Group.
- Philipp Mundt & Simone Alfarano & Mishael Milaković, 2022. "Survival and the Ergodicity of Corporate Profitability," Management Science, INFORMS, vol. 68(5), pages 3726-3734, May.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Dieci, Roberto & Mignot, Sarah & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Production delays, supply distortions and endogenous price dynamics," BERG Working Paper Series 182, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Sefanie Y. & Bruckner, Dominik, 2022. "Unaware consumers and disclosure of deficiencies," BERG Working Paper Series 178, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Xue-Zhong He, 2021. "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 727-754, December.
- Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022. "On the destabilizing nature of capital gains taxes," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Shahab Valaei Sharif & Dawn Cassandra Parker & Paul Waddell & Ted Tsiakopoulos, 2023. "Understanding the Effects of Market Volatility on Profitability Perceptions of Housing Market Developers," JRFM, MDPI, vol. 16(10), pages 1-34, October.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
Cited by:
- Mundt, Philipp & Savin, Ivan, 2022.
"Drivers of productivity change in global value chains: Reallocation vs. innovation,"
BERG Working Paper Series
179, Bamberg University, Bamberg Economic Research Group.
- Savin, Ivan & Mundt, Philipp, 2022. "Drivers of productivity change in global value chains: Reallocation vs. innovation," Economics Letters, Elsevier, vol. 220(C).
- Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
- Sahm, Marco, 2022. "Optimal accuracy of unbiased Tullock contests with two heterogeneous players," BERG Working Paper Series 175, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Cantner, Uwe & Inoue, Hiroyasu & Savin, Ivan & Vannuccini, Simone, 2021. "Market selection in global value chains," BERG Working Paper Series 170, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Survival and the ergodicity of corporate profitability,"
BERG Working Paper Series
162, Bamberg University, Bamberg Economic Research Group.
- Philipp Mundt & Simone Alfarano & Mishael Milaković, 2022. "Survival and the Ergodicity of Corporate Profitability," Management Science, INFORMS, vol. 68(5), pages 3726-3734, May.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Zheng, Zhiyong & Lu, Yunfan & Zhang, Junhuan, 2022. "Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
- Artem Stopochkin & Inessa Sytnik & Janusz Wielki & Nataliia Zemlianska, 2021. "Methodology for Building Trader's Investment Strategy Based on Assessment of the Market Value of the Company," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 913-935.
- Schmitt, Sefanie Y. & Bruckner, Dominik, 2022. "Unaware consumers and disclosure of deficiencies," BERG Working Paper Series 178, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank H., 2019.
"Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets,"
BERG Working Paper Series
151, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
Cited by:
- March, Christoph & Sahm, Marco, 2019.
"The Perks of Being in the Smaller Team: Incentives in Overlapping Contests,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203509, Verein für Socialpolitik / German Economic Association.
- Christoph March & Marco Sahm, 2019. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," CESifo Working Paper Series 7994, CESifo.
- Sahm, Marco & March, Christoph, 2021. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242469, Verein für Socialpolitik / German Economic Association.
- March, Christoph & Sahm, Marco, 2019. "The perks of being in the smaller team: Incentives in overlapping contests," BERG Working Paper Series 155, Bamberg University, Bamberg Economic Research Group.
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Federico Bassi & Dany Lang & Raquel Almeida Ramos, 2023.
"Bet against the trend and cash in profits: An agent‑based model of endogenous fluctuations of exchange rates,"
Post-Print
hal-04428234, HAL.
- Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
- Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
- Perras, Patrizia & Wagner, Niklas, 2020. "Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Mundt, Philipp & Savin, Ivan, 2022.
"Drivers of productivity change in global value chains: Reallocation vs. innovation,"
BERG Working Paper Series
179, Bamberg University, Bamberg Economic Research Group.
- Savin, Ivan & Mundt, Philipp, 2022. "Drivers of productivity change in global value chains: Reallocation vs. innovation," Economics Letters, Elsevier, vol. 220(C).
- Michael Heinrich Baumann & Michaela Baumann & Lars Grüne & Bernhard Herz, 2023. "Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 855-890, October.
- Sahm, Marco, 2022. "Optimal accuracy of unbiased Tullock contests with two heterogeneous players," BERG Working Paper Series 175, Bamberg University, Bamberg Economic Research Group.
- Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
- Mundt, Philipp & Cantner, Uwe & Inoue, Hiroyasu & Savin, Ivan & Vannuccini, Simone, 2021. "Market selection in global value chains," BERG Working Paper Series 170, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Survival and the ergodicity of corporate profitability,"
BERG Working Paper Series
162, Bamberg University, Bamberg Economic Research Group.
- Philipp Mundt & Simone Alfarano & Mishael Milaković, 2022. "Survival and the Ergodicity of Corporate Profitability," Management Science, INFORMS, vol. 68(5), pages 3726-3734, May.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
- Deborah Noguera & Gabriel Montes-Rojas, 2023. "Minskyan model with credit rationing in a network economy," SN Business & Economics, Springer, vol. 3(3), pages 1-26, March.
- Schmitt, Sefanie Y. & Bruckner, Dominik, 2022. "Unaware consumers and disclosure of deficiencies," BERG Working Paper Series 178, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
Cited by:
- March, Christoph & Sahm, Marco, 2019.
"The Perks of Being in the Smaller Team: Incentives in Overlapping Contests,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203509, Verein für Socialpolitik / German Economic Association.
- Christoph March & Marco Sahm, 2019. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," CESifo Working Paper Series 7994, CESifo.
- Sahm, Marco & March, Christoph, 2021. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242469, Verein für Socialpolitik / German Economic Association.
- March, Christoph & Sahm, Marco, 2019. "The perks of being in the smaller team: Incentives in overlapping contests," BERG Working Paper Series 155, Bamberg University, Bamberg Economic Research Group.
- Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
- Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2014.
"Identifying Booms and Busts in House Prices under Heterogeneous Expectations,"
CeNDEF Working Papers
14-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," European Economy - Economic Papers 2008 - 2015 540, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," Tinbergen Institute Discussion Papers 14-157/II, Tinbergen Institute.
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Cantner, Uwe & Inoue, Hiroyasu & Savin, Ivan & Vannuccini, Simone, 2021. "Market selection in global value chains," BERG Working Paper Series 170, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Survival and the ergodicity of corporate profitability,"
BERG Working Paper Series
162, Bamberg University, Bamberg Economic Research Group.
- Philipp Mundt & Simone Alfarano & Mishael Milaković, 2022. "Survival and the Ergodicity of Corporate Profitability," Management Science, INFORMS, vol. 68(5), pages 3726-3734, May.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Proaño, Christian R. & Lojak, Benjamin, 2020.
"Animal spirits, risk premia and monetary policy at the zero lower bound,"
Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
- Proaño Acosta, Christian & Lojak, Benjamin, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," BERG Working Paper Series 148, Bamberg University, Bamberg Economic Research Group.
- Christian R. Proaño & Benjamin Lojak, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," CAMA Working Papers 2019-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
Cited by:
- Serena Sordi & Marwil J. Dávila-Fernández, 2020.
"Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 867-897, October.
- Serena Sordi & Marwil J. Dávila-Fernández, 2019. "Investment behaviour and “bull & bear” dynamics: Modelling real and stock market interactions," Department of Economics University of Siena 800, Department of Economics, University of Siena.
- March, Christoph & Sahm, Marco, 2019.
"The Perks of Being in the Smaller Team: Incentives in Overlapping Contests,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203509, Verein für Socialpolitik / German Economic Association.
- Christoph March & Marco Sahm, 2019. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," CESifo Working Paper Series 7994, CESifo.
- Sahm, Marco & March, Christoph, 2021. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242469, Verein für Socialpolitik / German Economic Association.
- March, Christoph & Sahm, Marco, 2019. "The perks of being in the smaller team: Incentives in overlapping contests," BERG Working Paper Series 155, Bamberg University, Bamberg Economic Research Group.
- Makarewicz, Tomasz, 2021. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 626-673.
- Alessia Cafferata & Marwil J. Dávila-Fernández & Serena Sordi, 2021. "(Ir)rational explorers in the financial jungle," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1157-1188, September.
- Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
- Fausto Cavalli & Ahmad Naimzada & Nicol`o Pecora & Marina Pireddu, 2018. "Agents' beliefs and economic regimes polarization in interacting markets," Papers 1805.00387, arXiv.org.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- Perras, Patrizia & Wagner, Niklas, 2020. "Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Xia, Tongshui & Yao, Chen-Xi & Geng, Jiang-Bo, 2020. "Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China," International Review of Financial Analysis, Elsevier, vol. 67(C).
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
- Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series 177, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Survival and the ergodicity of corporate profitability,"
BERG Working Paper Series
162, Bamberg University, Bamberg Economic Research Group.
- Philipp Mundt & Simone Alfarano & Mishael Milaković, 2022. "Survival and the Ergodicity of Corporate Profitability," Management Science, INFORMS, vol. 68(5), pages 3726-3734, May.
- Proaño, Christian R. & Lojak, Benjamin, 2020.
"Animal spirits, risk premia and monetary policy at the zero lower bound,"
Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
- Proaño Acosta, Christian & Lojak, Benjamin, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," BERG Working Paper Series 148, Bamberg University, Bamberg Economic Research Group.
- Christian R. Proaño & Benjamin Lojak, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," CAMA Working Papers 2019-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Makarewicz, Tomasz, 2019. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," BERG Working Paper Series 141, Bamberg University, Bamberg Economic Research Group.
- Antoci, Angelo & Borghesi, Simone & Iannucci, Gianluca & Sodini, Mauro, 2021. "Should I stay or should I go? Carbon leakage and ETS in an evolutionary model," Energy Economics, Elsevier, vol. 103(C).
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Lou, Jun & Wong, Tat Wing & Fung, Ka Wai Terence & Shaende, Jonas J. Nazimoff, 2021. "Stock and bond joint pricing, consumption surplus, and inflation news," Research in International Business and Finance, Elsevier, vol. 58(C).
- Alessia Cafferata & Marwil J. Dávila-Fernández & Serena Sordi, 2020. "(Ir)rational explorers in the financial jungle: modelling Minsky with heterogeneous agents," Department of Economics University of Siena 819, Department of Economics, University of Siena.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
- Carro, Adrian, 2023. "Taming the housing roller coaster: The impact of macroprudential policy on the house price cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
BERG Working Paper Series
136, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018. "Steady states, stability and bifurcations in multi-asset market models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
Cited by:
- March, Christoph & Sahm, Marco, 2019.
"The Perks of Being in the Smaller Team: Incentives in Overlapping Contests,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203509, Verein für Socialpolitik / German Economic Association.
- Christoph March & Marco Sahm, 2019. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," CESifo Working Paper Series 7994, CESifo.
- Sahm, Marco & March, Christoph, 2021. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242469, Verein für Socialpolitik / German Economic Association.
- March, Christoph & Sahm, Marco, 2019. "The perks of being in the smaller team: Incentives in overlapping contests," BERG Working Paper Series 155, Bamberg University, Bamberg Economic Research Group.
- Nivedita Mukherji, 2022. "Complex dynamics in the market for loans," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 83-99, June.
- Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
- Mikhail Anufriev & Davide Radi & Fabio Tramontana, 2018. "Some reflections on past and future of nonlinear dynamics in economics and finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 91-118, November.
- Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020.
"Survival and the ergodicity of corporate profitability,"
BERG Working Paper Series
162, Bamberg University, Bamberg Economic Research Group.
- Philipp Mundt & Simone Alfarano & Mishael Milaković, 2022. "Survival and the Ergodicity of Corporate Profitability," Management Science, INFORMS, vol. 68(5), pages 3726-3734, May.
- Proaño, Christian R. & Lojak, Benjamin, 2020.
"Animal spirits, risk premia and monetary policy at the zero lower bound,"
Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
- Proaño Acosta, Christian & Lojak, Benjamin, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," BERG Working Paper Series 148, Bamberg University, Bamberg Economic Research Group.
- Christian R. Proaño & Benjamin Lojak, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," CAMA Working Papers 2019-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017.
"Market entry waves and volatility outbursts in stock markets,"
BERG Working Paper Series
128, Bamberg University, Bamberg Economic Research Group.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
Cited by:
- March, Christoph & Sahm, Marco, 2019.
"The Perks of Being in the Smaller Team: Incentives in Overlapping Contests,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203509, Verein für Socialpolitik / German Economic Association.
- Christoph March & Marco Sahm, 2019. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," CESifo Working Paper Series 7994, CESifo.
- Sahm, Marco & March, Christoph, 2021. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242469, Verein für Socialpolitik / German Economic Association.
- March, Christoph & Sahm, Marco, 2019. "The perks of being in the smaller team: Incentives in overlapping contests," BERG Working Paper Series 155, Bamberg University, Bamberg Economic Research Group.
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Leonardo Quero Virla, 2023. "An empirical characterization of volatility in the German stock market," SN Business & Economics, Springer, vol. 3(7), pages 1-19, July.
- Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018.
"Fiscal consolidations and heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
- Hommes, Cars H. & Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and heterogeneous expectations," BERG Working Paper Series 132, Bamberg University, Bamberg Economic Research Group.
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
- Proaño, Christian R. & Lojak, Benjamin, 2020.
"Animal spirits, risk premia and monetary policy at the zero lower bound,"
Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
- Proaño Acosta, Christian & Lojak, Benjamin, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," BERG Working Paper Series 148, Bamberg University, Bamberg Economic Research Group.
- Christian R. Proaño & Benjamin Lojak, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," CAMA Working Papers 2019-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- F. Cavalli & A. Naimzada & N. Pecora, 2022. "A stylized macro-model with interacting real, monetary and stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 225-257, January.
- Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2018. "Boom-bust dynamics in a stock market participation model with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 458-468.
- Hommes, Cars & Lustenhouwer, Joep, 2019.
"Managing unanchored, heterogeneous expectations and liquidity traps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.
- Hommes, Cars H. & Lustenhouwer, Joep, 2017. "Managing unanchored, heterogeneous expectations and liquidity traps," BERG Working Paper Series 131, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2017.
"On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations,"
BERG Working Paper Series
119, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
Cited by:
- Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
- Ivan Jericevich & Murray McKechnie & Tim Gebbie, 2021. "Calibrating an adaptive Farmer-Joshi agent-based model for financial markets," Papers 2104.09863, arXiv.org.
- Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
- Schmitt, Noemi & Westerhoff, Frank, 2021.
"Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
- Schmitt, Noemi & Westerhoff, Frank H., 2019. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," BERG Working Paper Series 151, Bamberg University, Bamberg Economic Research Group.
- Lux, Thomas, 2020. "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers 2020-03, Christian-Albrechts-University of Kiel, Department of Economics.
- Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Huang, Weihong & Chen, Zhenxi, 2020. "Modelling contagion of financial crises," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- David Goldbaum, 2016.
"Divergent behavior in markets with idiosyncratic private information,"
Working Paper Series
34, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Goldbaum, David, 2017. "Divergent Behavior in Markets with Idiosyncratic Private Information," Review of Behavioral Economics, now publishers, vol. 4(2), pages 181-213, September.
- Adam Majewski & Stefano Ciliberti & Jean-Philippe Bouchaud, 2018. "Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model," Papers 1807.11751, arXiv.org.
- Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017.
"Stability and welfare effects of profit taxes within an evolutionary market interaction model,"
BERG Working Paper Series
122, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Jan Tuinstra & Frank Westerhoff, 2018. "Stability and welfare effects of profit taxes within an evolutionary market interaction model," Review of International Economics, Wiley Blackwell, vol. 26(3), pages 691-708, August.
Cited by:
- March, Christoph & Sahm, Marco, 2019.
"The Perks of Being in the Smaller Team: Incentives in Overlapping Contests,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203509, Verein für Socialpolitik / German Economic Association.
- Christoph March & Marco Sahm, 2019. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," CESifo Working Paper Series 7994, CESifo.
- Sahm, Marco & March, Christoph, 2021. "The Perks of Being in the Smaller Team: Incentives in Overlapping Contests," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242469, Verein für Socialpolitik / German Economic Association.
- March, Christoph & Sahm, Marco, 2019. "The perks of being in the smaller team: Incentives in overlapping contests," BERG Working Paper Series 155, Bamberg University, Bamberg Economic Research Group.
- Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- March, Christoph & Sahm, Marco, 2018.
"Contests as selection mechanisms: The impact of risk aversion,"
Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 114-131.
- Christoph March & Marco Sahm, 2017. "Contests as Selection Mechanisms: The Impact of Risk Aversion," CESifo Working Paper Series 6587, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Contests as selection mechanisms: The impact of risk aversion," BERG Working Paper Series 127, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018.
"Fiscal consolidations and heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
- Hommes, Cars H. & Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and heterogeneous expectations," BERG Working Paper Series 132, Bamberg University, Bamberg Economic Research Group.
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
- Valentin Marian ANTOHI & Monica Laura ZLATI, 2018. "The impact of profit taxation on the financial solvency of economic agents," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 43-55.
- Proaño, Christian R. & Lojak, Benjamin, 2020.
"Animal spirits, risk premia and monetary policy at the zero lower bound,"
Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
- Proaño Acosta, Christian & Lojak, Benjamin, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," BERG Working Paper Series 148, Bamberg University, Bamberg Economic Research Group.
- Christian R. Proaño & Benjamin Lojak, 2019. "Animal spirits, risk premia and monetary policy at the zero lower bound," CAMA Working Papers 2019-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ingrid Kubin & Laura Gardini, 2022. "On the significance of borders: the emergence of endogenous dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 41-62, January.
- Hommes, Cars & Lustenhouwer, Joep, 2019.
"Managing unanchored, heterogeneous expectations and liquidity traps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.
- Hommes, Cars H. & Lustenhouwer, Joep, 2017. "Managing unanchored, heterogeneous expectations and liquidity traps," BERG Working Paper Series 131, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2016.
"Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models,"
BERG Working Paper Series
111, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1041-1070, November.
Cited by:
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- March, Christoph & Sahm, Marco, 2018.
"Contests as selection mechanisms: The impact of risk aversion,"
Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 114-131.
- Christoph March & Marco Sahm, 2017. "Contests as Selection Mechanisms: The Impact of Risk Aversion," CESifo Working Paper Series 6587, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Contests as selection mechanisms: The impact of risk aversion," BERG Working Paper Series 127, Bamberg University, Bamberg Economic Research Group.
- Kukacka, Jiri & Kristoufek, Ladislav, 2021. "Does parameterization affect the complexity of agent-based models?," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 324-356.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Kukacka, Jiri & Kristoufek, Ladislav, 2020. "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018.
"Fiscal consolidations and heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
- Hommes, Cars H. & Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and heterogeneous expectations," BERG Working Paper Series 132, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2017.
"On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations,"
BERG Working Paper Series
119, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
- Schmitt, Noemi & Westerhoff, Frank, 2021.
"Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
- Schmitt, Noemi & Westerhoff, Frank H., 2019. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," BERG Working Paper Series 151, Bamberg University, Bamberg Economic Research Group.
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
- Zila, Eric & Kukacka, Jiri, 2023. "Moment set selection for the SMM using simple machine learning," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 366-391.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Binghui Wu & Tingting Duan, 2019. "Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network," Complexity, Hindawi, vol. 2019, pages 1-12, June.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Schmitt, Noemi, 2018. "Heterogeneous expectations and asset price dynamics," BERG Working Paper Series 134, Bamberg University, Bamberg Economic Research Group.
- Alexander Musaev & Andrey Makshanov & Dmitry Grigoriev, 2022. "Numerical Studies of Channel Management Strategies for Nonstationary Immersion Environments: EURUSD Case Study," Mathematics, MDPI, vol. 10(9), pages 1-20, April.
- Huang, Weihong & Chen, Zhenxi, 2020. "Modelling contagion of financial crises," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Changtai Li & Weihong Huang & Wei-Siang Wang & Wai-Mun Chia, 2023. "Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 677-713, February.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Hui, Wang & Xin-gang, Zhao & Ling-zhi, Ren & Fan, Lu, 2021. "An agent-based modeling approach for analyzing the influence of market participants’ strategic behavior on green certificate trading," Energy, Elsevier, vol. 218(C).
- F. Cavalli & A. Naimzada & N. Pecora, 2022. "A stylized macro-model with interacting real, monetary and stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 225-257, January.
- Hommes, Cars & Lustenhouwer, Joep, 2019.
"Managing unanchored, heterogeneous expectations and liquidity traps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.
- Hommes, Cars H. & Lustenhouwer, Joep, 2017. "Managing unanchored, heterogeneous expectations and liquidity traps," BERG Working Paper Series 131, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2016.
"Herding behavior and volatility clustering in financial markets,"
BERG Working Paper Series
107, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017. "Herding behaviour and volatility clustering in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
Cited by:
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Sunyoung Lee & Keun Lee, 2021. "3% rules the market: herding behavior of a group of investors, asset market volatility, and return to the group in an agent-based model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 359-380, April.
- Leonardo Quero Virla, 2023. "An empirical characterization of volatility in the German stock market," SN Business & Economics, Springer, vol. 3(7), pages 1-19, July.
- Vo, Xuan Vinh & Phan, Dang Bao Anh, 2019. "Herd behavior and idiosyncratic volatility in a frontier market," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 321-330.
- El Ouadghiri, Imane & Peillex, Jonathan, 2018. "Public attention to “Islamic terrorism” and stock market returns," Journal of Comparative Economics, Elsevier, vol. 46(4), pages 936-946.
- Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- Dragomirescu-Gaina, Catalin & Galariotis, Emilios & Philippas, Dionisis, 2021.
"Chasing the ‘green bandwagon’ in times of uncertainty,"
Energy Policy, Elsevier, vol. 151(C).
- Catalin Dragomirescu-Gaina & Emilios Galariotis & Dionisis Philippas, 2021. "Chasing the ‘green bandwagon’ in times of uncertainty," Post-Print hal-03142447, HAL.
- March, Christoph & Sahm, Marco, 2018.
"Contests as selection mechanisms: The impact of risk aversion,"
Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 114-131.
- Christoph March & Marco Sahm, 2017. "Contests as Selection Mechanisms: The Impact of Risk Aversion," CESifo Working Paper Series 6587, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Contests as selection mechanisms: The impact of risk aversion," BERG Working Paper Series 127, Bamberg University, Bamberg Economic Research Group.
- Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
- Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Aliu, Florin, 2024. "Do infectious diseases explain Bitcoin price Fluctuations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
- Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018.
"Fiscal consolidations and heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
- Hommes, Cars H. & Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and heterogeneous expectations," BERG Working Paper Series 132, Bamberg University, Bamberg Economic Research Group.
- Benjamin Patrick Evans & Mikhail Prokopenko, 2022. "Bounded strategic reasoning explains crisis emergence in multi-agent market games," Papers 2206.05568, arXiv.org.
- Zhao, Xiaojun & Zhang, Na & Zhang, Yali & Xu, Chao & Shang, Pengjian, 2024. "Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Schmitt, Noemi & Westerhoff, Frank, 2021.
"Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
- Schmitt, Noemi & Westerhoff, Frank H., 2019. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," BERG Working Paper Series 151, Bamberg University, Bamberg Economic Research Group.
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- Xue, Wenjun & He, Zhongzhi & Hu, Yu, 2023. "The destabilizing effect of mutual fund herding: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 88(C).
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Hung-Wen Lin & Kun-Ben Lin & Jing-Bo Huang & Shu-Heng Chen, 2021. "Timely Loss Recognition Helps Nothing," Sustainability, MDPI, vol. 13(14), pages 1-24, July.
- Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Zila, Eric & Kukacka, Jiri, 2023. "Moment set selection for the SMM using simple machine learning," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 366-391.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1041-1070, November.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," BERG Working Paper Series 111, Bamberg University, Bamberg Economic Research Group.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Fu, Jingxue & Wu, Lan, 2021. "Regime-switching herd behavior: Novel evidence from the Chinese A-share market," Finance Research Letters, Elsevier, vol. 39(C).
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
- Tiziana Assenza & Jakob Grazzini & Domenico Massaro, 2019. "Introduction to the special issue," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 431-436, September.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Kizys, Renatas & Tzouvanas, Panagiotis & Donadelli, Michael, 2021. "From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Hommes, Cars & Lustenhouwer, Joep, 2019.
"Managing unanchored, heterogeneous expectations and liquidity traps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.
- Hommes, Cars H. & Lustenhouwer, Joep, 2017. "Managing unanchored, heterogeneous expectations and liquidity traps," BERG Working Paper Series 131, Bamberg University, Bamberg Economic Research Group.
- David Goldbaum, 2016.
"Divergent behavior in markets with idiosyncratic private information,"
Working Paper Series
34, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Goldbaum, David, 2017. "Divergent Behavior in Markets with Idiosyncratic Private Information," Review of Behavioral Economics, now publishers, vol. 4(2), pages 181-213, September.
- Ibrahim Yagli & Ozkan Haykir & Emin Huseyin Cetenak, 2022. "Herding behavior in the European banking sector during the COVID-19 outbreak: The role of short-selling restrictions," Economics Bulletin, AccessEcon, vol. 42(3), pages 1486-1497.
- Tubbenhauer, Tobias & Fieberg, Christian & Poddig, Thorsten, 2021. "Multi-agent-based VaR forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Samuel Tabot ENOW, 2022. "Evidence of Adaptive Market Hypothesis in International Financial Markets," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(2), pages 48-55, December.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Ferreruela, Sandra & Mallor, Tania, 2021. "Herding in the bad times: The 2008 and COVID-19 crises," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Dieci, Roberto & Westerhoff, Frank, 2015.
"Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach,"
BERG Working Paper Series
99, Bamberg University, Bamberg Economic Research Group.
Cited by:
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- March, Christoph & Sahm, Marco, 2018.
"Contests as selection mechanisms: The impact of risk aversion,"
Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 114-131.
- Christoph March & Marco Sahm, 2017. "Contests as Selection Mechanisms: The Impact of Risk Aversion," CESifo Working Paper Series 6587, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Contests as selection mechanisms: The impact of risk aversion," BERG Working Paper Series 127, Bamberg University, Bamberg Economic Research Group.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Diks, Cees & Wang, Juanxi, 2016. "Can a stochastic cusp catastrophe model explain housing market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 68-88.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
Cited by:
- Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
- Noemi Schmitt & Jan Tuinstra & Frank Westerhoff, 2018.
"Stability and welfare effects of profit taxes within an evolutionary market interaction model,"
Review of International Economics, Wiley Blackwell, vol. 26(3), pages 691-708, August.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Stability and welfare effects of profit taxes within an evolutionary market interaction model," BERG Working Paper Series 122, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
- March, Christoph & Sahm, Marco, 2018.
"Contests as selection mechanisms: The impact of risk aversion,"
Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 114-131.
- Christoph March & Marco Sahm, 2017. "Contests as Selection Mechanisms: The Impact of Risk Aversion," CESifo Working Paper Series 6587, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Contests as selection mechanisms: The impact of risk aversion," BERG Working Paper Series 127, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018.
"Fiscal consolidations and heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
- Hommes, Cars H. & Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and heterogeneous expectations," BERG Working Paper Series 132, Bamberg University, Bamberg Economic Research Group.
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
- Nálepová, Veronika & Lampart, Marek, 2024. "Impact of windfall tax on market dynamics: A Cournot oligopoly model with exogenous shocks," Economic Modelling, Elsevier, vol. 137(C).
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Anufriev, Mikhail & Chernulich, Aleksei & Tuinstra, Jan, 2018. "A laboratory experiment on the heuristic switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 21-42.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Dieci, Roberto & Mignot, Sarah & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Production delays, supply distortions and endogenous price dynamics," BERG Working Paper Series 182, Bamberg University, Bamberg Economic Research Group.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2018. "Boom-bust dynamics in a stock market participation model with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 458-468.
- Ingrid Kubin & Laura Gardini, 2022. "On the significance of borders: the emergence of endogenous dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 41-62, January.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Lustenhouwer, Joep, 2019.
"Managing unanchored, heterogeneous expectations and liquidity traps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.
- Hommes, Cars H. & Lustenhouwer, Joep, 2017. "Managing unanchored, heterogeneous expectations and liquidity traps," BERG Working Paper Series 131, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
Cited by:
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Martin, Carolin & Westerhoff, Frank, 2018.
"Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model,"
BERG Working Paper Series
135, Bamberg University, Bamberg Economic Research Group.
- Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
- March, Christoph & Sahm, Marco, 2018.
"Contests as selection mechanisms: The impact of risk aversion,"
Journal of Economic Behavior & Organization, Elsevier, vol. 150(C), pages 114-131.
- Christoph March & Marco Sahm, 2017. "Contests as Selection Mechanisms: The Impact of Risk Aversion," CESifo Working Paper Series 6587, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Contests as selection mechanisms: The impact of risk aversion," BERG Working Paper Series 127, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018.
"Fiscal consolidations and heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
- Hommes, Cars H. & Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and heterogeneous expectations," BERG Working Paper Series 132, Bamberg University, Bamberg Economic Research Group.
- Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Valentin Marian ANTOHI & Monica Laura ZLATI, 2018. "The impact of profit taxation on the financial solvency of economic agents," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 43-55.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Hommes, Cars & Lustenhouwer, Joep, 2019.
"Managing unanchored, heterogeneous expectations and liquidity traps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.
- Hommes, Cars H. & Lustenhouwer, Joep, 2017. "Managing unanchored, heterogeneous expectations and liquidity traps," BERG Working Paper Series 131, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Managing rational routes to randomness,"
BERG Working Paper Series
96, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015. "Managing rational routes to randomness," Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 157-173.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020. "Heterogeneous expectations, housing bubbles and tax policy," BERG Working Paper Series 156, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Li, Kai & Wagener, Florian, 2022. "Production delays and price dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 341-362.
- Noemi Schmitt & Jan Tuinstra & Frank Westerhoff, 2018.
"Stability and welfare effects of profit taxes within an evolutionary market interaction model,"
Review of International Economics, Wiley Blackwell, vol. 26(3), pages 691-708, August.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Stability and welfare effects of profit taxes within an evolutionary market interaction model," BERG Working Paper Series 122, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank H., 2021.
"Production delays, technology choice and cyclical cobweb dynamics,"
BERG Working Paper Series
174, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank, 2022. "Production delays, technology choice and cyclical cobweb dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
- Anufriev, Mikhail & Kopányi, Dávid, 2018. "Oligopoly game: Price makers meet price takers," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 84-103.
- Valentin Marian ANTOHI & Monica Laura ZLATI, 2018. "The impact of profit taxation on the financial solvency of economic agents," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 43-55.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- Hommes, Cars, 2018. "Carl’s nonlinear cobweb," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 7-20.
- Tuinstra, Jan & Wegener, Michael & Westerhoff, Frank, 2013.
"Positive welfare effects of trade barriers in a dynamic equilibrium model,"
BERG Working Paper Series
91, Bamberg University, Bamberg Economic Research Group.
Cited by:
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Meyer, Dietmar & Shera, Adela, 2015. "Remittances' impact on the labor supply and on the deficit of current account," BERG Working Paper Series 97, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2013.
"Speculative behavior and the dynamics of interacting stock markets,"
BERG Working Paper Series
90, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
Cited by:
- Serena Sordi & Marwil J. Dávila-Fernández, 2020.
"Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 867-897, October.
- Serena Sordi & Marwil J. Dávila-Fernández, 2019. "Investment behaviour and “bull & bear” dynamics: Modelling real and stock market interactions," Department of Economics University of Siena 800, Department of Economics, University of Siena.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Leonardo Quero Virla, 2023. "An empirical characterization of volatility in the German stock market," SN Business & Economics, Springer, vol. 3(7), pages 1-19, July.
- Meyer, Dietmar & Shera, Adela, 2015. "Remittances' impact on the labor supply and on the deficit of current account," BERG Working Paper Series 97, Bamberg University, Bamberg Economic Research Group.
- Fausto Cavalli & Ahmad Naimzada & Nicol`o Pecora & Marina Pireddu, 2018. "Agents' beliefs and economic regimes polarization in interacting markets," Papers 1805.00387, arXiv.org.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Michael Heinrich Baumann & Michaela Baumann & Lars Grüne & Bernhard Herz, 2023. "Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 855-890, October.
- Chen, Zhenxi & Huang, Weihong & Zheng, Huanhuan, 2015.
"Estimating heterogeneous agents behavior in a two-market financial system,"
FinMaP-Working Papers
48, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Zhenxi Chen & Stefan Reitz, 2020.
"Dynamics of the European sovereign bonds and the identification of crisis periods,"
Empirical Economics, Springer, vol. 58(6), pages 2761-2781, June.
- Chen, Zhenxi & Reitz, Stefan, 2016. "Dynamics of the European sovereign bonds and the identification of crisis periods," FinMaP-Working Papers 57, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Li, Mengling & Zheng, Huanhuan & Chong, Terence Tai Leung & Zhang, Yang, 2016.
"The Stock-Bond Comovements and Cross-Market Trading,"
MPRA Paper
75871, University Library of Munich, Germany.
- Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016. "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 417-438.
- Frijns, Bart & Zwinkels, Remco C.J., 2018. "Time-varying arbitrage and dynamic price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 485-502.
- Schmitt, Noemi & Westerhoff, Frank, 2017.
"On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations,"
BERG Working Paper Series
119, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
- Xiong Xiong & Yian Cui & Xiaocong Yan & Jun Liu & Shaoyi He, 2020. "Cost-benefit analysis of trading strategies in the stock index futures market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018.
"Long memory in financial markets: A heterogeneous agent model perspective,"
International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
- Mikhail Anufriev & Davide Radi & Fabio Tramontana, 2018. "Some reflections on past and future of nonlinear dynamics in economics and finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 91-118, November.
- Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1041-1070, November.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," BERG Working Paper Series 111, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Gao, Xing & Ladley, Daniel, 2022. "Statistical arbitrage and risk contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Mengling Li & Huanhuan Zheng, 2017. "Heterogeneous trading and complex price dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 437-442, July.
- F. Cavalli & A. Naimzada & M. Pireddu, 2017. "An evolutive financial market model with animal spirits: imitation and endogenous beliefs," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1007-1040, November.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Xue-Zhong He, 2021. "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 727-754, December.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Westerhoff, Frank & Franke, Reiner, 2012.
"Agent-based models for economic policy design: Two illustrative examples,"
BERG Working Paper Series
88, Bamberg University, Bamberg Economic Research Group.
Cited by:
- Riccetti, Luca & Russo, Alberto & Gallegati, Mauro, 2012.
"An Agent Based Decentralized Matching Macroeconomic Model,"
MPRA Paper
42211, University Library of Munich, Germany.
- Luca Riccetti & Alberto Russo & Mauro Gallegati, 2015. "An agent based decentralized matching macroeconomic model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 305-332, October.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- De Grauwe, Paul & Ji, Yuemei, 2016.
"Inflation Targets And The Zero Lower Bound In A Behavioral Macroeconomic Model,"
CEPR Discussion Papers
11320, C.E.P.R. Discussion Papers.
- De Grauwe, Paul & Ji, Yuemei, 2019. "Inflation targets and the zero lower bound in a behavioural macroeconomic model," LSE Research Online Documents on Economics 80271, London School of Economics and Political Science, LSE Library.
- Paul De Grauwe & Yuemei Ji, 2019. "Inflation Targets and the Zero Lower Bound in a Behavioural Macroeconomic Model," Economica, London School of Economics and Political Science, vol. 86(342), pages 262-299, April.
- Meyer, Dietmar & Shera, Adela, 2015. "Remittances' impact on the labor supply and on the deficit of current account," BERG Working Paper Series 97, Bamberg University, Bamberg Economic Research Group.
- Wang Juan & Pardalos Panos M. & Shen Yue, 2017. "A Novel Method of Finance Market Regulation Based on Control Overshoot," Journal of Systems Science and Information, De Gruyter, vol. 5(5), pages 385-394, October.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Sebastian Poledna & Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2013.
"Leverage-induced systemic risk under Basle II and other credit risk policies,"
Papers
1301.6114, arXiv.org, revised Jan 2014.
- Poledna, Sebastian & Thurner, Stefan & Farmer, J. Doyne & Geanakoplos, John, 2014. "Leverage-induced systemic risk under Basle II and other credit risk policies," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 199-212.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Paul Grauwe & Yuemei Ji, 2018.
"Behavioural Economics is Useful Also in Macroeconomics: The Role of Animal Spirits,"
Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 203-216, June.
- de Grauwe, Paul & Ji, Yuemei, 2018. "Behavioural economics is useful also in macroeconomics : the role of animal spirits," LSE Research Online Documents on Economics 87286, London School of Economics and Political Science, LSE Library.
- De Grauwe, Paul & Ji, Yuemei, 2017. "Structural Reforms and Monetary Policies in a Behavioural Macroeconomic Model," CEPR Discussion Papers 12336, C.E.P.R. Discussion Papers.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018.
"Long memory in financial markets: A heterogeneous agent model perspective,"
International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Ricetti, Luca & Russo, Alberto & Gallegati, Mauro, 2013. "Unemployment benefits and financial leverage in an agent based macroeconomic model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-44.
- Yuemei Ji, 2023. "Shock Therapy in Transition Countries: A Behavioral Macroeconomic Approach," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(3), pages 483-510, September.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Yuemei Ji, 2018. "Why is there so much Inertia in Inflation and Output? A Behavioral Explanation," CESifo Working Paper Series 7181, CESifo.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Paul De Grauwe & Yuemei Ji, 2021. "On the Use of Current or Forward-Looking Data in Monetary Policy: A Behavioural Macroeconomic Approach," CESifo Working Paper Series 8853, CESifo.
- Paul De Grauwe & Yuemei Ji, 2017. "Analyzing Structural Reforms Using a Behavioral Macroeconomic Model," CESifo Working Paper Series 6518, CESifo.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Florian Chávez-Juárez, 2017. "On the Role of Agent-based Modeling in the Theory of Development Economics," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 713-730, August.
- Riccetti, Luca & Russo, Alberto & Mauro, Gallegati, 2013. "Financial Regulation in an Agent Based Macroeconomic Model," MPRA Paper 51013, University Library of Munich, Germany.
- Callum Rhys Tilbury, 2022. "Reinforcement Learning for Economic Policy: A New Frontier?," Papers 2206.08781, arXiv.org, revised Feb 2023.
- Riccetti, Luca & Russo, Alberto & Gallegati, Mauro, 2012.
"An Agent Based Decentralized Matching Macroeconomic Model,"
MPRA Paper
42211, University Library of Munich, Germany.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012.
"The bull and bear market model of Huang and Day : Some extensions and new results,"
BERG Working Paper Series
89, Bamberg University, Bamberg Economic Research Group.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
Cited by:
- Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.
- Herold, Florian & Kuzmics, Christoph, 2016.
"The evolution of taking roles,"
BERG Working Paper Series
115, Bamberg University, Bamberg Economic Research Group.
- Florian Herold & Christoph Kuzmics, 2017. "The evolution of taking roles," Graz Economics Papers 2017-09, University of Graz, Department of Economics.
- Herold, Florian & Kuzmics, Christoph, 2020. "The evolution of taking roles," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 38-63.
- Meyer, Dietmar & Shera, Adela, 2015. "Remittances' impact on the labor supply and on the deficit of current account," BERG Working Paper Series 97, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Michael Heinrich Baumann & Michaela Baumann & Lars Grüne & Bernhard Herz, 2023. "Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 855-890, October.
- Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Schmitt, Noemi & Westerhoff, Frank, 2017.
"On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations,"
BERG Working Paper Series
119, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
- Laura Gardini & Davide Radi & Noemi Schmitt & Iryna Sushko & Frank Westerhoff, 2024. "On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model," Papers 2410.21198, arXiv.org.
- González-Díaz, Julio & Herold, Florian & Domínguez, Diego, 2016. "Strategic sequential voting," BERG Working Paper Series 113, Bamberg University, Bamberg Economic Research Group.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
- Sahm, Marco, 2017. "Risk aversion and prudence in contests," BERG Working Paper Series 120, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Lojak, Benjamin, 2016. "Sentiment-driven investment, non-linear corporate debt dynamics and co-existing business cycle regimes," BERG Working Paper Series 112, Bamberg University, Bamberg Economic Research Group.
- Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- March, Christoph & Sahm, Marco, 2016.
"Asymmetric discouragement in asymmetric contests,"
BERG Working Paper Series
117, Bamberg University, Bamberg Economic Research Group.
- Christoph March & Marco Sahm, 2016. "Asymmetric Discouragement in Asymmetric Contests," CESifo Working Paper Series 6108, CESifo.
- March, Christoph & Sahm, Marco, 2017. "Asymmetric discouragement in asymmetric contests," Economics Letters, Elsevier, vol. 151(C), pages 23-27.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2014. "One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 27-51, April.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2014.
"Optimal monetary policy in a new Keynesian model with animal spirits and financial markets,"
Economics Working Papers
2014-12, Christian-Albrechts-University of Kiel, Department of Economics.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2016. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 148-165.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Sahm, Marco, 2017. "Are sequential round-robin tournaments discriminatory?," BERG Working Paper Series 121, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022. "On the destabilizing nature of capital gains taxes," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Sahm, Marco, 2016. "Advance-purchase financing of projects with few buyers," BERG Working Paper Series 118, Bamberg University, Bamberg Economic Research Group.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
- Franke, Reiner & Westerhoff, Frank, 2011.
"Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation,"
BERG Working Paper Series
83, Bamberg University, Bamberg Economic Research Group.
Cited by:
- Fabio Tramontana, 2013. "The role of cognitively biased imitators in a small scale agent-based financial market," DEM Working Papers Series 029, University of Pavia, Department of Economics and Management.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2011.
"A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities,"
Quaderni di Dipartimento
150, University of Pavia, Department of Economics and Quantitative Methods.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015. "A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
Cited by:
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012.
"The bull and bear market model of Huang and Day : Some extensions and new results,"
BERG Working Paper Series
89, Bamberg University, Bamberg Economic Research Group.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- Francesca Grassetti & Cristiana Mammana & Elisabetta Michetti, 2018. "Poverty trap, boom and bust periods and growth. A nonlinear model for non-developed and developing countries," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 145-162, November.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2014. "One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 27-51, April.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Nguyen Tien Zung, 2017. "Second order stochastic differential models for financial markets," Papers 1707.05419, arXiv.org.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
- Dieci, Roberto & Westerhoff, Frank, 2011.
"On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets,"
BERG Working Paper Series
79, Bamberg University, Bamberg Economic Research Group.
Cited by:
- Meyer, Dietmar & Shera, Adela, 2015. "Remittances' impact on the labor supply and on the deficit of current account," BERG Working Paper Series 97, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Seregi, János & Lelovics, Zsuzsanna & Balogh, László, 2012. "The social welfare function of forests in the light of the theory of public goods," BERG Working Paper Series 87, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Franke, Reiner & Westerhoff, Frank, 2011. "Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation," BERG Working Paper Series 83, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Westerhoff, Frank, 2011.
"Interactions between the real economy and the stock market,"
BERG Working Paper Series
84, Bamberg University, Bamberg Economic Research Group.
Cited by:
- Fischer, Thomas & Riedler, Jesper, 2012.
"Prices, debt and market structure in an agent-based model of the financial market,"
ZEW Discussion Papers
12-045, ZEW - Leibniz Centre for European Economic Research.
- Fischer, Thomas & Riedler, Jesper, 2012. "Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 58512, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas & Riedler, Jesper, 2014. "Prices, debt and market structure in an agent-based model of the financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 95-120.
- Fischer, Thomas & Riedler, Jesper, 2014. "Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market," FinMaP-Working Papers 21, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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"Prices, debt and market structure in an agent-based model of the financial market,"
ZEW Discussion Papers
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BERG Working Paper Series
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Cited by:
- Johann Lussange & Ivan Lazarevich & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2021. "Modelling Stock Markets by Multi-agent Reinforcement Learning," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 113-147, January.
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- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016.
"Rock around the clock: An agent-based model of low- and high-frequency trading,"
Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: an agent-based model of low- and high-frequency trading," SciencePo Working papers Main hal-01070542, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: An agent-based model of low- and high-frequency trading," Post-Print hal-01515227, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," GREDEG Working Papers 2014-21, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Giorgio Fagiolo & Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini, 2015. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," SciencePo Working papers Main hal-03411703, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the Clock : An agent-based model of low- and high-frequency trading," Post-Print hal-01512863, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo, 2014. "Rock around the clock :An agent-based model of low-and high frequency trading," Documents de Travail de l'OFCE 2014-03, Observatoire Francais des Conjonctures Economiques (OFCE).
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Working Papers 02/2014, University of Verona, Department of Economics.
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- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Papers 1402.2046, arXiv.org.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," LEM Papers Series 2014/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: an agent-based model of low- and high-frequency trading," Working Papers hal-01070542, HAL.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016.
"Complexity and the Economics of Climate Change: a Survey and a Look Forward,"
SciencePo Working papers Main
halshs-01390694, HAL.
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- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Post-Print halshs-01390694, HAL.
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- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," LEM Papers Series 2016/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01390694, HAL.
- T. Balint & F. Lamperti & Antoine Mandel & Mauro Napoletano & A. Roventini & A. Sapio, 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," SciencePo Working papers Main halshs-01906003, HAL.
- Tomas Balint & Francesco Lamperti & Mauro Napoletano & Antoine Mandel & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Working Papers hal-03459291, HAL.
- T. Balint & F. Lamperti & Antoine Mandel & Mauro Napoletano & A. Roventini & A. Sapio, 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," Post-Print halshs-01906003, HAL.
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"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
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- Severin Reissl & Alessandro Caiani & Francesco Lamperti & Mattia Guerini & Fabio Vanni & Giorgio Fagiolo & Tommaso Ferraresi & Leonardo Ghezzi & Mauro Napoletano & Andrea Roventini, 2022.
"Assessing the Economic Impact of Lockdowns in Italy: A Computational Input–Output Approach [Nonlinear Production Networks with an Application to the Covid-19 Crisis],"
Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 31(2), pages 358-409.
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- Severin Reissl & Alessandro Caiani & Francesco Lamperti & Mattia Guerini & Fabio Vanni & Giorgio Fagiolo & Tommaso Ferraresi & Leonardo Ghezzi & Mauro Napoletano & Andrea Roventini, 2021. "Assessing the economic impact of lockdowns in Italy: a computational input-output approach," Working Papers hal-03373672, HAL.
- Severin Reissl & Alessandro Caiani & Francesco Lamperti & Mattia Guerini & Fabio Vanni & Giorgio Fagiolo & Tommaso Ferraresi & Leonardo Ghezzi & Mauro Napoletano & Andrea Roventini, 2021. "Assessing the Economic Impact of Lockdowns in Italy: A Computational Input-Output Approach," GREDEG Working Papers 2021-15, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Severin Reissl & Alessandro Caiani & Francesco Lamperti & Mattia Guerini & Fabio Vanni & Giorgio Fagiolo & Tommaso Ferraresi & Leonardo Ghezzi & Mauro Napoletano & Andrea Roventini, 2021. "Assessing the Economic Impact of Lockdowns in Italy: A Computational Input-Output Approach," SciencePo Working papers Main hal-04103906, HAL.
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"The adaptiveness in stock markets: testing the stylized facts in the DAX 30,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
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"Agent-Based Model Calibration using Machine Learning Surrogates,"
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"Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading,"
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- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers hal-01512781, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," SciencePo Working papers Main hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," SciencePo Working papers Main hal-03459346, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512780, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Post-Print hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers hal-03459346, HAL.
- Vygintas Gontis & Shlomo Havlin & Aleksejus Kononovicius & Boris Podobnik & H. Eugene Stanley, 2015. "Stochastic model of financial markets reproducing scaling and memory in volatility return intervals," Papers 1507.05203, arXiv.org, revised Oct 2016.
- Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
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INET Oxford Working Papers
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- Adrian Carro & Marc Hinterschweiger & Arzu Uluc & J Doyne Farmer, 2023. "Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 32(2), pages 386-432.
- Carro, Adrian & Hinterschweiger, Marc & Uluc, Arzu & Farmer, J. Doyne, 2022. "Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market," Bank of England working papers 976, Bank of England.
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"The effects of a financial transaction tax in an artificial financial market,"
Kiel Working Papers
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"The age distribution of business firms,"
Journal of Evolutionary Economics, Springer, vol. 32(1), pages 205-245, January.
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"Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment,"
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hal-00849411, HAL.
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Cited by:
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"Stability and welfare effects of profit taxes within an evolutionary market interaction model,"
Review of International Economics, Wiley Blackwell, vol. 26(3), pages 691-708, August.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Stability and welfare effects of profit taxes within an evolutionary market interaction model," BERG Working Paper Series 122, Bamberg University, Bamberg Economic Research Group.
- Mariacristina Uberti & Simone Landini & Simone Casellina, 2014. "Adjustable and fixed interest rates mortgage markets modelling," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 391-406, June.
- Ingrid Kubin & Laura Gardini, 2013.
"Border collision bifurcations in boom and bust cycles,"
Journal of Evolutionary Economics, Springer, vol. 23(4), pages 811-829, September.
- Kubin, Ingrid & Gardini, Laura, 2012. "Border Collision Bifurcations in Boom and Bust Cycles," Department of Economics Working Paper Series 137, WU Vienna University of Economics and Business.
- Ingrid Kubin & Laura Gardini, 2012. "Border Collision Bifurcations in Boom and Bust Cycles," Department of Economics Working Papers wuwp137, Vienna University of Economics and Business, Department of Economics.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
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- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank H., 2021.
"Production delays, technology choice and cyclical cobweb dynamics,"
BERG Working Paper Series
174, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank, 2022. "Production delays, technology choice and cyclical cobweb dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
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- Tuinstra, Jan & Wegener, Michael & Westerhoff, Frank, 2013. "Positive welfare effects of trade barriers in a dynamic equilibrium model," BERG Working Paper Series 91, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
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- Valentin Marian ANTOHI & Monica Laura ZLATI, 2018. "The impact of profit taxation on the financial solvency of economic agents," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 43-55.
- Dieci, Roberto & Mignot, Sarah & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Production delays, supply distortions and endogenous price dynamics," BERG Working Paper Series 182, Bamberg University, Bamberg Economic Research Group.
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"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
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Cited by:
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"The Role of Constraints in a Segregation Model: The Asymmetric Case,"
Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-17, August.
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- Roberto Dieci & Frank Westerhoff, 2012.
"A simple model of a speculative housing market,"
Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
- Dieci, Roberto & Westerhoff, Frank, 2009. "A simple model of a speculative housing market," BERG Working Paper Series 62, Bamberg University, Bamberg Economic Research Group.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012.
"The bull and bear market model of Huang and Day : Some extensions and new results,"
BERG Working Paper Series
89, Bamberg University, Bamberg Economic Research Group.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- Ingrid Kubin & Laura Gardini, 2013.
"Border collision bifurcations in boom and bust cycles,"
Journal of Evolutionary Economics, Springer, vol. 23(4), pages 811-829, September.
- Kubin, Ingrid & Gardini, Laura, 2012. "Border Collision Bifurcations in Boom and Bust Cycles," Department of Economics Working Paper Series 137, WU Vienna University of Economics and Business.
- Ingrid Kubin & Laura Gardini, 2012. "Border Collision Bifurcations in Boom and Bust Cycles," Department of Economics Working Papers wuwp137, Vienna University of Economics and Business, Department of Economics.
- Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011. "Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
- Cifarelli, Giulio & Paesani, Paolo, 2018.
"Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing,"
MPRA Paper
90470, University Library of Munich, Germany.
- Giulio Cifarelli and Paolo Paesani, 2021. "Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Cafferata, Alessia & Tramontana, Fabio, 2019. "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 252-259.
- Annalisa Fabretti, 2022. "A Dynamical Model for Financial Market: Among Common Market Strategies Who and How Moves the Price to Fluctuate, Inflate, and Burst?," Mathematics, MDPI, vol. 10(5), pages 1-17, February.
- Mihaela Nicolau, 2010.
"Practitioners' Tools in Analysing Financial Markets Evolution,"
Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 83-104, August.
- Nicolau, Mihaela, 2010. "Practitioners' tools in analysing financial markets evolution," MPRA Paper 25646, University Library of Munich, Germany.
- Laura Gardini & Davide Radi & Noemi Schmitt & Iryna Sushko & Frank Westerhoff, 2024. "On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model," Papers 2410.21198, arXiv.org.
- Andrew Foster & Natasha Kirby, 2011. "Analysis of a Heterogeneous Trader Model for Asset Price Dynamics," Discrete Dynamics in Nature and Society, Hindawi, vol. 2011, pages 1-12, October.
- Schmitt, Noemi & Westerhoff, Frank, 2014.
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Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
- Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
- Roya Makrooni & Laura Gardini, 2015. "Bifurcation structures in a family of one-dimensional linear-power discontinuous maps," Gecomplexity Discussion Paper Series 7, Action IS1104 "The EU in the new complex geography of economic systems: models, tools and policy evaluation", revised Jan 2015.
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- Schmitt, Noemi & Westerhoff, Frank, 2016. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," BERG Working Paper Series 111, Bamberg University, Bamberg Economic Research Group.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
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- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2014. "One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 27-51, April.
- F. Cavalli & A. Naimzada & N. Pecora, 2022. "A stylized macro-model with interacting real, monetary and stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 225-257, January.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Fabio Dercole & Davide Radi, 2014. "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers 1405.7747, arXiv.org.
- Radi, Davide & Gardini, Laura, 2015. "Entry limitations and heterogeneous tolerances in a Schelling-like segregation model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 130-144.
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- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2011.
"A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities,"
Quaderni di Dipartimento
150, University of Pavia, Department of Economics and Quantitative Methods.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015. "A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
- Gardini, Laura & Tramontana, Fabio, 2011. "Border collision bifurcation curves and their classification in a family of 1D discontinuous maps," Chaos, Solitons & Fractals, Elsevier, vol. 44(4), pages 248-259.
- Dercole, Fabio & Radi, Davide, 2020. "Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
- Damian Smug & Peter Ashwin & Didier Sornette, 2018. "Predicting financial market crashes using ghost singularities," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-20, March.
- Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022. "On the destabilizing nature of capital gains taxes," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Dick, Christian D. & Menkhoff, Lukas, 2012.
"Exchange rate expectations of chartists and fundamentalists,"
ZEW Discussion Papers
12-026, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Lukas Menkhoff, 2013. "Exchange Rate Expectations of Chartists and Fundamentalists," CESifo Working Paper Series 4181, CESifo.
- Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2009.
"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics Discussion Papers
2009-51, Kiel Institute for the World Economy (IfW Kiel).
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Cited by:
- Baumann, Michael Heinrich & Baumann, Michaela & Erler, Alexander, 2019. "Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders," Economics Discussion Papers 2019-3, Kiel Institute for the World Economy (IfW Kiel).
- Baumann, Michael Heinrich & Baumann, Michaela & Erler, Alexander, 2019. "Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
- Westerhoff, Frank & Franke, Reiner, 2012. "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series 88, Bamberg University, Bamberg Economic Research Group.
- Paolo Pellizzari & Frank Westerhoff, 2009.
"Some effects of transaction taxes under different microstructures,"
Post-Print
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- Pellizzari, Paolo & Westerhoff, Frank, 2009. "Some effects of transaction taxes under different microstructures," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Paolo Pelizzari & Frank Westerhoff, 2007. "Some Effects of Transaction Taxes Under Different Microstructures," Research Paper Series 212, Quantitative Finance Research Centre, University of Technology, Sydney.
Cited by:
- Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2021.
"Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation,"
Staff Reports
993, Federal Reserve Bank of New York.
- Antonio Guarino & Andreas Uthemann & Marco Cipriani, 2015. "Financial Transaction Taxes anf the Informational Efficiency of Financial Markets: A Structural Estimation," 2015 Meeting Papers 1165, Society for Economic Dynamics.
- Cipriani, Marco & Guarino, Antonio & Uthemann, Andreas, 2022. "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation," CEPR Discussion Papers 17238, C.E.P.R. Discussion Papers.
- Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2019. "Financial transaction taxes and the informational efficiency of financial markets: a structural estimation," CeMMAP working papers CWP07/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Cipriani, Marco & Guarino, Antonio & Uthemann, Andreas, 2022. "Financial transaction taxes and the informational efficiency of financial markets: A structural estimation," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1044-1072.
- Cipriani, Marco & Guarino, Antonio & Uthemann, Andreas, 2019. "Financial transaction taxes and the informational efficiency of financial markets: a structural estimation," LSE Research Online Documents on Economics 118905, London School of Economics and Political Science, LSE Library.
- Cipriani, Marco & Guarino, Antonio & Uthemann, Andreas, 2022. "Financial transaction taxes and the informational efficiency of financial markets: a structural estimation," LSE Research Online Documents on Economics 115664, London School of Economics and Political Science, LSE Library.
- Leonardo Becchetti & Massimo Ferrari, 2013.
"The impact of the French Tobin tax,"
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- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- Becchetti, L. & Ferrari, M. & Trenta, U., 2014. "The impact of the French Tobin tax," Journal of Financial Stability, Elsevier, vol. 15(C), pages 127-148.
- Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016.
"Rock around the clock: An agent-based model of low- and high-frequency trading,"
Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: an agent-based model of low- and high-frequency trading," SciencePo Working papers Main hal-01070542, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: An agent-based model of low- and high-frequency trading," Post-Print hal-01515227, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," GREDEG Working Papers 2014-21, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Giorgio Fagiolo & Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini, 2015. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," SciencePo Working papers Main hal-03411703, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the Clock : An agent-based model of low- and high-frequency trading," Post-Print hal-01512863, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo, 2014. "Rock around the clock :An agent-based model of low-and high frequency trading," Documents de Travail de l'OFCE 2014-03, Observatoire Francais des Conjonctures Economiques (OFCE).
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104, Bamberg University, Bamberg Economic Research Group.
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- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Alfarano Simone & Milakovic Mishael, 2012.
"Identification of Interaction Effects in Survey Expectations: A Cautionary Note,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
- Alfarano, Simone & Milaković, Mishael, 2010. "Identification of interaction effects in survey expectations: A cautionary note," BERG Working Paper Series 75, Bamberg University, Bamberg Economic Research Group.
- Alfarano, Simone & Milakovic, Mishael, 2010. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," MPRA Paper 26002, University Library of Munich, Germany.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Agliari, Anna & Hommes, Cars H. & Pecora, Nicolò, 2016.
"Path dependent coordination of expectations in asset pricing experiments: A behavioral explanation,"
Journal of Economic Behavior & Organization, Elsevier, vol. 121(C), pages 15-28.
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- Franke, Reiner & Westerhoff, Frank, 2011.
"Structural stochastic volatility in asset pricing dynamics: Estimation and model contest,"
BERG Working Paper Series
78, Bamberg University, Bamberg Economic Research Group.
- Franke, Reiner & Westerhoff, Frank, 2012. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1193-1211.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Seregi, János & Lelovics, Zsuzsanna & Balogh, László, 2012. "The social welfare function of forests in the light of the theory of public goods," BERG Working Paper Series 87, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Gervai, Pál & Trautmann, László & Wieszt, Attila, 2010. "The mission and culture of the corporation," BERG Working Paper Series 74, Bamberg University, Bamberg Economic Research Group.
- Bexheti, Abdulmenaf, 2010. "Anti-crisis measures in the republic of Macedonia and their effects: Are they sufficient?," BERG Working Paper Series 70, Bamberg University, Bamberg Economic Research Group.
- Franke, Reiner & Westerhoff, Frank, 2011. "Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation," BERG Working Paper Series 83, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- Imami, Drini & Lami, Endrit & Kächelein, Holger, 2011. "Political cycles in income from privatization: The case of Albania," BERG Working Paper Series 77, Bamberg University, Bamberg Economic Research Group.
- Lux, Thomas, 2024. "Lack of identification of parameters in a simple behavioral macroeconomic model," Economics Working Papers 2024-02, Christian-Albrechts-University of Kiel, Department of Economics.
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Westerhoff, Frank, 2009.
"A simple model of a speculative housing market,"
BERG Working Paper Series
62, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Frank Westerhoff, 2012. "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020. "Heterogeneous expectations, housing bubbles and tax policy," BERG Working Paper Series 156, Bamberg University, Bamberg Economic Research Group.
- Ling Zhang & Wenlong Bian & Hao Zhang, 2019. "Dissecting the myth of the house price in Chinese metropolises: allowing for behavioral heterogeneity among investors," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 721-740, December.
- Bao, Te & Hommes, Cars, 2019. "When speculators meet suppliers: Positive versus negative feedback in experimental housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
- Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022.
"House price cycles, housing systems, and growth models,"
IPE Working Papers
194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Karsten Kohler & Benjamin Tippet & Engelbert Stockhammer, 2023. "House price cycles, housing systems, and growth models," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 20(3), pages 461-490, December.
- Makarewicz, Tomasz, 2021. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 626-673.
- Meyer, Dietmar & Shera, Adela, 2015. "Remittances' impact on the labor supply and on the deficit of current account," BERG Working Paper Series 97, Bamberg University, Bamberg Economic Research Group.
- Karsten Kohler & Engelbert Stockhammer, 2022.
"Growing differently? Financial cycles, austerity, and competitiveness in growth models since the Global Financial Crisis,"
Review of International Political Economy, Taylor & Francis Journals, vol. 29(4), pages 1314-1341, July.
- Karsten Kohler & Engelbert Stockhammer, 2020. "Growing differently? Financial cycles, austerity, and competitiveness in growth models since the Global Financial Crisis," Working Papers PKWP2008, Post Keynesian Economics Society (PKES).
- Jengei Hong & Doojin Ryu, 2023. "Expectations and the housing market: A model of house price dynamics," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1242-1266, October.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Evolutionary competition and profit taxes: market stability versus tax burden,"
BERG Working Paper Series
104, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018. "Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
- Diego Salzman, 2013. "Behavioural Real Estate," ERES eres2013_334, European Real Estate Society (ERES).
- Alfarano Simone & Milakovic Mishael, 2012.
"Identification of Interaction Effects in Survey Expectations: A Cautionary Note,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
- Alfarano, Simone & Milaković, Mishael, 2010. "Identification of interaction effects in survey expectations: A cautionary note," BERG Working Paper Series 75, Bamberg University, Bamberg Economic Research Group.
- Alfarano, Simone & Milakovic, Mishael, 2010. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," MPRA Paper 26002, University Library of Munich, Germany.
- Chen, Zhenxi, 2016. "Regimes dependent speculative trading: Evidence from the United States housing market," FinMaP-Working Papers 66, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2014.
"Identifying Booms and Busts in House Prices under Heterogeneous Expectations,"
CeNDEF Working Papers
14-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," European Economy - Economic Papers 2008 - 2015 540, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," Tinbergen Institute Discussion Papers 14-157/II, Tinbergen Institute.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Fatoke-Dato, Mafaïzath A., 2015.
"Impact of income shock on children's schooling and labor in a West African country,"
BERG Working Paper Series
102, Bamberg University, Bamberg Economic Research Group.
- Fatoke Dato, Mafaizath A., 2015. "Impact of income shock on children’s schooling and labor in a West African country," MPRA Paper 64317, University Library of Munich, Germany.
- Franke, Reiner & Westerhoff, Frank, 2011.
"Structural stochastic volatility in asset pricing dynamics: Estimation and model contest,"
BERG Working Paper Series
78, Bamberg University, Bamberg Economic Research Group.
- Franke, Reiner & Westerhoff, Frank, 2012. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1193-1211.
- Kouwenberg, Roy & Zwinkels, Remco, 2014. "Forecasting the US housing market," International Journal of Forecasting, Elsevier, vol. 30(3), pages 415-425.
- Pan, Huiran & Wang, Chun, 2013. "House prices, bank instability, and economic growth: Evidence from the threshold model," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1720-1732.
- He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
- Dieci, Roberto & Westerhoff, Frank, 2016. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 21-44.
- Bexheti, Abdylmenaf & Mustafi, Besime, 2015. "Impact of public funding of education on economic growth in Macedonia," BERG Working Paper Series 98, Bamberg University, Bamberg Economic Research Group.
- Leung, Charles Ka Yui & Tang, Edward Chi Ho, 2014.
"Availability, Affordability and Volatility: the case of Hong Kong Housing Market,"
MPRA Paper
58770, University Library of Munich, Germany.
- Charles Ka Yui Leung, 2015. "Availability, Affordability and Volatility: The Case of the Hong Kong Housing Market," International Real Estate Review, Global Social Science Institute, vol. 18(3), pages 383-428.
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- Wang, J., 2015. "Can a stochastic cusp catastrophe model explain housing market crashes?," CeNDEF Working Papers 15-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Diego A. Salzman & Remco C.J. Zwinkels, 2013. "Behavioural Real Estate," Tinbergen Institute Discussion Papers 13-088/IV/DSF58, Tinbergen Institute.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
- Zhang, Hao & Huang, Yuyuan & Yao, Haixiang, 2016. "Heterogeneous expectation, beliefs evolution and house price volatility," Economic Modelling, Elsevier, vol. 53(C), pages 409-418.
- Seregi, János & Lelovics, Zsuzsanna & Balogh, László, 2012. "The social welfare function of forests in the light of the theory of public goods," BERG Working Paper Series 87, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015.
"Cross-border banking and business cycles in asymmetric currency unions,"
BERG Working Paper Series
105, Bamberg University, Bamberg Economic Research Group.
- Dräger, Lena & Proaño, Christian R., 2015. "Cross-border banking and business cycles in asymmetric currency unions," Discussion Papers 21/2015, Deutsche Bundesbank.
- Lena Dräger & Christian R. Proaño, 2015. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," Macroeconomics and Finance Series 201501, University of Hamburg, Department of Socioeconomics.
- Lena Dräger & Christian Proaño, 2016. "Cross-Border Banking and Business Cycles in Asymmetric Currency Unions," IMK Working Paper 161-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Gervai, Pál & Trautmann, László & Wieszt, Attila, 2010. "The mission and culture of the corporation," BERG Working Paper Series 74, Bamberg University, Bamberg Economic Research Group.
- Engelbert Stockhammer & Christina Wolf, 2019.
"Building blocks for the macroeconomics and political economy of housing,"
Japanese Economy, Taylor & Francis Journals, vol. 45(1-2), pages 43-67, April.
- Engelbert Stockhammer & Christina Wolf, 2019. "Building blocks for the macroeconomics and political economy of housing," Working Papers PKWP1908, Post Keynesian Economics Society (PKES).
- Ming-Chu Chiang & I-Chun Tsai, 2020. "Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets," Sustainability, MDPI, vol. 12(21), pages 1-20, October.
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"International trade and retailing,"
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63, Bamberg University, Bamberg Economic Research Group.
- Carsten Eckel, 2009. "International Trade and Retailing," CESifo Working Paper Series 2597, CESifo.
- Tolga A. Ozbakan & Serdar Kale & Irem Dikmen, 2019. "Exploring House Price Dynamics: An Agent-Based Simulation with Behavioral Heterogeneity," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 783-807, August.
- Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
- Bexheti, Abdulmenaf, 2010. "Anti-crisis measures in the republic of Macedonia and their effects: Are they sufficient?," BERG Working Paper Series 70, Bamberg University, Bamberg Economic Research Group.
- Franke, Reiner & Westerhoff, Frank, 2011. "Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation," BERG Working Paper Series 83, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph, 2015. "Nonlinear Expectation Formation in the U.S. Stock Market," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113210, Verein für Socialpolitik / German Economic Association.
- Ahmad K. Naimzada & Serena Sordi, 2018. "On controlling chaos in a discrete†time Walrasian tâtonnement process," Metroeconomica, Wiley Blackwell, vol. 69(1), pages 178-194, February.
- Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers 1947 [rev.], Kiel Institute for the World Economy (IfW Kiel).
- Makarewicz, Tomasz, 2019. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," BERG Working Paper Series 141, Bamberg University, Bamberg Economic Research Group.
- Imami, Drini & Lami, Endrit & Kächelein, Holger, 2011. "Political cycles in income from privatization: The case of Albania," BERG Working Paper Series 77, Bamberg University, Bamberg Economic Research Group.
- Filippo Gusella, 2019. "Modelling Minskyan financial cycles with fundamentalist and extrapolative price strategies: An empirical analysis via the Kalman filter approach," Working Papers - Economics wp2019_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Karsten Kohler & Robert Calvert Jump, 2022. "Estimating Nonlinear Business Cycle Mechanisms with Linear Vector Autoregressions: A Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1077-1100, October.
- Engelbert Stockhammer & Andre Novas Otero, 2022.
"A tale of housing cycles and fiscal policy, not competitiveness. Growth drivers in southern Europe,"
Working Papers
PKWP2224, Post Keynesian Economics Society (PKES).
- Engelbert Stockhammer & Andre Novas Otero, 2023. "A tale of housing cycles and fiscal policy, not competitiveness. Growth drivers in Southern Europe," New Political Economy, Taylor & Francis Journals, vol. 28(3), pages 483-505, May.
- Canepa, Alessandra & Alqaralleh, Huthaifa, 2019.
"Housing Market Cycles in Large Urban Areas,"
Department of Economics and Statistics Cognetti de Martiis. Working Papers
201903, University of Turin.
- Alqaralleh, Huthaifa & Canepa, Alessandra, 2020. "Housing market cycles in large urban areas," Economic Modelling, Elsevier, vol. 92(C), pages 257-267.
- James Wood & Engelbert Stockhammer, 2020. "House prices, private debt and the macroeconomics of comparative political economy," Working Papers PKWP2005, Post Keynesian Economics Society (PKES).
- Fatoke-Dato, Mafaïzath A., 2015. "Impact of an educational demand-and-supply policy on girls' education in West Africa: Heterogeneity in income, school environment and ethnicity," BERG Working Paper Series 101, Bamberg University, Bamberg Economic Research Group.
- Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
- Engelbert Stockhammer & Stefano Sgambati & Anastasia Nesvetailova, 2021. "Financialisation: continuity and change— introduction to the special issue," Review of Evolutionary Political Economy, Springer, vol. 2(3), pages 389-401, December.
- Zheng, Min & Wang, Hefei & Wang, Chengzhang & Wang, Shouyang, 2017. "Speculative behavior in a housing market: Boom and bust," Economic Modelling, Elsevier, vol. 61(C), pages 50-64.
- Roy Kouwenberg & Remco C J Zwinkels, 2015. "Endogenous Price Bubbles in a Multi-Agent System of the Housing Market," PLOS ONE, Public Library of Science, vol. 10(6), pages 1-10, June.
- Diks, Cees & Wang, Juanxi, 2016. "Can a stochastic cusp catastrophe model explain housing market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 68-88.
- Chaudhry, Muhammad Imran & Katchova, Ani & Miranda, Mario Javier, 2016. "Examining pricing mechanics in the poultry value chain - empirical evidence from Pakistan," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235953, Agricultural and Applied Economics Association.
- Zhenxi Chen & Cuntong Wang, 2020. "Speculative trading in Chinese housing market: a panel regression method," Applied Economics, Taylor & Francis Journals, vol. 52(38), pages 4186-4195, July.
- Proaño, Christian R. & Lojak, Benjamin, 2015. "Debt stabilization and macroeconomic volatility in monetary unions under heterogeneous sovereign risk perceptions," BERG Working Paper Series 106, Bamberg University, Bamberg Economic Research Group.
- Michael S. Harr'e, 2018. "Multi-agent Economics and the Emergence of Critical Markets," Papers 1809.01332, arXiv.org.
- Dieci, Roberto & Westerhoff, Frank, 2015. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach," BERG Working Paper Series 99, Bamberg University, Bamberg Economic Research Group.
- Georg Zaklan & Frank Westerhoff & Dietrich Stauffer, 2008.
"Analysing tax evasion dynamics via the Ising model,"
Papers
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- Georg Zaklan & Frank Westerhoff & Dietrich Stauffer, 2009. "Analysing tax evasion dynamics via the Ising model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(1), pages 1-14, June.
Cited by:
- M. L. Bertotti & G. Modanese, 2016. "Mathematical models describing the effects of different tax evasion behaviors," Papers 1701.02662, arXiv.org.
- Muñoz, Francisco & Nuño, Juan Carlos & Primicerio, Mario, 2015. "Effects of inspections in small world social networks with different contagion rules," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 76-86.
- Sascha Hokamp & Michael Pickhardt, 2010.
"Income Tax Evasion in a Society of Heterogeneous Agents - Evidence from an Agent-based Model,"
International Economic Journal, Taylor & Francis Journals, vol. 24(4), pages 541-553.
- Hokamp, Sascha & Pickhardt, Michael, 2010. "Income tax evasion in a society of heterogeneous agents: Evidence from an agent-based model," CAWM Discussion Papers 35, University of Münster, Münster Center for Economic Policy (MEP).
- Sascha Hokamp & Michael Pickhardt, "undated". "Income Tax Evasion in a Society of Heterogeneous Agents – Evidence from an Agent-based Model," Working Papers 201035, Institute of Spatial and Housing Economics, Munster Universitary.
- Chen, Shu-Heng & Chang, Chia-Ling & Wen, Ming-Chang, 2013.
"Social networks and macroeconomic stability,"
Economics Discussion Papers
2013-4, Kiel Institute for the World Economy (IfW Kiel).
- Chen, Shu-Heng & Chang, Chia-Ling & Wen, Ming-Chang, 2014. "Social networks and macroeconomic stability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-40.
- Pellizzari, Paolo & Rizzi, Dino, 2014.
"Citizenship and power in an agent-based model of tax compliance with public expenditure,"
Journal of Economic Psychology, Elsevier, vol. 40(C), pages 35-48.
- Paolo Pellizzari & Dino Rizzi, 2012. "Citizenship and Power in an Agent-based Model of Tax Compliance with Public Expenditure," Working Papers 2012_24, Department of Economics, University of Venice "Ca' Foscari", revised 2012.
- Zaklan, Georg & Lima, F.W.S. & Westerhoff, Frank, 2008. "Controlling tax evasion fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5857-5861.
- Sascha Hokamp & Götz Seibold, 2014.
"Tax Compliance and Public Goods Provision. An Agent-based Econophysics Approach,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 217-236, December.
- S. Hokamp & G. Seibold, 2014. "Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach," Papers 1409.8528, arXiv.org.
- Levaggi, Rosella & Menoncin, Francesco, 2012. "Tax audits, fines and optimal tax evasion in a dynamic context," Economics Letters, Elsevier, vol. 117(1), pages 318-321.
- Giraldo-Barreto, Julian & Restrepo, J., 2021. "Tax evasion study in a society realized as a diluted Ising model with competing interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
- Rao, R. Kavita & Tandon, Suranjali, 2016. "Revisiting the tax compliance problem using prospect theory," Working Papers 16/169, National Institute of Public Finance and Policy.
- Nuno Trindade Magessi & Luis Antunes, 2015. "Risk Perception and Risk Attitude on a Tax Evasion Context," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 127-149, September.
- Chen, Shu-Heng & Chang, Chia-Ling & Tseng, Yi-Heng, 2014. "Social networks, social interaction and macroeconomic dynamics: How much could Ernst Ising help DSGE?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 312-335.
- Pickhardt, Michael & Prinz, Aloys, 2014. "Behavioral dynamics of tax evasion – A survey," Journal of Economic Psychology, Elsevier, vol. 40(C), pages 1-19.
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"Butter Mountains, Milk Lakes and Optimal Price Limiters,"
Research Paper Series
158, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- Fausto Cavalli & Ahmad Naimzada & Nicol`o Pecora & Marina Pireddu, 2018. "Agents' beliefs and economic regimes polarization in interacting markets," Papers 1805.00387, arXiv.org.
- Stefan Reitz & Frank Westerhoff, 2004.
"Target Zone Interventions and Coordination of Expectations,"
Computing in Economics and Finance 2004
11, Society for Computational Economics.
- S. Reitz & F. Westerhoff & C. Wieland, 2006. "Target Zone Interventions and Coordination of Expectations," Journal of Optimization Theory and Applications, Springer, vol. 128(2), pages 453-467, February.
Cited by:
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
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"Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach,"
CESifo Working Paper Series
2080, CESifo.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
- Xue-Zhong He & Frank H. Westerhoff, 2004.
"Commodity Markets, Price Limiters and Speculative Price Dynamics,"
Research Paper Series
136, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
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- Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007.
"Butter mountains, milk lakes and optimal price limiters,"
Applied Economics Letters, Taylor & Francis Journals, vol. 14(15), pages 1131-1136.
- Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
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- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
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- Roberto Dieci & Frank Westerhoff, 2012.
"A simple model of a speculative housing market,"
Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
- Dieci, Roberto & Westerhoff, Frank, 2009. "A simple model of a speculative housing market," BERG Working Paper Series 62, Bamberg University, Bamberg Economic Research Group.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Fausto Cavalli & Ahmad Naimzada & Nicol`o Pecora & Marina Pireddu, 2018. "Agents' beliefs and economic regimes polarization in interacting markets," Papers 1805.00387, arXiv.org.
- Baogui Xin & Tong Chen & Junhai Ma, 2010. "Neimark-Sacker Bifurcation in a Discrete-Time Financial System," Discrete Dynamics in Nature and Society, Hindawi, vol. 2010, pages 1-12, September.
- Weihong HUANG & Zhenxi CHEN, 2012. "Regional Financial Markets With Common Currency," Economic Growth Centre Working Paper Series 1210, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
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"Dynamic effects of increasing heterogeneity in financial markets,"
Chaos, Solitons & Fractals, Elsevier, vol. 41(4), pages 1764-1772.
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"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
- Joëts, Marc, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Energy: Resources and Markets 148918, Fondazione Eni Enrico Mattei (FEEM).
- Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
- Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
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"Estimating heterogeneous agents behavior in a two-market financial system,"
FinMaP-Working Papers
48, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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"Heterogeneous expectations, exchange rate dynamics and predictability,"
Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
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- Weihong HUANG & Zhenxi CHEN, 2012. "Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach," Economic Growth Centre Working Paper Series 1211, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
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"Trading heterogeneity under information uncertainty,"
Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
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"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
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- Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
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Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
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- Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
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- Dirk G Baur & Kristoffer Glover, 2012. "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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- Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007.
"Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach,"
CESifo Working Paper Series
2080, CESifo.
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- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
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- Ahmad Naimzada & Giorgio Ricchiuti, 2006. "Heterogeneous Fundamentalists and Imitative Processes," Working Papers 104, University of Milano-Bicocca, Department of Economics, revised Nov 2006.
- Ding, Haoyuan & Kim, Hyung-Gun & Park, Sung Y., 2014. "Do net positions in the futures market cause spot prices of crude oil?," Economic Modelling, Elsevier, vol. 41(C), pages 177-190.
- Ahmad K. Naimzada & Serena Sordi, 2018. "On controlling chaos in a discrete†time Walrasian tâtonnement process," Metroeconomica, Wiley Blackwell, vol. 69(1), pages 178-194, February.
- Mengling Li & Huanhuan Zheng, 2017. "Heterogeneous trading and complex price dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 437-442, July.
- Zhentao Shi & Huanhuan Zheng, 2018.
"Structural estimation of behavioral heterogeneity,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 690-707, August.
- Zhentao Shi & Huanhuan Zheng, 2018. "Structural Estimation of Behavioral Heterogeneity," Papers 1802.03735, arXiv.org, revised Jun 2018.
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- Luis Silva, 2023. "Attractors in Pattern Iterations of Flat Top Tent Maps," Mathematics, MDPI, vol. 11(12), pages 1-13, June.
- Salim Hitouche & Hai Vu Pham & Fatima Brabez, 2019. "Facteurs déterminant l'implication des opérateurs dans une politique de stockage incitative : Cas du dispositif de régulation Syrpalac en Algérie," Post-Print hal-02942370, HAL.
- Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010.
"On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers 1005, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
- Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
- Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
- Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009. "The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
- Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
- Athanasiou, George & Karafyllis, Iasson & Kotsios, Stelios, 2008. "Price stabilization using buffer stocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1212-1235, April.
- Arango, Santiago & Larsen, Erik, 2011. "Cycles in deregulated electricity markets: Empirical evidence from two decades," Energy Policy, Elsevier, vol. 39(5), pages 2457-2466, May.
- Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
- Zheng, Min & Wang, Hefei & Wang, Chengzhang & Wang, Shouyang, 2017. "Speculative behavior in a housing market: Boom and bust," Economic Modelling, Elsevier, vol. 61(C), pages 50-64.
- Baur, Dirk G. & Glover, Kristoffer J., 2015. "Speculative trading in the gold market," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 63-71.
- Zhenxi Chen & Cuntong Wang, 2020. "Speculative trading in Chinese housing market: a panel regression method," Applied Economics, Taylor & Francis Journals, vol. 52(38), pages 4186-4195, July.
- Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Dieci, Roberto & Westerhoff, Frank, 2015. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach," BERG Working Paper Series 99, Bamberg University, Bamberg Economic Research Group.
- Ahmad K. Naimzada & Serena Sordi, 2016. "On controlling chaos in a discrete tâtonnement process," Department of Economics University of Siena 729, Department of Economics, University of Siena.
- Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
- Zhaohan Sheng & Jianguo Du & Qiang Mei & Tingwen Huang, 2013. "New Analyses of Duopoly Game with Output Lower Limiters," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-10, February.
- Ehsan Ahmed & J. Rosser & Jamshed Uppal, 2014. "Are there nonlinear speculative bubbles in commodities prices?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 36(3), pages 415-438.
- Cristian Wieland & Frank Westerhoff, 2004.
"A behavioral cobweb model with heterogeneous speculators,"
Computing in Economics and Finance 2004
171, Society for Computational Economics.
Cited by:
- Ashutosh Vashishtha, 2020. "Cobweb price dynamics under the presence of agricultural futures market: theoretical analysis," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 67(2), pages 131-162, June.
- Frank Westerhoff, 2004.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Computing in Economics and Finance 2004
14, Society for Computational Economics.
- Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
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"The impact of the French Tobin tax,"
Econometica Working Papers
wp47, Econometica.
- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- Becchetti, L. & Ferrari, M. & Trenta, U., 2014. "The impact of the French Tobin tax," Journal of Financial Stability, Elsevier, vol. 15(C), pages 127-148.
- Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Frijns, Bart & Zwinkels, Remco C.J., 2020. "Absence of speculation in the European sovereign debt markets," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 245-265.
- Aït-Youcef, Camille & Joëts, Marc, 2024. "The role of index traders in the financialization of commodity markets: A behavioral finance approach," Energy Economics, Elsevier, vol. 136(C).
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2020. "Non-Value-Added Tax to Improve Market Fairness," Working Papers hal-02881064, HAL.
- Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Filip Stanek & Jiri Kukacka, 2018.
"The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
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"Time-Varying Beta: A Boundedly Rational Equilibrium Approach,"
Research Paper Series
275, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
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- Westerhoff, Frank, 2009. "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series 61, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
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- Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 445-462, August.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010.
"On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers 1005, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
- Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009. "The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
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- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Ginestra Bianconi & Tobias Galla & Matteo Marsili & Paolo Pin, 2009.
"Effects of Tobin Taxes in Minority Game markets,"
Post-Print
hal-00688185, HAL.
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"Convergence and divergence in dynamic voting with inequality,"
CRETA Online Discussion Paper Series
61, Centre for Research in Economic Theory and its Applications CRETA.
- Di Guilmi, Corrado & Galanis, Giorgos, 2021. "Convergence and divergence in dynamic voting with inequality," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 137-158.
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"Optimal monetary policy in a new Keynesian model with animal spirits and financial markets,"
Economics Working Papers
2014-12, Christian-Albrechts-University of Kiel, Department of Economics.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2016. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 148-165.
- Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
- Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
- Carfí, David & Musolino, Francesco, 2014. "Speculative and hedging interaction model in oil and U.S. dollar markets with financial transaction taxes," Economic Modelling, Elsevier, vol. 37(C), pages 306-319.
- Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "Do heterogeneous beliefs diversify market risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 241-258.
- Galanis, Giorgos & Kollias, Iraklis & Leventidis, Ioanis & Lustenhouwer, Joep, 2022. "Generalizing Heuristic Switching Models," Working Papers 0715, University of Heidelberg, Department of Economics.
- Alessandro Carraro & Giorgio Ricchiuti, 2014.
"Heterogeneous Fundamentalists and Market Maker Inventories,"
Working Papers - Economics
wp2014_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Carraro, Alessandro & Ricchiuti, Giorgio, 2015. "Heterogeneous fundamentalists and market maker inventories," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 73-82.
- Chen, Haiwei, 2016. "A Tobin tax only on sellers," Finance Research Letters, Elsevier, vol. 19(C), pages 83-89.
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- Roberto Dieci & Xue-Zhong He, 2021. "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 727-754, December.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
- FitzGerald, John & Central Bank Staff, 2012. "The EU Financial Transactions Tax Proposal: A Preliminary Evaluation," Research Series, Economic and Social Research Institute (ESRI), number BKMNEXT217.
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- Demary, Markus, 2009.
"Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model,"
Economics Discussion Papers
2009-47, Kiel Institute for the World Economy (IfW Kiel).
- Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
- Serena Brianzoni & Giovanni Campisi & Graziella Pacelli, 2023. "Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time," Mathematics, MDPI, vol. 11(10), pages 1-12, May.
- Frank Westerhoff, 2004.
"Market depth and price dynamics: A note,"
Papers
cond-mat/0403723, arXiv.org.
- Frank H. Westerhoff, 2004. "Market Depth And Price Dynamics: A Note," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 15(07), pages 1005-1012.
Cited by:
- Filip Stanek & Jiri Kukacka, 2018.
"The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
- Jiri Kukacka & Filip Stanek, 2015. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Working Papers IES 2015/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
- Alessandro Sansone & Giuseppe Garofalo, 2005.
"Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays,"
Finance
0510026, University Library of Munich, Germany.
- Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
- Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics 88, Department of Economics and Law, Sapienza University of Roma.
- Giuseppe Garofalo & Alessandro Sansone, 2006. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Papers physics/0607276, arXiv.org.
- Lenhard, Gregor, 2024. "Learning from the Past: The Role of Personal Experiences in Artificial Stock Markets," Working papers 2024/01, Faculty of Business and Economics - University of Basel.
- Xiaoping Li & Chunyang Zhou, 2024. "Tobin Tax, Carry Trade, and the Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1627-1647, April.
- Frank Westerhoff, 2003.
"Multi-Asset Market Dynamics,"
Computing in Economics and Finance 2003
88, Society for Computational Economics.
- Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(5), pages 596-616, November.
Cited by:
- Frijns, Bart & Zwinkels, Remco C.J., 2020. "Absence of speculation in the European sovereign debt markets," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 245-265.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
- Bernd Pape, 2007. "Asset allocation and multivariate position based trading," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 163-193, December.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005.
"Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework,"
Research Paper Series
166, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
- Vivien Lespagnol & Juliette Rouchier, 2014.
"Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals,"
Working Papers
halshs-00997573, HAL.
- Vivien Lespagnol & Juliette Rouchier, 2014. "Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals," AMSE Working Papers 1419, Aix-Marseille School of Economics, France, revised May 2014.
- Cars Hommes & Florian Wagener, 2008.
"Complex Evolutionary Systems in Behavioral Finance,"
Tinbergen Institute Discussion Papers
08-054/1, Tinbergen Institute.
- Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Marc de Kamps & Daniel Ladley & Aistis Simaitis, 2012.
"Heterogeneous Beliefs in Over-The-Counter Markets,"
Discussion Papers in Economics
13/03, Division of Economics, School of Business, University of Leicester, revised Sep 2013.
- De Kamps, Marc & Ladley, Daniel & Simaitis, Aistis, 2014. "Heterogeneous beliefs in over-the-counter markets," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 50-68.
- Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
- Frank Westerhoff & Cristian Wieland, "undated".
"Spill-over dynamics of central bank interventions,"
Modeling, Computing, and Mastering Complexity 2003
21, Society for Computational Economics.
- Frank H. Westerhoff & Cristian Wieland, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, Verein für Socialpolitik, vol. 5(4), pages 435-450, November.
- Westerhoff Frank H. & Wieland Cristian, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, De Gruyter, vol. 5(4), pages 435-450, December.
- He, Xue-Zhong & Li, Kai, 2012.
"Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
- Xue-Zhong He & Kai Li, 2011. "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series 291, Quantitative Finance Research Centre, University of Technology, Sydney.
- Giulio Cifarelli & Paolo Paesani, 2017.
"On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016,"
Working Papers - Economics
wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Cifarelli, Giulio & Paesani, Paolo, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper 84009, University Library of Munich, Germany.
- Orlando Gomes, 2008.
"Decentralized Allocation of Human Capital and Nonlinear Growth,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 45-75, February.
- Gomes, Orlando, 2007. "Decentralized allocation of human capital and nonlinear growth," MPRA Paper 2882, University Library of Munich, Germany.
- Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006.
"The Econometric Analysis of Microscopic Simulation Models,"
Discussion Paper
2006-99, Tilburg University, Center for Economic Research.
- Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics.
- Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Econometric Analysis of Microscopic Simulation Models," Other publications TiSEM 1beb5afd-1771-4e7b-a3ea-1, Tilburg University, School of Economics and Management.
- Youwei Li & Bas Donkers & Bertrand Melenberg, 2010. "Econometric analysis of microscopic simulation models," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1187-1201.
- Cifarelli, Giulio & Paesani, Paolo, 2018.
"Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing,"
MPRA Paper
90470, University Library of Munich, Germany.
- Giulio Cifarelli and Paolo Paesani, 2021. "Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Vivien Lespagnol & Juliette Rouchier, 2015. "What Is the Impact of Heterogeneous Knowledge About Fundamentals on Market Liquidity and Efficiency: An ABM Approach," Lecture Notes in Economics and Mathematical Systems, in: Frédéric Amblard & Francisco J. Miguel & Adrien Blanchet & Benoit Gaudou (ed.), Advances in Artificial Economics, edition 127, pages 105-117, Springer.
- Giulio Cifarelli & Giovanna Paladino, 2017.
"Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?,"
Working Papers - Economics
wp2017_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
- He, Xue-Zhong & Li, Youwei, 2015.
"Testing of a market fraction model and power-law behaviour in the DAX 30,"
Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
- Xue-Zhong He & Youwei Li, 2015. "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series 354, Quantitative Finance Research Centre, University of Technology, Sydney.
- Cafferata, Alessia & Tramontana, Fabio, 2019. "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 252-259.
- Feldman, Todd, 2011. "Leverage regulation: An agent-based simulation," Journal of Economics and Business, Elsevier, vol. 63(5), pages 431-440, September.
- Wieland, Cristian & Westerhoff, Frank H., 2005.
"Exchange rate dynamics, central bank interventions and chaos control methods,"
Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 117-132, September.
- Frank Westerhoff & Cristian Wieland, "undated". "Exchange rate dynamics, central bank interventions and chaos control methods," Modeling, Computing, and Mastering Complexity 2003 22, Society for Computational Economics.
- Dieci, Roberto & Westerhoff, Frank, 2011. "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series 79, Bamberg University, Bamberg Economic Research Group.
- He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
- Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 17-52.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 991-1020, April.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013.
"An evolutionary CAPM under heterogeneous beliefs,"
Annals of Finance, Springer, vol. 9(2), pages 185-215, May.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012. "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series 315, Quantitative Finance Research Centre, University of Technology, Sydney.
- Caginalp, G. & Ilieva, V., 2008. "The dynamics of trader motivations in asset bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 66(3-4), pages 641-656, June.
- Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012.
"Excess covariance and dynamic instability in a multi-asset model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1142-1161.
- Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011. "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers 11-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Schmitt, Noemi & Westerhoff, Frank, 2014.
"Speculative behavior and the dynamics of interacting stock markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
- Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
- Xue-Zhong He & Kai Li & Chuncheng Wan, 2015.
"Volatility Clustering: A Nonlinear Theoretical Approach,"
Research Paper Series
365, Quantitative Finance Research Centre, University of Technology, Sydney.
- He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016. "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 274-297.
- Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
- Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
- Vivien Lespagnol & Juliette Rouchier, 2015.
"Fair Price And Trading Price: An Abm Approach With Order-Placement Strategy And Misunderstanding Of Fundamental Value,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(05n06), pages 1-14, August.
- Vivien Lespagnol & Juliette Rouchier, 2015. "Fair Price and Trading Price: An Abm Approach with Order-Placement Strategy and Misunderstanding of Fundamental Value," Post-Print hal-01456118, HAL.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Fu, Jie & Zhang, Xiaoqi & Zhou, Wenyuan & Lyu, Yang, 2024. "A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 267-283.
- Mikhail Anufriev & Davide Radi & Fabio Tramontana, 2018. "Some reflections on past and future of nonlinear dynamics in economics and finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 91-118, November.
- Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
- Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
- Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010.
"Time-Varying Beta: A Boundedly Rational Equilibrium Approach,"
Research Paper Series
275, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
- Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
- Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 445-462, August.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010.
"On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers 1005, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
- Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009. "The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
- Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
- Heba M. Ezzat, 2019. "Disposition effect and multi-asset market dynamics," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 11(2), pages 144-164, June.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "Do heterogeneous beliefs diversify market risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 241-258.
- Zhenxi Chen & Cuntong Wang, 2020. "Speculative trading in Chinese housing market: a panel regression method," Applied Economics, Taylor & Francis Journals, vol. 52(38), pages 4186-4195, July.
- Roberto Dieci & Xue-Zhong He, 2021. "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 727-754, December.
- Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Post-Print hal-02084910, HAL.
- Dick, Christian D. & Menkhoff, Lukas, 2012.
"Exchange rate expectations of chartists and fundamentalists,"
ZEW Discussion Papers
12-026, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Lukas Menkhoff, 2013. "Exchange Rate Expectations of Chartists and Fundamentalists," CESifo Working Paper Series 4181, CESifo.
- Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
- Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
- G. Ehrenstein & F. Westerhoff & D. Stauffer, 2003.
"Tobin tax and market depth,"
Papers
cond-mat/0311581, arXiv.org.
- G. Ehrenstein & F. Westerhoff & D. Stauffer, 2005. "Tobin tax and market depth," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 213-218.
Cited by:
- Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
- Stefan Kerbl, 2011.
"Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?,"
Working Papers
174, Oesterreichische Nationalbank (Austrian Central Bank).
- Stefan Kerbl, 2010. "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Papers 1011.6284, arXiv.org, revised Nov 2010.
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Filip Stanek & Jiri Kukacka, 2018.
"The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
- Jiri Kukacka & Filip Stanek, 2015. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Working Papers IES 2015/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
- Sirnes Espen, 2022. "Estimating the Effect of Transaction Costs Using the Tick Size as a Proxy," Review of Economics, De Gruyter, vol. 73(1), pages 57-77, April.
- Paolo Pellizzari & Frank Westerhoff, 2009.
"Some effects of transaction taxes under different microstructures,"
Working Papers
190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Post-Print hal-00727590, HAL.
- Pellizzari, Paolo & Westerhoff, Frank, 2009. "Some effects of transaction taxes under different microstructures," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
- Paolo Pelizzari & Frank Westerhoff, 2007. "Some Effects of Transaction Taxes Under Different Microstructures," Research Paper Series 212, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013.
"The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility,"
Post-Print
halshs-00940251, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," EconomiX Working Papers 2014-27, University of Paris Nanterre, EconomiX.
- Gunther CAPELLE-BLANCARD & HAVRYLCHYK, Olena, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Discussion papers 14007, Research Institute of Economy, Trade and Industry (RIETI).
- Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Working Papers hal-04141335, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Documents de travail du Centre d'Economie de la Sorbonne 13085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00940251, HAL.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," Post-Print hal-01441775, HAL.
- Capelle-Blancard, Gunther & Havrylchyk, Olena, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 166-178.
- Gunther Capelle-Blancard & Olena Havrylchyk, 2016. "The impact of the French securities transaction tax on market liquidity and volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01441775, HAL.
- Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
- Huber, Jürgen & Kleinlercher, Daniel & Kirchler, Michael, 2012. "The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1248-1266.
- Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
- E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001.
"Microscopic Models of Financial Markets,"
Papers
cond-mat/0110354, arXiv.org.
- Samanidou, Egle & Zschischang, Elmar & Stauffer, Dietrich & Lux, Thomas, 2006. "Microscopic models of financial markets," Economics Working Papers 2006-15, Christian-Albrechts-University of Kiel, Department of Economics.
- Fontini, Fulvio & Sartori, Elena & Tolotti, Marco, 2016. "Are transaction taxes a cause of financial instability?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 57-70.
- Frank H. Westerhoff, 2004.
"Market Depth And Price Dynamics: A Note,"
International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 15(07), pages 1005-1012.
- Frank Westerhoff, 2004. "Market depth and price dynamics: A note," Papers cond-mat/0403723, arXiv.org.
- Olivier Damette, 2016.
"Mixture distribution hypothesis and the impact of a Tobin tax on exchange rate volatility : a reassessment,"
Post-Print
hal-01601393, HAL.
- Damette, Olivier, 2016. "Mixture Distribution Hypothesis And The Impact Of A Tobin Tax On Exchange Rate Volatility: A Reassessment," Macroeconomic Dynamics, Cambridge University Press, vol. 20(6), pages 1600-1622, September.
- Olivier Damette, 2013. "Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment," Working Papers of BETA 2013-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Veryzhenko, Iryna & Harb, Etienne & Louhichi, Waël & Oriol, Nathalie, 2017.
"The impact of the French financial transaction tax on HFT activities and market quality,"
Economic Modelling, Elsevier, vol. 67(C), pages 307-315.
- Iryna Veryzhenko & Etienne Harb & Waël Louhichi & Nathalie Oriol, 2017. "The Impact of the French Financial Transaction Tax on HFT Activities and Market Quality," GREDEG Working Papers 2017-05, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
- Westerhoff, Frank H., 2004. "Greed, fear and stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 635-642.
- Hanke, Michael & Huber, Jürgen & Kirchler, Michael & Sutter, Matthias, 2010.
"The economic consequences of a Tobin tax--An experimental analysis,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 58-71, May.
- Michael Hanke & Jürgen Huber & Michael Kirchler & Matthias Sutter, 2007. "The economic consequences of a Tobin tax - An experimental analysis," Working Papers 2007-18, Faculty of Economics and Statistics, Universität Innsbruck.
- Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "Assessing the impact of an EU financial transactions tax on asset volatility: An event study," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 12-24.
- Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
- Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2017. "Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax," Economic Journal, Royal Economic Society, vol. 127(605), pages 610-631, October.
- Huber, Jürgen & Kirchler, Michael & Kleinlercher, Daniel & Sutter, Matthias, 2014.
"Market vs. Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax,"
IZA Discussion Papers
7978, Institute of Labor Economics (IZA).
- Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2014. "Market vs. residence principle : experimental evidence on the effects of a financial transaction tax," Economics Working Papers ECO2014/03, European University Institute.
- Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
- Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
- Ginestra Bianconi & Tobias Galla & Matteo Marsili, 2006. "Effects of Tobin Taxes in Minority Game markets," Papers cond-mat/0603134, arXiv.org.
- Xiaoping Li & Chunyang Zhou, 2024. "Tobin Tax, Carry Trade, and the Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1627-1647, April.
- Gaffeo, Edoardo & Molinari, Massimo, 2017.
"Taxing financial transactions in fundamentally heterogeneous markets,"
Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
- Edoardo Gaffeo & Massimo Molinari, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," Working Papers in Public Economics 175, Department of Economics and Law, Sapienza University of Roma.
- Edoardo Gaffeo & Massimo Molinari, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/07, Department of Economics and Management.
- E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
- Olivier Damette, 2009. "Exchange rate volatility and noise traders: Currency Transaction Tax as an eviction device," Economics Bulletin, AccessEcon, vol. 29(3), pages 2449-2464.
- Kirchler, Michael & Huber, Jürgen & Kleinlercher, Daniel, 2011. "Market microstructure matters when imposing a Tobin tax—Evidence from the lab," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 586-602.
- Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
- Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 445-462, August.
- Andrea Morone & Pasquale Marcello Falcone & Simone Nuzzo & Piergiuseppe Morone, 2020. "Does a ‘financial transaction tax’ drive out information mirages? An experimental analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 793-820, October.
- Ginestra Bianconi & Tobias Galla & Matteo Marsili & Paolo Pin, 2009.
"Effects of Tobin Taxes in Minority Game markets,"
Post-Print
hal-00688185, HAL.
- Bianconi, Ginestra & Galla, Tobias & Marsili, Matteo & Pin, Paolo, 2009. "Effects of Tobin taxes in minority game markets," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 231-240, May.
- Tanaka, Tetsuji & Guo, Jin & Wang, Xiufang, 2024. "Understanding the spillover effects of ethanol production and energy prices on African food markets: A time-varying approach," Energy Economics, Elsevier, vol. 134(C).
- Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
- Reitz, Stefan & Westerhoff, Frank, 2003.
"Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists,"
CFS Working Paper Series
2003/10, Center for Financial Studies (CFS).
- Westerhoff Frank H. & Reitz Stefan, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-15, December.
Cited by:
- Klein, A. & Urbig, D. & Kirn, S., 2008.
"Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach,"
MPRA Paper
14433, University Library of Munich, Germany.
- Klein, Achim & Urbig, Diemo, 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 116175, University Library of Munich, Germany, revised 30 Apr 2011.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
- Aït-Youcef, Camille & Joëts, Marc, 2024. "The role of index traders in the financialization of commodity markets: A behavioral finance approach," Energy Economics, Elsevier, vol. 136(C).
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Buncic, Daniel, 2009.
"Understanding forecast failure in ESTAR models of real exchange rates,"
MPRA Paper
13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
- Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005.
"Behavioral Heterogeneity in Stock Prices,"
Tinbergen Institute Discussion Papers
05-052/1, Tinbergen Institute.
- Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
- Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Xue-Zhong He & Youwei Li, 2017.
"The adaptiveness in stock markets: testing the stylized facts in the DAX 30,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
- Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
- Makarewicz, Tomasz, 2021. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 626-673.
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Hommes, Cars & in ’t Veld, Daan, 2017.
"Booms, busts and behavioural heterogeneity in stock prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
- Hommes, C.H. & in 't Veld, D., 2014. "Booms, busts and behavioural heterogeneity in stock prices," CeNDEF Working Papers 14-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes & Daan in't Veld, 2015. "Booms, Busts and Behavioural Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 15-088/II, Tinbergen Institute.
- S. Reitz & F. Westerhoff & C. Wieland, 2006.
"Target Zone Interventions and Coordination of Expectations,"
Journal of Optimization Theory and Applications, Springer, vol. 128(2), pages 453-467, February.
- Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics.
- Cars Hommes & Florian Wagener, 2008.
"Complex Evolutionary Systems in Behavioral Finance,"
Tinbergen Institute Discussion Papers
08-054/1, Tinbergen Institute.
- Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
- Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
- Serena Sordi & Alessandro Vercelli, 2010.
"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Reitz, Stefan & Taylor, Mark P., 2006.
"The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis,"
Discussion Paper Series 1: Economic Studies
2006,08, Deutsche Bundesbank.
- Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Dammak, Wael & Boutouria, Nahla & Ben Hamad, Salah & de Peretti, Christian, 2023. "Investor behavior in the currency option market during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
- Ryuichi Yamamoto & Hideaki Hirata, "undated".
"Strategy Switching in the Japanese Stock Market,"
Working Paper
164466, Harvard University OpenScholar.
- Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
- Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
- Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
- Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2009.
"A Soft Edge Target Zone Model: Theory And Application To Hong Kong,"
SIRE Discussion Papers
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- Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2009. "A soft edge target zone model: Theory and application to Hong Kong," BOFIT Discussion Papers 21/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
- Yu-Fu Chen & Michael Funke & Nicole Glanemann, 2009. "A Soft Edge Target Zone Model: Theory And Application To Hong Kong," Dundee Discussion Papers in Economics 228, Economic Studies, University of Dundee.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2009.
"Heterogeneous Expectations and Exchange Rate Dynamics,"
Research Paper Series
243, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2013. "Heterogeneous expectations and exchange rate dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 392-419, May.
- Dewachter, Hans & Houssa, Romain & Lyrio, Marco & Kaltwasser, Pablo Rovira, 2011.
"Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics,"
Insper Working Papers
wpe_260, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- H. Dewachter & R. Houssa & M. Lyrio & P.R. Kaltwasser, 2011. "Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 454-472, December.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 38-42.
- Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Frank Westerhoff & Martin Hohnisch, 2007. "A note on interactions-driven business cycles," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 85-91, June.
- Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
- Wolff, Christian & Verschoor, Willem F C & Jongen, Ron & Zwinkels, Remco C.J., 2008.
"Dispersion of Beliefs in the Foreign Exchange Market,"
CEPR Discussion Papers
6738, C.E.P.R. Discussion Papers.
- Christian Wolff & Ron Jongen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2009. "Dispersion of Beliefs in the Foreign Exchange Market," LSF Research Working Paper Series 09-01, Luxembourg School of Finance, University of Luxembourg.
- Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009.
"Behavioral Heterogeneity in the Option Market,"
LSF Research Working Paper Series
09-07, Luxembourg School of Finance, University of Luxembourg.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
- Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010. "Behavioral heterogeneity in the option market," Post-Print hal-00736742, HAL.
- Caginalp, G. & Ilieva, V., 2008. "The dynamics of trader motivations in asset bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 66(3-4), pages 641-656, June.
- Murat Midiliç, 2020. "Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 87-117, January.
- Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
- Rania Guirat, 2011. "Investor behavior heterogeneity in the French stock market," Economics Bulletin, AccessEcon, vol. 31(2), pages 1827-1836.
- Kukacka, Jiri & Barunik, Jozef, 2016.
"Estimation of financial agent-based models with simulated maximum likelihood,"
FinMaP-Working Papers
63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
- Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009.
"Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach,"
Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
- Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo.
- Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014.
"Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500,"
Research Paper Series
344, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014. "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018.
"Long memory in financial markets: A heterogeneous agent model perspective,"
International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
- Soumya Datta, 2019. "Exchange rate dynamics under limits of arbitrage and heterogeneous expectations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 521-550, September.
- Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010.
"On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates,"
Discussion Paper Series 1: Economic Studies
2010,08, Deutsche Bundesbank.
- Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011. "On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, September.
- Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007.
"Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach,"
CESifo Working Paper Series
2080, CESifo.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
- Amilon, Henrik, 2008.
"Estimation of an adaptive stock market model with heterogeneous agents,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
- Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
- Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
- Alvarez-Ramirez, Jose & Fernandez-Anaya, Guillermo & Ibarra-Valdez, Carlos, 2004. "Some issues on the stability of trading based on technical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 609-624.
- Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
- Westerhoff, Frank, 2009. "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series 61, Bamberg University, Bamberg Economic Research Group.
- Abderrahmen Aloulou & Siwar Ellouze, 2017. "Does fundamental value run asset price formation process? Evidence from option price information content," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 255-268, July.
- Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
- Assenza, T. & Brock, W.A. & Hommes, C.H., 2012.
"Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises,"
CeNDEF Working Papers
12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017. "Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
- Anufriev Mikhail & Bottazzi Giulio, 2012. "Asset Pricing with Heterogeneous Investment Horizons," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-38, October.
- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
- de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
- Dibeh, Ghassan, 2006. "Target zone dynamics where the fundamental follows a SDE with periodic forcing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 437-445.
- de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
- Pope, Robin & Selten, Reinhard & Kube, Sebastian & von Hagen, Jürgen, 2009. "Prominent Numbers, Indices and Ratios in Exchange Rate Determination and Financial Crashes: in Economists’ Models, in the Field and in the Laboratory," Bonn Econ Discussion Papers 18/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Demary, Markus, 2009.
"Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model,"
Economics Discussion Papers
2009-47, Kiel Institute for the World Economy (IfW Kiel).
- Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
- Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
- Reitz, Stefan & Westerhoff, Frank, 2003.
"Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists,"
CFS Working Paper Series
2003/10, Center for Financial Studies (CFS).
- Westerhoff Frank H. & Reitz Stefan, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-15, December.
Cited by:
- Klein, A. & Urbig, D. & Kirn, S., 2008.
"Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach,"
MPRA Paper
14433, University Library of Munich, Germany.
- Klein, Achim & Urbig, Diemo, 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 116175, University Library of Munich, Germany, revised 30 Apr 2011.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
- Aït-Youcef, Camille & Joëts, Marc, 2024. "The role of index traders in the financialization of commodity markets: A behavioral finance approach," Energy Economics, Elsevier, vol. 136(C).
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Buncic, Daniel, 2009.
"Understanding forecast failure in ESTAR models of real exchange rates,"
MPRA Paper
13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
- Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005.
"Behavioral Heterogeneity in Stock Prices,"
Tinbergen Institute Discussion Papers
05-052/1, Tinbergen Institute.
- Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
- Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Xue-Zhong He & Youwei Li, 2017.
"The adaptiveness in stock markets: testing the stylized facts in the DAX 30,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
- Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
- Makarewicz, Tomasz, 2021. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 626-673.
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Hommes, Cars & in ’t Veld, Daan, 2017.
"Booms, busts and behavioural heterogeneity in stock prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
- Hommes, C.H. & in 't Veld, D., 2014. "Booms, busts and behavioural heterogeneity in stock prices," CeNDEF Working Papers 14-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes & Daan in't Veld, 2015. "Booms, Busts and Behavioural Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 15-088/II, Tinbergen Institute.
- S. Reitz & F. Westerhoff & C. Wieland, 2006.
"Target Zone Interventions and Coordination of Expectations,"
Journal of Optimization Theory and Applications, Springer, vol. 128(2), pages 453-467, February.
- Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics.
- Cars Hommes & Florian Wagener, 2008.
"Complex Evolutionary Systems in Behavioral Finance,"
Tinbergen Institute Discussion Papers
08-054/1, Tinbergen Institute.
- Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
- Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
- Serena Sordi & Alessandro Vercelli, 2010.
"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Reitz, Stefan & Taylor, Mark P., 2006.
"The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis,"
Discussion Paper Series 1: Economic Studies
2006,08, Deutsche Bundesbank.
- Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Dammak, Wael & Boutouria, Nahla & Ben Hamad, Salah & de Peretti, Christian, 2023. "Investor behavior in the currency option market during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
- Ryuichi Yamamoto & Hideaki Hirata, "undated".
"Strategy Switching in the Japanese Stock Market,"
Working Paper
164466, Harvard University OpenScholar.
- Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
- Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
- Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
- Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2009.
"A Soft Edge Target Zone Model: Theory And Application To Hong Kong,"
SIRE Discussion Papers
2009-61, Scottish Institute for Research in Economics (SIRE).
- Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2009. "A soft edge target zone model: Theory and application to Hong Kong," BOFIT Discussion Papers 21/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
- Yu-Fu Chen & Michael Funke & Nicole Glanemann, 2009. "A Soft Edge Target Zone Model: Theory And Application To Hong Kong," Dundee Discussion Papers in Economics 228, Economic Studies, University of Dundee.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2009.
"Heterogeneous Expectations and Exchange Rate Dynamics,"
Research Paper Series
243, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2013. "Heterogeneous expectations and exchange rate dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 392-419, May.
- Dewachter, Hans & Houssa, Romain & Lyrio, Marco & Kaltwasser, Pablo Rovira, 2011.
"Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics,"
Insper Working Papers
wpe_260, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- H. Dewachter & R. Houssa & M. Lyrio & P.R. Kaltwasser, 2011. "Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 454-472, December.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 38-42.
- Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Frank Westerhoff & Martin Hohnisch, 2007. "A note on interactions-driven business cycles," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 85-91, June.
- Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
- Wolff, Christian & Verschoor, Willem F C & Jongen, Ron & Zwinkels, Remco C.J., 2008.
"Dispersion of Beliefs in the Foreign Exchange Market,"
CEPR Discussion Papers
6738, C.E.P.R. Discussion Papers.
- Christian Wolff & Ron Jongen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2009. "Dispersion of Beliefs in the Foreign Exchange Market," LSF Research Working Paper Series 09-01, Luxembourg School of Finance, University of Luxembourg.
- Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009.
"Behavioral Heterogeneity in the Option Market,"
LSF Research Working Paper Series
09-07, Luxembourg School of Finance, University of Luxembourg.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
- Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010. "Behavioral heterogeneity in the option market," Post-Print hal-00736742, HAL.
- Caginalp, G. & Ilieva, V., 2008. "The dynamics of trader motivations in asset bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 66(3-4), pages 641-656, June.
- Murat Midiliç, 2020. "Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 87-117, January.
- Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
- Rania Guirat, 2011. "Investor behavior heterogeneity in the French stock market," Economics Bulletin, AccessEcon, vol. 31(2), pages 1827-1836.
- Kukacka, Jiri & Barunik, Jozef, 2016.
"Estimation of financial agent-based models with simulated maximum likelihood,"
FinMaP-Working Papers
63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
- Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009.
"Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach,"
Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
- Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo.
- Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014.
"Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500,"
Research Paper Series
344, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014. "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018.
"Long memory in financial markets: A heterogeneous agent model perspective,"
International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
- Soumya Datta, 2019. "Exchange rate dynamics under limits of arbitrage and heterogeneous expectations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 521-550, September.
- Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010.
"On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates,"
Discussion Paper Series 1: Economic Studies
2010,08, Deutsche Bundesbank.
- Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011. "On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, September.
- Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007.
"Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach,"
CESifo Working Paper Series
2080, CESifo.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
- Amilon, Henrik, 2008.
"Estimation of an adaptive stock market model with heterogeneous agents,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
- Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
- Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
- Alvarez-Ramirez, Jose & Fernandez-Anaya, Guillermo & Ibarra-Valdez, Carlos, 2004. "Some issues on the stability of trading based on technical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 609-624.
- Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
- Westerhoff, Frank, 2009. "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series 61, Bamberg University, Bamberg Economic Research Group.
- Abderrahmen Aloulou & Siwar Ellouze, 2017. "Does fundamental value run asset price formation process? Evidence from option price information content," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 255-268, July.
- Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
- Assenza, T. & Brock, W.A. & Hommes, C.H., 2012.
"Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises,"
CeNDEF Working Papers
12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017. "Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
- Anufriev Mikhail & Bottazzi Giulio, 2012. "Asset Pricing with Heterogeneous Investment Horizons," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-38, October.
- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
- de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
- Dibeh, Ghassan, 2006. "Target zone dynamics where the fundamental follows a SDE with periodic forcing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 437-445.
- de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
- Pope, Robin & Selten, Reinhard & Kube, Sebastian & von Hagen, Jürgen, 2009. "Prominent Numbers, Indices and Ratios in Exchange Rate Determination and Financial Crashes: in Economists’ Models, in the Field and in the Laboratory," Bonn Econ Discussion Papers 18/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Demary, Markus, 2009.
"Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model,"
Economics Discussion Papers
2009-47, Kiel Institute for the World Economy (IfW Kiel).
- Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
- Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
- Frank Westerhoff, 2002.
"Heterogeneous Traders and the Tobin Tax,"
Computing in Economics and Finance 2002
51, Society for Computational Economics.
- Frank Westerhoff, 2003. "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, February.
Cited by:
- Leonardo Becchetti & Massimo Ferrari, 2013.
"The impact of the French Tobin tax,"
Econometica Working Papers
wp47, Econometica.
- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- Becchetti, L. & Ferrari, M. & Trenta, U., 2014. "The impact of the French Tobin tax," Journal of Financial Stability, Elsevier, vol. 15(C), pages 127-148.
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Cited by:
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- Anufriev, M. & Bao, T. & Tuinstra, J., 2015. "Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment," CeNDEF Working Papers 15-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
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"Bet against the trend and cash in profits: An agent‑based model of endogenous fluctuations of exchange rates,"
Post-Print
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DISCE - Working Papers del Dipartimento di Economia e Finanza
def090, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
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Cited by:
- Reitz, Stefan & Rülke, Jan & Stadtmann, Georg, 2012. "Nonlinear Expectations in Speculative Markets," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62045, Verein für Socialpolitik / German Economic Association.
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"Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model,"
EcoMod2004
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- Federico Bassi & Dany Lang & Raquel Almeida Ramos, 2023.
"Bet against the trend and cash in profits: An agent‑based model of endogenous fluctuations of exchange rates,"
Post-Print
hal-04428234, HAL.
- Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012.
"Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters,"
Discussion Papers
311, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
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- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Nonlinear expectations in speculative markets - Evidence from the ECB survey of professional forecasters," Discussion Papers on Economics 1/2012, University of Southern Denmark, Department of Economics.
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2011. "Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters," Kiel Working Papers 1706, Kiel Institute for the World Economy (IfW Kiel).
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"Multi-Asset Market Dynamics,"
Computing in Economics and Finance 2003
88, Society for Computational Economics.
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- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(1), pages 70-84, May.
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"Heterogeneous Expectations and Exchange Rate Dynamics,"
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243, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
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"Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach,"
Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
- Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020.
"Bet against the trend and cash in profits,"
DISCE - Working Papers del Dipartimento di Economia e Finanza
def090, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," FMM Working Paper 60-2020, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," CEPN Working Papers halshs-02956879, HAL.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," Working Papers halshs-02956879, HAL.
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- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Sashikanta Khuntia & J. K. Pattanayak, 2020. "Evolving Efficiency of Exchange Rate Movement: An Evidence from Indian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 21(4), pages 956-969, August.
- Scarlat, E.I. & Stan, Cristina & Cristescu, C.P., 2007. "Chaotic features in Romanian transition economy as reflected onto the currency exchange rate," Chaos, Solitons & Fractals, Elsevier, vol. 33(2), pages 396-404.
- De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1176-1192.
- Kaltwasser, Pablo Rovira, 2010. "Uncertainty about fundamentals and herding behavior in the FOREX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1215-1222.
- Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 315-332.
- Ahmad Naimzada & Marina Pireddu, 2014. "Real and financial interacting oscillators: a behavioral macro-model with animal spirits," Working Papers 268, University of Milano-Bicocca, Department of Economics, revised Feb 2014.
- Frank Westerhoff & Cristian Wieland, "undated".
"Spill-over dynamics of central bank interventions,"
Modeling, Computing, and Mastering Complexity 2003
21, Society for Computational Economics.
- Frank H. Westerhoff & Cristian Wieland, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, Verein für Socialpolitik, vol. 5(4), pages 435-450, November.
- Westerhoff Frank H. & Wieland Cristian, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, De Gruyter, vol. 5(4), pages 435-450, December.
Cited by:
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Demary, Markus, 2009.
"Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model,"
Economics Discussion Papers
2009-47, Kiel Institute for the World Economy (IfW Kiel).
- Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
- Frank Westerhoff & Cristian Wieland, "undated".
"Exchange rate dynamics, central bank interventions and chaos control methods,"
Modeling, Computing, and Mastering Complexity 2003
22, Society for Computational Economics.
- Wieland, Cristian & Westerhoff, Frank H., 2005. "Exchange rate dynamics, central bank interventions and chaos control methods," Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 117-132, September.
Cited by:
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Jackson, Antony & Ladley, Daniel, 2016. "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 270-280.
- S. Reitz & F. Westerhoff & C. Wieland, 2006.
"Target Zone Interventions and Coordination of Expectations,"
Journal of Optimization Theory and Applications, Springer, vol. 128(2), pages 453-467, February.
- Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics.
- Tambakis, D.N., 2008.
"Feedback Trading and Intermittent Market Turbulence,"
Cambridge Working Papers in Economics
0847, Faculty of Economics, University of Cambridge.
- Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Fausto Cavalli & Ahmad Naimzada & Marina Pireddu, 2015. "Effects of Size, Composition, and Evolutionary Pressure in Heterogeneous Cournot Oligopolies with Best Response Decisional Mechanisms," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-17, May.
- Athanasiou, George & Kotsios, Stelios, 2008. "An algorithmic approach to exchange rate stabilization," Economic Modelling, Elsevier, vol. 25(6), pages 1246-1260, November.
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2010.
"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2009. "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics Discussion Papers 2009-51, Kiel Institute for the World Economy (IfW Kiel).
- Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009.
"Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach,"
Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
- Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo.
- Erika Corona & Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 99-119, September.
- Mauricio Lopera Castano & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londono Henao, 2013. "Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, May.
- Akhmet, Marat & Akhmetova, Zhanar & Fen, Mehmet Onur, 2014. "Chaos in economic models with exogenous shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 106(C), pages 95-108.
- Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
- Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007.
"Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach,"
CESifo Working Paper Series
2080, CESifo.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
- Kopel, Michael & Westerhoff, Frank & Wieland, Cristian, 2008. "Regulating complex dynamics in firms and economic systems," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 911-919.
- Antony Jackson & Daniel Ladley, 2013. "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics 13/02, Division of Economics, School of Business, University of Leicester.
- Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
- He, Xue-Zhong & Westerhoff, Frank H., 2005.
"Commodity markets, price limiters and speculative price dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September.
- Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney.
- Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
- Anna Agliari & Ahmad Naimzada & Nicolò Pecora, 2017. "Nonlinear monetary policy rules in a pure exchange overlapping generations model," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1181-1203, November.
- Demary, Markus, 2009.
"Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model,"
Economics Discussion Papers
2009-47, Kiel Institute for the World Economy (IfW Kiel).
- Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
Articles
- Sarah Mignot & Frank Westerhoff, 2023.
"Revisiting Paul de Grauwe’s Chaotic Exchange Rate Model: New Analytical Insights and Agent-Based Explorations,"
Open Economies Review, Springer, vol. 34(1), pages 155-169, February.
Cited by:
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023.
"Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits,"
Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
Cited by:
- Laura Gardini & Davide Radi & Noemi Schmitt & Iryna Sushko & Frank Westerhoff, 2024. "On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model," Papers 2410.21198, arXiv.org.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022.
"Housing Markets, Expectation Formation And Interest Rates,"
Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
See citations under working paper version above.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019. "Housing markets, expectation formation and interest rates," BERG Working Paper Series 142, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022.
"On the destabilizing nature of capital gains taxes,"
International Review of Financial Analysis, Elsevier, vol. 83(C).
Cited by:
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Laura Gardini & Davide Radi & Noemi Schmitt & Iryna Sushko & Frank Westerhoff, 2024. "On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model," Papers 2410.21198, arXiv.org.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank, 2022.
"Production delays, technology choice and cyclical cobweb dynamics,"
Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
See citations under working paper version above.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank H., 2021. "Production delays, technology choice and cyclical cobweb dynamics," BERG Working Paper Series 174, Bamberg University, Bamberg Economic Research Group.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022.
"Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
Cited by:
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Domenico Delli Gatti & Tommaso Ferraresi & Filippo Gusella & Lilit Popoyan & Giorgio Ricchiuti & Andrea Roventini, 2024. "The interplay between real and exchange rate market: an agent-based model approach," Working Papers - Economics wp2024_10.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Zolfaghari, Mehdi, 2023. "How does US tariff policy affect the relationship among crude oil, the US dollar and metal markets?," Resources Policy, Elsevier, vol. 85(PB).
- Noemi Schmitt & Frank Westerhoff, 2022.
"Speculative housing markets and rent control: insights from nonlinear economic dynamics,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
Cited by:
- Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022.
"House price cycles, housing systems, and growth models,"
IPE Working Papers
194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Karsten Kohler & Benjamin Tippet & Engelbert Stockhammer, 2023. "House price cycles, housing systems, and growth models," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 20(3), pages 461-490, December.
- Carro, Adrian, 2023. "Taming the housing roller coaster: The impact of macroprudential policy on the house price cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022.
"House price cycles, housing systems, and growth models,"
IPE Working Papers
194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022.
"Heterogeneous speculators and stock market dynamics: a simple agent-based computational model,"
The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
See citations under working paper version above.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020. "Heterogeneous speculators and stock market dynamics: A simple agent-based computational model," BERG Working Paper Series 160, Bamberg University, Bamberg Economic Research Group.
- Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022.
"Causes of fragile stock market stability,"
Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
Cited by:
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Laura Gardini & Davide Radi & Noemi Schmitt & Iryna Sushko & Frank Westerhoff, 2024. "On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model," Papers 2410.21198, arXiv.org.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
See citations under working paper version above.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2021.
"Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank H., 2019. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," BERG Working Paper Series 151, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2021.
"Pricking asset market bubbles,"
Finance Research Letters, Elsevier, vol. 38(C).
Cited by:
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
- Chokri Zehri & Zagros Madjd‐Sadjadi, 2024. "Capital flow management and monetary policy to control credit growth," Economics and Politics, Wiley Blackwell, vol. 36(2), pages 637-676, July.
- Bazzana, Davide & Colturato, Michele & Savona, Roberto, 2023. "Learning about unprecedented events: Agent-based modelling and the stock market impact of COVID-19," Finance Research Letters, Elsevier, vol. 56(C).
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
See citations under working paper version above.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020. "Heterogeneous expectations, housing bubbles and tax policy," BERG Working Paper Series 156, Bamberg University, Bamberg Economic Research Group.
- Marji Lines & Noemi Schmitt & Frank Westerhoff, 2020.
"Stability conditions for three-dimensional maps and their associated bifurcation types,"
Applied Economics Letters, Taylor & Francis Journals, vol. 27(13), pages 1056-1060, June.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020. "Heterogeneous expectations, housing bubbles and tax policy," BERG Working Paper Series 156, Bamberg University, Bamberg Economic Research Group.
- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Sarah Mignot & Frank Westerhoff, 2023. "Revisiting Paul de Grauwe’s Chaotic Exchange Rate Model: New Analytical Insights and Agent-Based Explorations," Open Economies Review, Springer, vol. 34(1), pages 155-169, February.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank H., 2021.
"Production delays, technology choice and cyclical cobweb dynamics,"
BERG Working Paper Series
174, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank, 2022. "Production delays, technology choice and cyclical cobweb dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021.
"Speculative asset price dynamics and wealth taxes,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2021. "Speculative asset price dynamics and wealth taxes," BERG Working Paper Series 169, Bamberg University, Bamberg Economic Research Group.
- Luís, Rafael & Mendonça, Sandra, 2024. "Local stability conditions for a n-dimensional periodic mapping," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 218(C), pages 15-30.
- Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
- Dieci, Roberto & Mignot, Sarah & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Production delays, supply distortions and endogenous price dynamics," BERG Working Paper Series 182, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Martin Carolin & Westerhoff Frank, 2019.
"Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
See citations under working paper version above.
- Martin, Carolin & Westerhoff, Frank, 2018. "Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model," BERG Working Paper Series 135, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2019.
"Short-run momentum, long-run mean reversion and excess volatility: An elementary housing model,"
Economics Letters, Elsevier, vol. 176(C), pages 43-46.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020. "Heterogeneous expectations, housing bubbles and tax policy," BERG Working Paper Series 156, Bamberg University, Bamberg Economic Research Group.
- Laura Gardini & Noemi Schmitt & Iryna Sushko & Fabio Tramontana & Frank Westerhoff, 2019. "Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps," Working Papers 1908, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2019.
- Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2014.
"Identifying Booms and Busts in House Prices under Heterogeneous Expectations,"
CeNDEF Working Papers
14-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," European Economy - Economic Papers 2008 - 2015 540, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," Tinbergen Institute Discussion Papers 14-157/II, Tinbergen Institute.
- Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017.
"Comparing behavioural heterogeneity across asset classes,"
Working Paper
2017/12, Norges Bank.
- ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021. "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2024.
"Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior,"
Annals of Operations Research, Springer, vol. 337(3), pages 809-834, June.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2023. "Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior," BERG Working Paper Series 187, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Franke, Reiner & Westerhoff, Frank, 2019.
"Different compositions of aggregate sentiment and their impact on macroeconomic stability,"
Economic Modelling, Elsevier, vol. 76(C), pages 117-127.
Cited by:
- Anna Misztal & Magdalena Kowalska & Anita Fajczak-Kowalska & Otakar Strunecky, 2021. "Energy Efficiency and Decarbonization in the Context of Macroeconomic Stabilization," Energies, MDPI, vol. 14(16), pages 1-18, August.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Marwil J. Dávila-Fernández & Serena Sordi, 2018.
"Attitudes Toward Climate Policies in a Macrodynamic Model of the Economy,"
Department of Economics University of Siena
784, Department of Economics, University of Siena.
- Dávila-Fernández, Marwil J. & Sordi, Serena, 2020. "Attitudes towards climate policies in a macrodynamic model of the economy," Ecological Economics, Elsevier, vol. 169(C).
- Noemi Schmitt & Jan Tuinstra & Frank Westerhoff, 2018.
"Stability and welfare effects of profit taxes within an evolutionary market interaction model,"
Review of International Economics, Wiley Blackwell, vol. 26(3), pages 691-708, August.
See citations under working paper version above.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Stability and welfare effects of profit taxes within an evolutionary market interaction model," BERG Working Paper Series 122, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2018.
"Evolutionary Competition And Profit Taxes: Market Stability Versus Tax Burden,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 2007-2031, December.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank, 2015. "Evolutionary competition and profit taxes: market stability versus tax burden," BERG Working Paper Series 104, Bamberg University, Bamberg Economic Research Group.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
See citations under working paper version above.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Interactions between stock, bond and housing markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
See citations under working paper version above.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018. "Interactions between stock, bond and housing markets," BERG Working Paper Series 133, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
See citations under working paper version above.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Roberto Veneziani & Luca Zamparelli & Reiner Franke & Frank Westerhoff, 2017.
"Taking Stock: A Rigorous Modelling Of Animal Spirits In Macroeconomics,"
Journal of Economic Surveys, Wiley Blackwell, vol. 31(5), pages 1152-1182, December.
Cited by:
- Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.
- Alessia Cafferata & Marwil J. Dávila-Fernández & Serena Sordi, 2021. "(Ir)rational explorers in the financial jungle," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1157-1188, September.
- Marwil J. Davila-Fernandez & Serena Sordi, 2022.
"The Green-MKS system: A baseline environmental macro-dynamic model,"
Department of Economics University of Siena
890, Department of Economics, University of Siena.
- Sordi, Serena & Dávila-Fernández, Marwil J., 2023. "The green-MKS system: A baseline environmental macro-dynamic model," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1056-1085.
- Franke, Reiner & Westerhoff, Frank, 2019. "Different compositions of aggregate sentiment and their impact on macroeconomic stability," Economic Modelling, Elsevier, vol. 76(C), pages 117-127.
- Papadopoulos, Georgios, 2019.
"Income inequality, consumption, credit and credit risk in a data-driven agent-based model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 39-73.
- Papadopoulos, Georgios, 2018. "Income inequality, consumption, credit and credit risk in a data-driven agent-based model," MPRA Paper 89764, University Library of Munich, Germany.
- Cahen-Fourot, Louison & Campiglio, Emanuele & Daumas, Louis & Miess, Michael Gregor & Yardley, Andrew, 2023.
"Stranding ahoy? Heterogeneous transition beliefs and capital investment choices,"
Journal of Economic Behavior & Organization, Elsevier, vol. 216(C), pages 535-567.
- Louison Cahen-Fourot & Emanuele Campiglio & Louis Daumas & Michael Gregor Miess & Andrew Yardley, 2023. "Stranding ahoy? Heterogeneous transition beliefs and capital investment choices," Post-Print hal-04505800, HAL.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Filippo Gusella, 2022.
"Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 25(02n03), pages 1-22, March.
- Filippo Gusella, 2022. "Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis," Working Papers - Economics wp2022_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Dávila-Fernández, Marwil J. & Sordi, Serena, 2020. "Structural change in a growing open economy: Attitudes and institutions in Latin America and Asia," Economic Modelling, Elsevier, vol. 91(C), pages 358-385.
- Karsten Kohler, 2022.
"Capital Flows and the Eurozone's North-South Divide,"
Working Papers
PKWP2211, Post Keynesian Economics Society (PKES).
- Karsten Kohler, 2024. "Capital Flows and the Eurozone's North-South Divide," Politics & Society, , vol. 52(2), pages 304-330, June.
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2024.
"Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior,"
Annals of Operations Research, Springer, vol. 337(3), pages 809-834, June.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2023. "Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior," BERG Working Paper Series 187, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
- Di Guilmi, Corrado & Galanis, Giorgos & Proaño, Christian R., 2023.
"A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations,"
Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 50-67.
- Corrado Di Guilmi & Giorgos Galanis & Christian Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," Working Papers 106, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- Corrado Di Guilmi & Giorgos Galanis & Christian R. Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," CAMA Working Papers 2022-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Domenico Delli Gatti & Filippo Gusella & Giorgio Ricchiuti, 2024.
"Endogenous vs Exogenous Instability: An Out-of-Sample Comparison,"
CESifo Working Paper Series
11082, CESifo.
- Domenico Delli Gatti & Filippo Gusella & Giorgio Ricchiuti, 2024. "Endogenous vs Exogenous Instability: An Out-of-Sample Comparison," Working Papers - Economics wp2024_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov, 2018. "An Endogenous Mechanism of Business Cycles," Papers 1803.05002, arXiv.org, revised Sep 2019.
- Ogawa, Shogo, 2024. "Perceived and expected quantity constraints in inventory dynamics," MPRA Paper 120629, University Library of Munich, Germany.
- F. Cavalli & A. Naimzada & N. Pecora & M. Pireddu, 2021. "Market sentiment and heterogeneous agents in an evolutive financial model," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1189-1219, September.
- Marwil J. Dávila-Fernández & Serena Sordi & Alessia Cafferata, 2024. "How do you feel about going green? Modelling environmental sentiments in a growing open economy," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 19(4), pages 649-687, October.
- Cavalli, Fausto & Naimzada, Ahmad & Pecora, Nicolò & Pireddu, Marina, 2018. "Market sentiment and heterogeneous fundamentalists in an evolutive financial market mode," MPRA Paper 90289, University Library of Munich, Germany.
- Cafferata, Alessia & Dávila-Fernández, Marwil J. & Sordi, Serena, 2021.
"Seeing what can(not) be seen: Confirmation bias, employment dynamics and climate change,"
Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 567-586.
- Alessia Cafferata & Marwil J. Dávila-Fernández & Serena Sordi, 2020. "Seeing what can(not) be seen: confirmation bias, employment dynamics and climate change," Department of Economics University of Siena 839, Department of Economics, University of Siena.
- Hiroki Murakami, 2019. "A note on the “unique” business cycle in the Keynesian theory," Metroeconomica, Wiley Blackwell, vol. 70(3), pages 384-404, July.
- Mark Setterfield & George Wheaton, 2024. "Animal spirits and the Goodwin pattern," Working Papers 2407, New School for Social Research, Department of Economics.
- Schulz, Jan & Mayerhoffer, Daniel M., 2021.
"A network approach to consumption,"
BERG Working Paper Series
173, Bamberg University, Bamberg Economic Research Group.
- Jan Schulz & Daniel M. Mayerhoffer, 2022. "A Network Approach to Consumption," Papers 2203.14259, arXiv.org, revised Apr 2022.
- Murakami, Hiroki, 2020. "Monetary policy in the unique growth cycle of post Keynesian systems," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 39-49.
- Kukacka, Jiri & Sacht, Stephen, 2021.
"Estimation of Heuristic Switching in Behavioral Macroeconomic Models,"
Economics Working Papers
2021-01, Christian-Albrechts-University of Kiel, Department of Economics.
- Kukacka, Jiri & Sacht, Stephen, 2023. "Estimation of heuristic switching in behavioral macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Filippo Gusella & Giorgio Ricchiuti, 2021. "State Space Model to Detect Cycles in Heterogeneous Agents Models," Working Papers - Economics wp2021_10.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Franke, Reiner, 2022. "An empirical test of a fundamental Harrod-Kaldor business cycle model," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 1-14.
- Reiner Franke, 2020. "Heterogeneity in the Harrodian sentiment dynamics, entailing also some scope for stability," Journal of Evolutionary Economics, Springer, vol. 30(2), pages 347-374, April.
- Filippo Gusella, 2019. "Modelling Minskyan financial cycles with fundamentalist and extrapolative price strategies: An empirical analysis via the Kalman filter approach," Working Papers - Economics wp2019_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Filippo Gusella & Giorgio Ricchiuti, 2022. "A State-Space Approach for Time-Series Prediction of an Heterogeneous Agent Model," Working Papers - Economics wp2022_20.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Severin Reissl, 2022. "Fiscal multipliers, expectations and learning in a macroeconomic agent‐based model," Economic Inquiry, Western Economic Association International, vol. 60(4), pages 1704-1729, October.
- De Grauwe, Paul & Ji, Yuemei, 2020.
"Structural reforms, animal spirits and monetary policies,"
LSE Research Online Documents on Economics
103502, London School of Economics and Political Science, LSE Library.
- De Grauwe, Paul & Ji, Yuemei, 2020. "Structural reforms, animal spirits, and monetary policies," European Economic Review, Elsevier, vol. 124(C).
- Trimborn, Torsten & Frank, Martin & Martin, Stephan, 2018. "Mean field limit of a behavioral financial market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 613-631.
- Murakami, Hiroki & Zimka, Rudolf, 2020. "On dynamics in a two-sector Keynesian model of business cycles," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
- Ogawa, Shogo, 2022. "Capital and inventory investments under quantity constraints: A microfounded Metzlerian model," MPRA Paper 111906, University Library of Munich, Germany.
- Schmitt, Noemi & Westerhoff, Frank, 2017.
"On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems,"
Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
See citations under working paper version above.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015. "Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems," BERG Working Paper Series 103, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1041-1070, November.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," BERG Working Paper Series 111, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Frank Westerhoff, 2017.
"Herding behaviour and volatility clustering in financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1187-1203, August.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2016.
"Stock market participation and endogenous boom-bust dynamics,"
Economics Letters, Elsevier, vol. 148(C), pages 72-75.
Cited by:
- Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018.
"Steady states, stability and bifurcations in multi-asset market models,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
- Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series 177, Bamberg University, Bamberg Economic Research Group.
- Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2018. "Boom-bust dynamics in a stock market participation model with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 458-468.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018.
"Market entry waves and volatility outbursts in stock markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Westerhoff, Frank, 2016.
"Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 21-44.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank H., 2020. "Heterogeneous expectations, housing bubbles and tax policy," BERG Working Paper Series 156, Bamberg University, Bamberg Economic Research Group.
- Zhong, Changbiao & Xie, Lijuan & Shi, Yu & Xu, Xiangyun, 2023. "Macro-prudential policy, its alignment with monetary policy and house price growth: A cross-country study," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 51-62.
- Ling Zhang & Wenlong Bian & Hao Zhang, 2019. "Dissecting the myth of the house price in Chinese metropolises: allowing for behavioral heterogeneity among investors," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 721-740, December.
- Bao, Te & Hommes, Cars, 2019. "When speculators meet suppliers: Positive versus negative feedback in experimental housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
- Laura Gardini & Noemi Schmitt & Iryna Sushko & Fabio Tramontana & Frank Westerhoff, 2019. "Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps," Working Papers 1908, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2019.
- Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022.
"House price cycles, housing systems, and growth models,"
IPE Working Papers
194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Karsten Kohler & Benjamin Tippet & Engelbert Stockhammer, 2023. "House price cycles, housing systems, and growth models," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 20(3), pages 461-490, December.
- Giorgos Galanis & Giorgio Ricchiuti & Ben Tippet, 2023.
"The Global Political Economy of a Green Transition,"
Working Papers
113, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- Giorgos Galanis & Giorgio Ricchiuti & Ben Tippet, 2022. "The Global Political Economy of a Green Transition," Working Papers - Economics wp2022_22.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
- Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2014.
"Identifying Booms and Busts in House Prices under Heterogeneous Expectations,"
CeNDEF Working Papers
14-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," European Economy - Economic Papers 2008 - 2015 540, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," Tinbergen Institute Discussion Papers 14-157/II, Tinbergen Institute.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Dylan E. McNamara & Martin D. Smith & Zachary Williams & Sathya Gopalakrishnan & Craig E. Landry, 2024. "Policy and market forces delay real estate price declines on the US coast," Nature Communications, Nature, vol. 15(1), pages 1-16, December.
- Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017.
"Comparing behavioural heterogeneity across asset classes,"
Working Paper
2017/12, Norges Bank.
- ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021. "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
- Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
- Carro, Adrian, 2023. "Taming the housing roller coaster: The impact of macroprudential policy on the house price cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018.
"Long memory in financial markets: A heterogeneous agent model perspective,"
International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
- Fu, Jie & Zhang, Xiaoqi & Zhou, Wenyuan & Lyu, Yang, 2024. "A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 267-283.
- MeiChi Huang, 2022. "Time‐varying impacts of expectations on housing markets across hot and cold phases," International Finance, Wiley Blackwell, vol. 25(2), pages 249-265, August.
- Fabozzi, Frank J. & Xiao, Keli, 2017. "Explosive rents: The real estate market dynamics in exuberance," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 100-107.
- Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
- Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
- Guilmi, Corrado Di & Galanis, Giorgos, 2020.
"Convergence and divergence in dynamic voting with inequality,"
CRETA Online Discussion Paper Series
61, Centre for Research in Economic Theory and its Applications CRETA.
- Di Guilmi, Corrado & Galanis, Giorgos, 2021. "Convergence and divergence in dynamic voting with inequality," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 137-158.
- Guo Feng & Liu Chong & Shi Qingling, 2019. "Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(5), pages 1-17, December.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021.
"Heterogeneous expectations, housing bubbles and tax policy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015.
"A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
See citations under working paper version above.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2011. "A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities," Quaderni di Dipartimento 150, University of Pavia, Department of Economics and Quantitative Methods.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015.
"Symmetry breaking in a bull and bear financial market model,"
Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
Cited by:
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Managing rational routes to randomness,"
Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 157-173.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank, 2015. "Managing rational routes to randomness," BERG Working Paper Series 96, Bamberg University, Bamberg Economic Research Group.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2014.
"One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 27-51, April.
Cited by:
- Francesca Grassetti & Cristiana Mammana & Elisabetta Michetti, 2018. "Poverty trap, boom and bust periods and growth. A nonlinear model for non-developed and developing countries," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 145-162, November.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Tramontana, Fabio & Sushko, Iryna & Avrutin, Viktor, 2015. "Period adding structure in a 2D discontinuous model of economic growth," Applied Mathematics and Computation, Elsevier, vol. 253(C), pages 262-273.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
- Schmitt, Noemi & Westerhoff, Frank, 2014.
"Speculative behavior and the dynamics of interacting stock markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
See citations under working paper version above.
- Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
- Tuinstra, Jan & Wegener, Michael & Westerhoff, Frank, 2014.
"Positive welfare effects of trade barriers in a dynamic partial equilibrium model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 246-264.
Cited by:
- Laura Gardini & Noemi Schmitt & Iryna Sushko & Fabio Tramontana & Frank Westerhoff, 2019. "Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps," Working Papers 1908, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2019.
- Noemi Schmitt & Jan Tuinstra & Frank Westerhoff, 2018.
"Stability and welfare effects of profit taxes within an evolutionary market interaction model,"
Review of International Economics, Wiley Blackwell, vol. 26(3), pages 691-708, August.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Stability and welfare effects of profit taxes within an evolutionary market interaction model," BERG Working Paper Series 122, Bamberg University, Bamberg Economic Research Group.
- Sequeira, Tiago & Morão, Hugo, 2020.
"Growth accounting and regressions: New approach and results,"
International Economics, Elsevier, vol. 162(C), pages 67-79.
- Tiago Sequeira & Hugo Morão, 2020. "Growth Accounting and Regressions:new approach and results," Working Papers REM 2020/0113, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Tiago Sequeira & Hugo Morão, 2020. "Growth accounting and regressions: New approach and results," International Economics, CEPII research center, issue 162, pages 67-79.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018.
"Interactions between stock, bond and housing markets,"
BERG Working Paper Series
133, Bamberg University, Bamberg Economic Research Group.
- Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
- Anufriev, Mikhail & Chernulich, Aleksei & Tuinstra, Jan, 2018. "A laboratory experiment on the heuristic switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 21-42.
- He, Feng & Lucey, Brian & Wang, Ziwei, 2021. "Trade policy uncertainty and its impact on the stock market -evidence from China-US trade conflict," Finance Research Letters, Elsevier, vol. 40(C).
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Managing rational routes to randomness,"
Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 157-173.
- Schmitt, Noemi & Westerhoff, Frank, 2015. "Managing rational routes to randomness," BERG Working Paper Series 96, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2015.
"Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems,"
BERG Working Paper Series
103, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Tuinstra, Jan & Westerhoff, Frank, 2017. "Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems," Journal of Economic Behavior & Organization, Elsevier, vol. 135(C), pages 15-38.
- Lamantia, F. & Negriu, A. & Tuinstra, J., 2016. "Evolutionary Cournot competition with endogenous technology choice: (in)stability and optimal policy," CeNDEF Working Papers 16-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013.
"The bull and bear market model of Huang and Day: Some extensions and new results,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
See citations under working paper version above.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012. "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series 89, Bamberg University, Bamberg Economic Research Group.
- Frank Westerhoff, 2012.
"Interactions between the Real Economy and the Stock Market: A Simple Agent-Based Approach,"
Discrete Dynamics in Nature and Society, Hindawi, vol. 2012, pages 1-21, July.
Cited by:
- Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
- F. Cavalli & A. Naimzada & N. Pecora, 2022. "A stylized macro-model with interacting real, monetary and stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 225-257, January.
- Opeoluwa Banwo & Paul Harrald & Francesca Medda, 2019. "Understanding the consequences of diversification on financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 273-292, June.
- Lines Marji & Westerhoff Frank, 2012.
"Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
See citations under working paper version above.
- Lines, Marji & Westerhoff, Frank, 2009. "Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations," BERG Working Paper Series 68, Bamberg University, Bamberg Economic Research Group.
- Roberto Dieci & Frank Westerhoff, 2012.
"A simple model of a speculative housing market,"
Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
See citations under working paper version above.
- Dieci, Roberto & Westerhoff, Frank, 2009. "A simple model of a speculative housing market," BERG Working Paper Series 62, Bamberg University, Bamberg Economic Research Group.
- Michael Wegener & Frank Westerhoff, 2012.
"Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model,"
Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
Cited by:
- Ahmad Naimzada & Marina Pireddu, 2013. "Dynamics in a nonlinear Keynesian good market model," Working Papers 254, University of Milano-Bicocca, Department of Economics, revised Sep 2013.
- Lines Marji & Westerhoff Frank, 2012.
"Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
- Lines, Marji & Westerhoff, Frank, 2009. "Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations," BERG Working Paper Series 68, Bamberg University, Bamberg Economic Research Group.
- Franke, Reiner & Westerhoff, Frank, 2012.
"Structural stochastic volatility in asset pricing dynamics: Estimation and model contest,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1193-1211.
See citations under working paper version above.
- Franke, Reiner & Westerhoff, Frank, 2011. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," BERG Working Paper Series 78, Bamberg University, Bamberg Economic Research Group.
- Frank Westerhoff & Reiner Franke, 2012.
"Converse trading strategies, intrinsic noise and the stylized facts of financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 425-436, June.
Cited by:
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012.
"The bull and bear market model of Huang and Day : Some extensions and new results,"
BERG Working Paper Series
89, Bamberg University, Bamberg Economic Research Group.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
- Jackson, Antony & Ladley, Daniel, 2016. "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 270-280.
- Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011. "Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017.
"Comparing behavioural heterogeneity across asset classes,"
Working Paper
2017/12, Norges Bank.
- ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021. "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
- Luisanna Cocco & Michele Marchesi, 2016.
"Modeling and Simulation of the Economics of Mining in the Bitcoin Market,"
PLOS ONE, Public Library of Science, vol. 11(10), pages 1-31, October.
- Luisanna Cocco & Michele Marchesi, 2016. "Modeling and Simulation of the Economics of Mining in the Bitcoin Market," Papers 1605.01354, arXiv.org.
- Luisanna Cocco & Giulio Concas & Michele Marchesi, 2017.
"Using an artificial financial market for studying a cryptocurrency market,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 345-365, July.
- Luisanna Cocco & Giulio Concas & Michele Marchesi, 2014. "Using an Artificial Financial Market for studying a Cryptocurrency Market," Papers 1406.6496, arXiv.org.
- Dinghai Xu & Jingru Ji & Donghua Wang, 2018.
"Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market,"
Working Papers
1806, University of Waterloo, Department of Economics, revised 09 Jan 2018.
- Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, vol. 80(C), pages 383-391.
- Schmitt, Noemi, 2018. "Heterogeneous expectations and asset price dynamics," BERG Working Paper Series 134, Bamberg University, Bamberg Economic Research Group.
- Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
- Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 207-238, February.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019.
"Housing markets, expectation formation and interest rates,"
BERG Working Paper Series
142, Bamberg University, Bamberg Economic Research Group.
- Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011.
"Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map,"
Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
Cited by:
- Davide Radi & Laura Gardini & Viktor Avrutin, 2014.
"The Role of Constraints in a Segregation Model: The Asymmetric Case,"
Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-17, August.
- Radi, Davide & Gardini, Laura & Avrutin, Viktor, 2014. "The role of constraints in a segregation model: The symmetric case," Chaos, Solitons & Fractals, Elsevier, vol. 66(C), pages 103-119.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012.
"The bull and bear market model of Huang and Day : Some extensions and new results,"
BERG Working Paper Series
89, Bamberg University, Bamberg Economic Research Group.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- Ingrid Kubin & Laura Gardini, 2013.
"Border collision bifurcations in boom and bust cycles,"
Journal of Evolutionary Economics, Springer, vol. 23(4), pages 811-829, September.
- Kubin, Ingrid & Gardini, Laura, 2012. "Border Collision Bifurcations in Boom and Bust Cycles," Department of Economics Working Paper Series 137, WU Vienna University of Economics and Business.
- Ingrid Kubin & Laura Gardini, 2012. "Border Collision Bifurcations in Boom and Bust Cycles," Department of Economics Working Papers wuwp137, Vienna University of Economics and Business, Department of Economics.
- Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
- Cafferata, Alessia & Tramontana, Fabio, 2019. "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 252-259.
- Ansori, Moch. Fandi & Brianzoni, Serena & Campisi, Giovanni, 2024. "Bifurcations and complex dynamics in a banking duopoly model with macroprudential policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
- Sushko, Iryna & Gardini, Laura & Matsuyama, Kiminori, 2014. "Superstable credit cycles and U-sequence," Chaos, Solitons & Fractals, Elsevier, vol. 59(C), pages 13-27.
- Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Fabio Dercole & Davide Radi, 2014. "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers 1405.7747, arXiv.org.
- Radi, Davide & Gardini, Laura, 2015. "Entry limitations and heterogeneous tolerances in a Schelling-like segregation model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 130-144.
- Dercole, Fabio & Radi, Davide, 2020. "Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
- Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
- Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
- Davide Radi & Laura Gardini & Viktor Avrutin, 2014.
"The Role of Constraints in a Segregation Model: The Asymmetric Case,"
Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-17, August.
- Westerhoff, Frank & Wieland, Cristian, 2010.
"A behavioral cobweb-like commodity market model with heterogeneous speculators,"
Economic Modelling, Elsevier, vol. 27(5), pages 1136-1143, September.
Cited by:
- de Lima, Daruichi Pereira & Fioriolli, José Carlos & Padula, Antonio Domingos & Pumi, Guilherme, 2018. "The impact of Chinese imports of soybean on port infrastructure in Brazil: A study based on the concept of the “Bullwhip Effect”," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 55-76.
- Naimzada, Ahmad & Pireddu, Marina, 2014. "Dynamic behavior of product and stock markets with a varying degree of interaction," Economic Modelling, Elsevier, vol. 41(C), pages 191-197.
- Luca Gori & Luca Guerrini & Mauro Sodini, 2014. "Hopf Bifurcation in a Cobweb Model with Discrete Time Delays," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-8, June.
- Abbas Ali Abounoori & Rafik Nazarian & Ashkan Amiri, 2014. "Oil Price Pass-Through into Domestic Inflation: The Case of Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 4(4), pages 662-669.
- Wang, Guocheng & Wang, Yanyi, 2018. "Herding, social network and volatility," Economic Modelling, Elsevier, vol. 68(C), pages 74-81.
- Chaudhry, Muhammad Imran & Miranda, Mario J., 2018. "Complex price dynamics in vertically linked cobweb markets," Economic Modelling, Elsevier, vol. 72(C), pages 363-378.
- Chaudhry, Muhammad Imran & Katchova, Ani & Miranda, Mario Javier, 2016. "Examining pricing mechanics in the poultry value chain - empirical evidence from Pakistan," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235953, Agricultural and Applied Economics Association.
- Lines, Marji & Westerhoff, Frank, 2010.
"Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
Cited by:
- Laura Gardini & Noemi Schmitt & Iryna Sushko & Fabio Tramontana & Frank Westerhoff, 2019. "Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps," Working Papers 1908, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2019.
- Roberto Veneziani & Luca Zamparelli & Reiner Franke & Frank Westerhoff, 2017. "Taking Stock: A Rigorous Modelling Of Animal Spirits In Macroeconomics," Journal of Economic Surveys, Wiley Blackwell, vol. 31(5), pages 1152-1182, December.
- Proaño Acosta, Christian & Lojak, Benjamin, 2020.
"Monetary policy with a state-dependent inflation target in a behavioral two-country monetary union model,"
BERG Working Paper Series
161, Bamberg University, Bamberg Economic Research Group.
- Christian R. Proaño & Benjamin Lojak, 2020. "Monetary policy with a state-dependent inflation target in a behavioral two-country monetary union model," CAMA Working Papers 2020-89, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Proaño, Christian R. & Lojak, Benjamin, 2021. "Monetary Policy with a State-Dependent Inflation Target in a Behavioral Two-Country Monetary Union Model," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Agliari, Anna & Pecora, Nicolò & Spelta, Alessandro, 2015. "Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 83-95.
- Alfarano Simone & Milakovic Mishael, 2012.
"Identification of Interaction Effects in Survey Expectations: A Cautionary Note,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
- Alfarano, Simone & Milaković, Mishael, 2010. "Identification of interaction effects in survey expectations: A cautionary note," BERG Working Paper Series 75, Bamberg University, Bamberg Economic Research Group.
- Alfarano, Simone & Milakovic, Mishael, 2010. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," MPRA Paper 26002, University Library of Munich, Germany.
- Hommes, Cars, 2011.
"The heterogeneous expectations hypothesis: Some evidence from the lab,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
- Hommes, C.H., 2010. "The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab," CeNDEF Working Papers 10-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Serena Sordi & Alessandro Vercelli, 2010.
"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Anna Loleyt & Ilya Gurov, 2011. "The process of formation of inflation expectations in an information economy," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 104-127, Bank for International Settlements.
- Agliari, Anna & Hommes, Cars H. & Pecora, Nicolò, 2016.
"Path dependent coordination of expectations in asset pricing experiments: A behavioral explanation,"
Journal of Economic Behavior & Organization, Elsevier, vol. 121(C), pages 15-28.
- Agliari, A. & Hommes, C.H. & Pecora, N., 2015. "Path Dependent Coordination of Expectations in Asset Pricing Experiments: a Behavioral Explanation," CeNDEF Working Papers 15-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Foroni, Ilaria & Agliari, Anna, 2011. "Complex dynamics associated with the appearance/disappearance of invariant closed curves," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1640-1655.
- Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2024.
"Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior,"
Annals of Operations Research, Springer, vol. 337(3), pages 809-834, June.
- Mignot, Sarah & Tramontana, Fabio & Westerhoff, Frank H., 2023. "Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior," BERG Working Paper Series 187, Bamberg University, Bamberg Economic Research Group.
- Aymeric Ricome & Arnaud Reynaud, 2022. "Marketing contract choices in agriculture: The role of price expectation and price risk management," Agricultural Economics, International Association of Agricultural Economists, vol. 53(1), pages 170-186, January.
- Jaylson Jair da Silveira & Gilberto Tadeu Lima, 2014. "Heterogeneity in Inflation Expectations and Macroeconomic Stability under Satisficing Learning," Working Papers, Department of Economics 2014_28, University of São Paulo (FEA-USP).
- Mignot, Sarah & Pellizzari, Paolo & Westerhoff, Frank H., 2024. "Fake news and asset price dynamics," BERG Working Paper Series 192, Bamberg University, Bamberg Economic Research Group.
- Xue-Zhong He & Kai Li & Chuncheng Wan, 2015.
"Volatility Clustering: A Nonlinear Theoretical Approach,"
Research Paper Series
365, Quantitative Finance Research Centre, University of Technology, Sydney.
- He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016. "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 274-297.
- Perino, Grischa & Willner, Maximilian, 2017. "Why the EU Market Stability Reserve deters long-term low-carbon investments," WiSo-HH Working Paper Series 44, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory.
- Lines Marji & Westerhoff Frank, 2012.
"Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
- Lines, Marji & Westerhoff, Frank, 2009. "Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations," BERG Working Paper Series 68, Bamberg University, Bamberg Economic Research Group.
- Tiziana Assenza & William Brock & Cars Hommes, 2013.
"Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts,"
DISCE - Working Papers del Dipartimento di Economia e Finanza
def007, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2013. "Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts," Tinbergen Institute Discussion Papers 13-205/II, Tinbergen Institute.
- Choi, Yoonseok & Kim, Sunghyun, 2016. "Testing an alternative price-setting behavior in the new Keynesian Phillips curve: Extrapolative price-setting mechanism," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 253-265.
- Emilian DOBRESCU, 2020. "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-32, December.
- Reiner Franke, 2018. "Competitive moment matching of a New-Keynesian and an Old-Keynesian model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 201-239, July.
- Westerhoff, Frank & Franke, Reiner, 2012. "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series 88, Bamberg University, Bamberg Economic Research Group.
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Managing rational routes to randomness,"
Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 157-173.
- Schmitt, Noemi & Westerhoff, Frank, 2015. "Managing rational routes to randomness," BERG Working Paper Series 96, Bamberg University, Bamberg Economic Research Group.
- Gerunov, Anton, 2014. "Критичен Преглед На Основните Подходи За Моделиране На Икономическите Очаквания [A Critical Review of Major Approaches for Modeling Economic Expectations]," MPRA Paper 68797, University Library of Munich, Germany.
- Heemeijer Peter & Hommes Cars & Sonnemans Joep & Tuinstra Jan, 2012. "An Experimental Study on Expectations and Learning in Overlapping Generations Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-49, October.
- Viergutz, Tim & Schulze-Ehlers, Birgit, 2018. "Exploring the Spatiotemporal Dynamics of Cooperative Members' Switching Decisions," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 9(5), January.
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"Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises,"
CeNDEF Working Papers
12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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"Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
Cited by:
- Laura Gardini & Noemi Schmitt & Iryna Sushko & Fabio Tramontana & Frank Westerhoff, 2019. "Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps," Working Papers 1908, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2019.
- Makarewicz, Tomasz, 2021. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 626-673.
- Weihong HUANG & Zhenxi CHEN, 2012. "Regional Financial Markets With Common Currency," Economic Growth Centre Working Paper Series 1210, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
- Hommes, Cars, 2011.
"The heterogeneous expectations hypothesis: Some evidence from the lab,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
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- Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
- Michael Heinrich Baumann & Michaela Baumann & Lars Grüne & Bernhard Herz, 2023. "Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 855-890, October.
- Chen, Zhenxi & Huang, Weihong & Zheng, Huanhuan, 2015.
"Estimating heterogeneous agents behavior in a two-market financial system,"
FinMaP-Working Papers
48, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
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- Weihong HUANG & Zhenxi CHEN, 2012. "Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach," Economic Growth Centre Working Paper Series 1211, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Zhenxi Chen & Stefan Reitz, 2020.
"Dynamics of the European sovereign bonds and the identification of crisis periods,"
Empirical Economics, Springer, vol. 58(6), pages 2761-2781, June.
- Chen, Zhenxi & Reitz, Stefan, 2016. "Dynamics of the European sovereign bonds and the identification of crisis periods," FinMaP-Working Papers 57, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Peter Flaschel & Matthieu Charpe & Giorgos Galanis & Christian R. Proano & Roberto Veneziani, 2017.
"Macroeconomic and Stock Market Interactions with Endogenous Aggregate Sentiment Dynamics,"
Working Papers
821, Queen Mary University of London, School of Economics and Finance.
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- Peter Flaschel & Matthieu Charpe & Giorgos Galanis & Christian R. Proaño & Roberto Veneziani, 2017. "Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics," IMK Working Paper 186-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Flaschel, Peter & Charpe, Matthieu & Galanis, Giorgos & Proaño Acosta, Christian & Veneziani, Roberto, 2017. "Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics," BERG Working Paper Series 125, Bamberg University, Bamberg Economic Research Group.
- Julio E. Sandubete & León Beleña & Juan Carlos García-Villalobos, 2023. "Testing the Efficient Market Hypothesis and the Model-Data Paradox of Chaos on Top Currencies from the Foreign Exchange Market (FOREX)," Mathematics, MDPI, vol. 11(2), pages 1-29, January.
- Jan Priewe, 2016. "The enigmatic dollar-euro exchange rate and the world's biggest forex market - performance, causes, consequences," IMK Studies 49-2016, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
- Dieci, Roberto & Westerhoff, Frank, 2011. "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series 79, Bamberg University, Bamberg Economic Research Group.
- He, Xue-Zhong & Zheng, Huanhuan, 2016.
"Trading heterogeneity under information uncertainty,"
Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
- Xue-Zhong He & Huanhuan Zheng, 2016. "Trading Heterogeneity Under Information Uncertainty," Research Paper Series 373, Quantitative Finance Research Centre, University of Technology, Sydney.
- Andrew Foster & Natasha Kirby, 2011. "Analysis of a Heterogeneous Trader Model for Asset Price Dynamics," Discrete Dynamics in Nature and Society, Hindawi, vol. 2011, pages 1-12, October.
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"A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations,"
Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 50-67.
- Corrado Di Guilmi & Giorgos Galanis & Christian Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," Working Papers 106, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- Corrado Di Guilmi & Giorgos Galanis & Christian R. Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," CAMA Working Papers 2022-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- Zheng, Huanhuan, 2020. "Coordinated bubbles and crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
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- Dieci, Roberto & Westerhoff, Frank, 2016. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 21-44.
- Schmitt, Noemi & Westerhoff, Frank, 2014.
"Speculative behavior and the dynamics of interacting stock markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
- Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
- Mark Bowden, 2015. "A model of information flows and confirmatory bias in financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 197-215, October.
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- Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
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- Xingxing He & Korhan K. Gokmenoglu & Dervis Kirikkaleli & Syed Kumail Abbas Rizvi, 2023. "Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1994-2005, April.
- Chen, Zhenxi, 2014. "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers 5, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018.
"Long memory in financial markets: A heterogeneous agent model perspective,"
International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
- Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
- Baumann, Michael Heinrich & Baumann, Michaela & Erler, Alexander, 2019. "Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
- Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Huang, Weihong & Chen, Zhenxi, 2020. "Modelling contagion of financial crises," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Huang, Weihong & Chen, Zhenxi, 2015. "Heterogeneous agents in multi-markets: A coupled map lattices approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 3-15.
- Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
- Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph, 2015. "Nonlinear Expectation Formation in the U.S. Stock Market," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113210, Verein für Socialpolitik / German Economic Association.
- Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers 1947 [rev.], Kiel Institute for the World Economy (IfW Kiel).
- Makarewicz, Tomasz, 2019. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," BERG Working Paper Series 141, Bamberg University, Bamberg Economic Research Group.
- Chi-Wei Su & Xu-Yu Cai & Ran Tao, 2020. "Can Stock Investor Sentiment Be Contagious in China?," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
- Frank Westerhoff, 2012. "Interactions between the Real Economy and the Stock Market: A Simple Agent-Based Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2012, pages 1-21, July.
- Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
- Westerhoff, Frank, 2011. "Interactions between the real economy and the stock market," BERG Working Paper Series 84, Bamberg University, Bamberg Economic Research Group.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2014.
"Optimal monetary policy in a new Keynesian model with animal spirits and financial markets,"
Economics Working Papers
2014-12, Christian-Albrechts-University of Kiel, Department of Economics.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2016. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 148-165.
- Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
- Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
- Pierdzioch Christian & Stadtmann Georg, 2010. "Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(4), pages 436-453, August.
- Yang, Ronghai & Sun, Xiaowen & Wang, Honglei & Wang, Xiao, 2024. "A study of the time-varying impact of capital account liberalization on monetary policy rules in the open economy: Evidence from China," Finance Research Letters, Elsevier, vol. 65(C).
- Dick, Christian D. & Menkhoff, Lukas, 2012.
"Exchange rate expectations of chartists and fundamentalists,"
ZEW Discussion Papers
12-026, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Lukas Menkhoff, 2013. "Exchange Rate Expectations of Chartists and Fundamentalists," CESifo Working Paper Series 4181, CESifo.
- Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
- Dieci, Roberto & Westerhoff, Frank, 2015. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach," BERG Working Paper Series 99, Bamberg University, Bamberg Economic Research Group.
- Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2010.
"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
See citations under working paper version above.
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2009. "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics Discussion Papers 2009-51, Kiel Institute for the World Economy (IfW Kiel).
- Frank Westerhoff & Martin Hohnisch, 2010.
"Consumer sentiment and countercyclical fiscal policies,"
International Review of Applied Economics, Taylor & Francis Journals, vol. 24(5), pages 609-618.
Cited by:
- Franke Reiner, 2012. "Microfounded Animal Spirits in the New Macroeconomic Consensus," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-41, October.
- Frank Westerhoff & Martin Hohnisch, 2007. "A note on interactions-driven business cycles," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 85-91, June.
- Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
- Westerhoff, Frank & Franke, Reiner, 2012. "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series 88, Bamberg University, Bamberg Economic Research Group.
- Francisca Guedes de Oliveira & Leonardo Costa, 2013. "The Vat Laffer Curve And The Business Cycle," Working Papers de Economia (Economics Working Papers) 02, Católica Porto Business School, Universidade Católica Portuguesa.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010.
"On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
See citations under working paper version above.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers 1005, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
- Dieci, Roberto & Westerhoff, Frank, 2010.
"Interacting cobweb markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 75(3), pages 461-481, September.
See citations under working paper version above.
- Roberto Dieci & Frank Westerhoff, 2010. "Interacting cobweb markets," Post-Print hal-00849411, HAL.
- Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009.
"The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets,"
Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
Cited by:
- Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Westerhoff, Frank, 2011. "Interactions between the real economy and the stock market," BERG Working Paper Series 84, Bamberg University, Bamberg Economic Research Group.
- Serena Brianzoni & Giovanni Campisi & Graziella Pacelli, 2023. "Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time," Mathematics, MDPI, vol. 11(10), pages 1-12, May.
- Georg Zaklan & Frank Westerhoff & Dietrich Stauffer, 2009.
"Analysing tax evasion dynamics via the Ising model,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(1), pages 1-14, June.
See citations under working paper version above.
- Georg Zaklan & Frank Westerhoff & Dietrich Stauffer, 2008. "Analysing tax evasion dynamics via the Ising model," Papers 0801.2980, arXiv.org.
- Wegener, Michael & Westerhoff, Frank & Zaklan, Georg, 2009.
"A Metzlerian business cycle model with nonlinear heterogeneous expectations,"
Economic Modelling, Elsevier, vol. 26(3), pages 715-720, May.
Cited by:
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Michael Wegener, 2014. "Heterogeneous expectations and debt in a growth model for a small open economy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 125-136, April.
- Ogawa, Shogo, 2024. "Perceived and expected quantity constraints in inventory dynamics," MPRA Paper 120629, University Library of Munich, Germany.
- Karsten Kohler & Robert Calvert Jump, 2022. "Estimating Nonlinear Business Cycle Mechanisms with Linear Vector Autoregressions: A Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1077-1100, October.
- Ogawa, Shogo, 2022. "Capital and inventory investments under quantity constraints: A microfounded Metzlerian model," MPRA Paper 111906, University Library of Munich, Germany.
- Pellizzari, Paolo & Westerhoff, Frank, 2009.
"Some effects of transaction taxes under different microstructures,"
Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
See citations under working paper version above.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Post-Print hal-00727590, HAL.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Paolo Pelizzari & Frank Westerhoff, 2007. "Some Effects of Transaction Taxes Under Different Microstructures," Research Paper Series 212, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kopel, Michael & Westerhoff, Frank & Wieland, Cristian, 2008.
"Regulating complex dynamics in firms and economic systems,"
Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 911-919.
Cited by:
- Bonache, Adrien & Moris, Karen, 2009. "Nonlinear and chaotic patterns in Japanese video game console sales and consequences for management control," MPRA Paper 18196, University Library of Munich, Germany.
- Arianna Dal Forno & Ugo Merlone, 2021. "Envy effects on conflict dynamics in supervised work groups," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 755-779, December.
- Hohnisch, Martin & Westerhoff, Frank, 2008.
"Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over,"
Structural Change and Economic Dynamics, Elsevier, vol. 19(3), pages 249-259, September.
Cited by:
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Frank Westerhoff & Martin Hohnisch, 2010. "Consumer sentiment and countercyclical fiscal policies," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(5), pages 609-618.
- Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014.
"Herding, trend chasing and market volatility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 349-373.
- Corrado Di Guilmi & Xue-Zhong He & Kai Li, 2013. "Herding, Trend Chasing and Market Volatility," Research Paper Series 337, Quantitative Finance Research Centre, University of Technology, Sydney.
- Franke Reiner, 2012. "Microfounded Animal Spirits in the New Macroeconomic Consensus," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-41, October.
- Gaffeo, Edoardo & Canzian, Giulia, 2011. "The psychology of inflation, monetary policy and macroeconomic instability," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(5), pages 660-670.
- Petar Sorić & Ivana Lolić & Marija Logarušić, 2022. "Economic Sentiment and Aggregate Activity: A Tale of Two European Cycles," Journal of Common Market Studies, Wiley Blackwell, vol. 60(2), pages 445-462, March.
- Reiner Franke, 2018. "Competitive moment matching of a New-Keynesian and an Old-Keynesian model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 201-239, July.
- Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
- Westerhoff Frank H., 2008.
"The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
Cited by:
- Fischer, Thomas, 2011.
"News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
54196, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2012. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 58930, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2011. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77416, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2011. "News reaction in financial markets within a behavioral finance model with heterogeneous agents," Darmstadt Discussion Papers in Economics 205, Darmstadt University of Technology, Department of Law and Economics.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016.
"Rock around the clock: An agent-based model of low- and high-frequency trading,"
Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: an agent-based model of low- and high-frequency trading," SciencePo Working papers Main hal-01070542, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: An agent-based model of low- and high-frequency trading," Post-Print hal-01515227, HAL.
- Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," GREDEG Working Papers 2014-21, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
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2014-06, Christian-Albrechts-University of Kiel, Department of Economics.
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PKWP2009, Post Keynesian Economics Society (PKES).
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"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
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BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
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"Income Tax Evasion in a Society of Heterogeneous Agents - Evidence from an Agent-based Model,"
International Economic Journal, Taylor & Francis Journals, vol. 24(4), pages 541-553.
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- Sascha Hokamp & Michael Pickhardt, "undated". "Income Tax Evasion in a Society of Heterogeneous Agents – Evidence from an Agent-based Model," Working Papers 201035, Institute of Spatial and Housing Economics, Munster Universitary.
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"Tax Compliance and Public Goods Provision. An Agent-based Econophysics Approach,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 217-236, December.
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"Tax Evasion on a Social Network,"
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Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(1), pages 1-14, June.
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"Heuristic Expectation Formation And Business Cycles: A Simple Linear Model,"
Metroeconomica, Wiley Blackwell, vol. 59(1), pages 47-56, February.
Cited by:
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"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
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"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Franke Reiner, 2012. "Microfounded Animal Spirits in the New Macroeconomic Consensus," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-41, October.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Frank Westerhoff, 2008.
"Consumer sentiment and business cycles: a Neimark-Sacker bifurcation scenario,"
Applied Economics Letters, Taylor & Francis Journals, vol. 15(15), pages 1201-1205.
Cited by:
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"Heterogeneous expectations, exchange rate dynamics and predictability,"
Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
See citations under working paper version above.
- Manzan, S. & Westerhoff, F., 2002. "Heterogeneous Expectations, Exchange Rate Dynamics and Predictability," CeNDEF Working Papers 02-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Stefan Reitz & Frank Westerhoff, 2007.
"Commodity price cycles and heterogeneous speculators: a STAR–GARCH model,"
Empirical Economics, Springer, vol. 33(2), pages 231-244, September.
Cited by:
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"News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
54196, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2012. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 58930, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2011. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77416, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2011. "News reaction in financial markets within a behavioral finance model with heterogeneous agents," Darmstadt Discussion Papers in Economics 205, Darmstadt University of Technology, Department of Law and Economics.
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"Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation,"
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- Mohamed Chikhi & Claude Diebolt, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Post-Print hal-03778331, HAL.
- Mohamed CHIKHI & Claude DIEBOLT, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers of BETA 2021-36, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.
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"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
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- Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
- Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
- Marc Joëts, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Post-Print hal-01609889, HAL.
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"Commodity prices and the business cycle in Latin America: Living and dying by commodities?,"
CEPR Discussion Papers
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"Quantifying the impact of Ramadan on global raw sugar prices,"
MPRA Paper
75941, University Library of Munich, Germany.
- Kazi Abrar Hossain & Syed Abul Basher & A.K. Enamul Haque, 2018. "Quantifying the impact of Ramadan on global raw sugar prices," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 11(4), pages 510-528, June.
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"On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016,"
Working Papers - Economics
wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Cifarelli, Giulio & Paesani, Paolo, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper 84009, University Library of Munich, Germany.
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"Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing,"
MPRA Paper
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"Dynamics of the European sovereign bonds and the identification of crisis periods,"
Empirical Economics, Springer, vol. 58(6), pages 2761-2781, June.
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Discussion Paper Series 1: Economic Studies
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"Behavioral Heterogeneity in the Option Market,"
LSF Research Working Paper Series
09-07, Luxembourg School of Finance, University of Luxembourg.
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"Estimation of financial agent-based models with simulated maximum likelihood,"
FinMaP-Working Papers
63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
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"Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors,"
Working Papers of BETA
2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
- Giulio Cifarelli, 2023. "Commodity Pricing Volatility Shifts in a Highly Turbulent Time Period. A Time-varying Transition Probability Markov Switching Analysis," Working Papers - Economics wp2023_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, January.
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- Andreas Fritz & Michael Stein & Christoph Weber, 2015. "The Role of Heterogeneous Agents in Fuel Markets: Testing Tales of Speculators in Oil Markets," EWL Working Papers 1505, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Aug 2015.
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- Georg Lehecka, 2015. "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, vol. 49(2), pages 575-603, September.
- Pede, Valerien O. & Valera, Harold Glenn A. & Alam, Mohammad Jahangir & McKenzie, Andrew M., 2013. "Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150246, Agricultural and Applied Economics Association.
- Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
- Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
- Domenico Colucci & Matteo Vigna & Vincenzo Valori, 2022. "Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 319-348, January.
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"Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79,
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- Westerhoff, Frank & Wieland, Cristian, 2010. "A behavioral cobweb-like commodity market model with heterogeneous speculators," Economic Modelling, Elsevier, vol. 27(5), pages 1136-1143, September.
- Andreas Röthig, 2012. "Cross‐Speculation In Currency Futures Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(3), pages 272-278, July.
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- Fischer, Thomas, 2011.
"News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
54196, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Frank Westerhoff & Martin Hohnisch, 2007.
"A note on interactions-driven business cycles,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 85-91, June.
Cited by:
- Roberto Veneziani & Luca Zamparelli & Reiner Franke & Frank Westerhoff, 2017. "Taking Stock: A Rigorous Modelling Of Animal Spirits In Macroeconomics," Journal of Economic Surveys, Wiley Blackwell, vol. 31(5), pages 1152-1182, December.
- Frank Westerhoff & Martin Hohnisch, 2010. "Consumer sentiment and countercyclical fiscal policies," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(5), pages 609-618.
- Franke Reiner, 2012. "Microfounded Animal Spirits in the New Macroeconomic Consensus," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-41, October.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Robert Calvert Jump & Engelbert Stockhammer, 2023.
"Building blocks of a heterodox business cycle theory,"
Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 46(2), pages 334-358, April.
- Robert Calvert Jump & Engelbert Stockhammer, 2022. "Building blocks of a heterodox business cycle theory," Working Papers PKWP2201, Post Keynesian Economics Society (PKES).
- Reiner Franke, 2018. "Competitive moment matching of a New-Keynesian and an Old-Keynesian model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 201-239, July.
- Hohnisch, Martin & Westerhoff, Frank, 2008. "Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over," Structural Change and Economic Dynamics, Elsevier, vol. 19(3), pages 249-259, September.
- Steven Silver & Phillip Cowans, 2009. "Stocks of information in personal consumption: a network model with non-rival borrowing and content overlap," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 115-134, November.
- Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007.
"Butter mountains, milk lakes and optimal price limiters,"
Applied Economics Letters, Taylor & Francis Journals, vol. 14(15), pages 1131-1136.
See citations under working paper version above.
- Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney.
- Frank Westerhoff, 2006.
"Samuelson's multiplier-accelerator model revisited,"
Applied Economics Letters, Taylor & Francis Journals, vol. 13(2), pages 89-92.
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"Second-Order Accelerator of Investment: The Case of Discrete Time,"
Discussion Paper Series
2015_07, Department of Economics, University of Macedonia, revised Dec 2015.
- Dalla, Eleni & Varelas, Erotokritos, 2016. "Second-order accelerator of investment: The case of discrete time," International Review of Economics Education, Elsevier, vol. 21(C), pages 48-60.
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"Samuelson's last macroeconomic model: Secular stagnation and endogenous cyclical growth,"
Structural Change and Economic Dynamics, Elsevier, vol. 69(C), pages 417-426.
- Michaël Assous & Mauro Boianovsky & Marwil J. Dávila-Fernández, 2024. "Samuelson's Last Macroeconomic Model: Secular Stagnation and Endogenous Cyclical Growth," Post-Print halshs-04633718, HAL.
- Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
- Fabio Tramontana & Laura Gardini, 2021. "Revisiting Samuelson’s models, linear and nonlinear, stability conditions and oscillating dynamics," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 10(1), pages 1-15, December.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Ioannis Dassios & Alexandros Zimbidis & Charalambos Kontzalis, 2014. "The Delay Effect in a Stochastic Multiplier–Accelerator Model," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 3(1), pages 1-24, December.
- Serena Sordi & Alessandro Vercelli, 2010.
"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Andrášik Ladislav, 2015. "Ergodic Axiom: The Ontological Mistakes in Economics," Creative and Knowledge Society, Sciendo, vol. 5(1), pages 47-65, July.
- Ioannis K. Dassios & Mel T. Devine, 2016. "A macroeconomic mathematical model for the national income of a union of countries with interaction and trade," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 5(1), pages 1-15, December.
- Gerasimos T. Soldatos, 2018. "Multiplier–Accelerator Interaction in the Presence of an Underground Economy and Taxation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 12(2), pages 244-256, May.
- Robert Calvert Jump & Engelbert Stockhammer, 2023.
"Building blocks of a heterodox business cycle theory,"
Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 46(2), pages 334-358, April.
- Robert Calvert Jump & Engelbert Stockhammer, 2022. "Building blocks of a heterodox business cycle theory," Working Papers PKWP2201, Post Keynesian Economics Society (PKES).
- Michael Wegener, 2014. "Heterogeneous expectations and debt in a growth model for a small open economy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 125-136, April.
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- Todorova, Tamara & Kutrolli, Marin, 2019. "An Expanded Multiplier-Accelerator Model," MPRA Paper 107480, University Library of Munich, Germany.
- Ihor Kendiukhov, 2024. "Present Value of the Future Consumer Goods Multiplier," Papers 2402.01938, arXiv.org.
- Hohnisch, Martin & Westerhoff, Frank, 2008. "Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over," Structural Change and Economic Dynamics, Elsevier, vol. 19(3), pages 249-259, September.
- Wegener, Michael & Westerhoff, Frank & Zaklan, Georg, 2009. "A Metzlerian business cycle model with nonlinear heterogeneous expectations," Economic Modelling, Elsevier, vol. 26(3), pages 715-720, May.
- Matsumoto, Akio & Szidarovszky, Ferenc, 2015. "Nonlinear multiplier–accelerator model with investment and consumption delays," Structural Change and Economic Dynamics, Elsevier, vol. 33(C), pages 1-9.
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- Westerhoff Frank H., 2006. "Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-17, December.
- Erotokritos Varelas & Eleni Dalla, 2015.
"Second-Order Accelerator of Investment: The Case of Discrete Time,"
Discussion Paper Series
2015_07, Department of Economics, University of Macedonia, revised Dec 2015.
- Westerhoff Frank H., 2006.
"Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-17, December.
Cited by:
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Serena Sordi & Alessandro Vercelli, 2010.
"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Georges SARAFOPOULOS & Kosmas PAPADOPOULOS, 2017. "On A Cournot Duopoly Game With Differentiated Goods, Heterogeneous Expectations And A Cost Function Including Emission Costs," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 16(1), pages 11-22.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Frank H. Westerhoff, 2006.
"Business Cycles, Heuristic Expectation Formation, and Contracyclical Policies,"
Journal of Public Economic Theory, Association for Public Economic Theory, vol. 8(5), pages 821-838, December.
Cited by:
- Roberto Veneziani & Luca Zamparelli & Reiner Franke & Frank Westerhoff, 2017. "Taking Stock: A Rigorous Modelling Of Animal Spirits In Macroeconomics," Journal of Economic Surveys, Wiley Blackwell, vol. 31(5), pages 1152-1182, December.
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
- Serena Sordi & Alessandro Vercelli, 2010.
"Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
1010, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Sordi, Serena & Vercelli, Alessandro, 2012. "Heterogeneous expectations and strong uncertainty in a Minskyian model of financial fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 544-557.
- Lines Marji & Westerhoff Frank, 2012.
"Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
- Lines, Marji & Westerhoff, Frank, 2009. "Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations," BERG Working Paper Series 68, Bamberg University, Bamberg Economic Research Group.
- Westerhoff, Frank & Franke, Reiner, 2012. "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series 88, Bamberg University, Bamberg Economic Research Group.
- Wegener, Michael & Westerhoff, Frank & Zaklan, Georg, 2009. "A Metzlerian business cycle model with nonlinear heterogeneous expectations," Economic Modelling, Elsevier, vol. 26(3), pages 715-720, May.
- Frank H. Westerhoff, 2006.
"Technical Analysis Based On Price-Volume Signals And The Power Of Trading Breaks,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 227-244.
Cited by:
- Fischer, Thomas, 2011.
"News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
54196, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2012. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 58930, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2011. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77416, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas, 2011. "News reaction in financial markets within a behavioral finance model with heterogeneous agents," Darmstadt Discussion Papers in Economics 205, Darmstadt University of Technology, Department of Law and Economics.
- Tut, DANIEL, 2024. "Bitcoin, speculative sentiments and crypto-assets valuation," MPRA Paper 120866, University Library of Munich, Germany.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Leal, Sandrine Jacob & Napoletano, Mauro, 2019.
"Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading,"
Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series 2016/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers hal-01512781, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," SciencePo Working papers Main hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," SciencePo Working papers Main hal-03459346, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512780, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Post-Print hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers hal-03459346, HAL.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020.
"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017.
"An empirical behavioural order-driven model with price limit rules,"
Papers
1704.04354, arXiv.org.
- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
- Changtai Li & Weihong Huang & Wei-Siang Wang & Wai-Mun Chia, 2023. "Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 677-713, February.
- Xinyue Dong & Honggang Li, 2019. "The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(7), pages 1516-1530, May.
- Demary, Markus, 2009.
"Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model,"
Economics Discussion Papers
2009-47, Kiel Institute for the World Economy (IfW Kiel).
- Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
- Fischer, Thomas, 2011.
"News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
54196, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- S. Reitz & F. Westerhoff & C. Wieland, 2006.
"Target Zone Interventions and Coordination of Expectations,"
Journal of Optimization Theory and Applications, Springer, vol. 128(2), pages 453-467, February.
See citations under working paper version above.
- Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
See citations under working paper version above.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
- Gudrun Ehrenstein & Frank Westerhoff, 2006.
"The Working Of Circuit Breakers Within Percolation Models For Financial Markets,"
International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 299-304.
Cited by:
- Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017.
"An empirical behavioural order-driven model with price limit rules,"
Papers
1704.04354, arXiv.org.
- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
- Frank H. Westerhoff, 2005.
"Heterogeneous traders, price-volume signals, and complex asset price dynamics,"
Discrete Dynamics in Nature and Society, Hindawi, vol. 2005, pages 1-11, January.
Cited by:
- Orlando Gomes, 2008.
"Decentralized Allocation of Human Capital and Nonlinear Growth,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 45-75, February.
- Gomes, Orlando, 2007. "Decentralized allocation of human capital and nonlinear growth," MPRA Paper 2882, University Library of Munich, Germany.
- Orlando Gomes, 2008.
"Decentralized Allocation of Human Capital and Nonlinear Growth,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 45-75, February.
- Frank H. Westerhoff, 2005.
"Consumer Behavior And Fluctuations In Economic Activity,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 8(02n03), pages 209-215.
Cited by:
- Frank Westerhoff & Martin Hohnisch, 2010. "Consumer sentiment and countercyclical fiscal policies," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(5), pages 609-618.
- Manzan, Sebastiano & Westerhoff, Frank, 2005.
"Representativeness of news and exchange rate dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 677-689, April.
See citations under working paper version above.
- Manzan, S. & Westerhoff, F., 2002. "Representativeness of News and Exchange Rate Dynamics," CeNDEF Working Papers 02-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- He, Xue-Zhong & Westerhoff, Frank H., 2005.
"Commodity markets, price limiters and speculative price dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September.
See citations under working paper version above.
- Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney.
- Westerhoff, Frank & Reitz, Stefan, 2005.
"Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(3), pages 641-648.
Cited by:
- Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
- Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
- Christophe C. Gouel, 2012.
"Agricultural price instability: a survey of competing explanations and remedies,"
Post-Print
hal-01001218, HAL.
- Christophe Gouel, 2012. "Agricultural Price Instability: A Survey Of Competing Explanations And Remedies," Journal of Economic Surveys, Wiley Blackwell, vol. 26(1), pages 129-156, February.
- Osamah Al-Khazali & Elie Bouri & David Roubaud & Taisier Zoubi, 2017.
"The impact of religious practice on stock returns and volatility,"
Post-Print
hal-02008554, HAL.
- Al-Khazali, Osamah & Bouri, Elie & Roubaud, David & Zoubi, Taisier, 2017. "The impact of religious practice on stock returns and volatility," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 172-189.
- Joëts, Marc, 2015.
"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
- Joëts, Marc, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Energy: Resources and Markets 148918, Fondazione Eni Enrico Mattei (FEEM).
- Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
- Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
- Marc Joëts, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Post-Print hal-01609889, HAL.
- Giulio Cifarelli & Paolo Paesani, 2017.
"On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016,"
Working Papers - Economics
wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Cifarelli, Giulio & Paesani, Paolo, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper 84009, University Library of Munich, Germany.
- Chen, Zhenxi & Huang, Weihong & Zheng, Huanhuan, 2015.
"Estimating heterogeneous agents behavior in a two-market financial system,"
FinMaP-Working Papers
48, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009.
"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies,"
CARF F-Series
CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CIRJE F-Series CIRJE-F-684, CIRJE, Faculty of Economics, University of Tokyo.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Research Papers EI 2009-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010. "Precious metals-exchange rate volatility transmissions and hedging strategies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 633-647, October.
- Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation," MPRA Paper 83894, University Library of Munich, Germany.
- Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
- Adriana Cornea‐Madeira & João Madeira, 2022. "Econometric Analysis of Switching Expectations in UK Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 651-673, June.
- Cifarelli, Giulio & Paesani, Paolo, 2018.
"Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing,"
MPRA Paper
90470, University Library of Munich, Germany.
- Giulio Cifarelli and Paolo Paesani, 2021. "Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
- Wang, Hao & Dong, Yizhe & Sun, Mingli & Shi, Baofeng & Ji, Hao, 2024. "Dynamic dependence of futures basis between the Chinese and international grains markets," Economic Modelling, Elsevier, vol. 130(C).
- Giulio Cifarelli & Giovanna Paladino, 2017.
"Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?,"
Working Papers - Economics
wp2017_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
- Li, Mengling & Zheng, Huanhuan & Chong, Terence Tai Leung & Zhang, Yang, 2016.
"The Stock-Bond Comovements and Cross-Market Trading,"
MPRA Paper
75871, University Library of Munich, Germany.
- Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016. "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 417-438.
- Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
- Bastourre, Diego, 2008. "Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio [Structural break or financial speculation in commodity markets? A multivar," MPRA Paper 9910, University Library of Munich, Germany.
- Ahmad K. Naimzada & Giorgio Ricchiuti, 2014.
"Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(3), pages 233-247, November.
- Ahmad K Naimzada & Giorgio Ricchiuti, 2013. "Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism," Working Papers - Economics wp2013_03.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
- Mihaela Nicolau, 2010.
"Practitioners' Tools in Analysing Financial Markets Evolution,"
Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 83-104, August.
- Nicolau, Mihaela, 2010. "Practitioners' tools in analysing financial markets evolution," MPRA Paper 25646, University Library of Munich, Germany.
- Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017.
"Comparing behavioural heterogeneity across asset classes,"
Working Paper
2017/12, Norges Bank.
- ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021. "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009.
"Behavioral Heterogeneity in the Option Market,"
LSF Research Working Paper Series
09-07, Luxembourg School of Finance, University of Luxembourg.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
- Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010. "Behavioral heterogeneity in the option market," Post-Print hal-00736742, HAL.
- Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," Department of Economics, Working Papers 072, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
- Kukacka, Jiri & Barunik, Jozef, 2016.
"Estimation of financial agent-based models with simulated maximum likelihood,"
FinMaP-Working Papers
63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
- Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012.
"Estimating behavioural heterogeneity under regime switching,"
Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
- Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series 290, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chen, Zhenxi, 2014. "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers 5, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Cornea, A. & Hommes, C.H. & Massaro, D., 2012.
"Behavioral Heterogeneity in U.S. Inflation Dynamics,"
CeNDEF Working Papers
12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
- Adriana Cornea-Madeira & Cars Hommes & Domenico Massaro, 2019. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 288-300, April.
- Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2015.
"A Tale for Two Tails: Explaining Extreme Events in Financialized Agricultural markets,"
2015 Conference (59th), February 10-13, 2015, Rotorua, New Zealand
202529, Australian Agricultural and Resource Economics Society.
- Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2017. "A tale of two tails: Explaining extreme events in financialized agricultural markets," Food Policy, Elsevier, vol. 69(C), pages 256-269.
- Zheng, Zhiyong & Lu, Yunfan & Zhang, Junhuan, 2022. "Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
- Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," IIE, Working Papers 072, IIE, Universidad Nacional de La Plata.
- Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
- Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
- Cifarelli, Giulio, 2013. "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, vol. 38(C), pages 160-167.
- Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
- Saskia ter Ellen & Willem F. C. Verschoor, 2018.
"Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79,
Springer.
- Saskia ter Ellen & Willem F.C. Verschoor, 2017. "Heterogeneous beliefs and asset price dynamics: a survey of recent evidence," Working Paper 2017/22, Norges Bank.
- Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
- Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
- Ehsan Ahmed & J. Rosser & Jamshed Uppal, 2014. "Are there nonlinear speculative bubbles in commodities prices?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 36(3), pages 415-438.
- Alizadeh, Amir H. & Thanopoulou, Helen & Yip, Tsz Leung, 2017. "Investors’ behavior and dynamics of ship prices: A heterogeneous agent model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 106(C), pages 98-114.
- G. Ehrenstein & F. Westerhoff & D. Stauffer, 2005.
"Tobin tax and market depth,"
Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 213-218.
See citations under working paper version above.
- G. Ehrenstein & F. Westerhoff & D. Stauffer, 2003. "Tobin tax and market depth," Papers cond-mat/0311581, arXiv.org.
- Wieland, Cristian & Westerhoff, Frank H., 2005.
"Exchange rate dynamics, central bank interventions and chaos control methods,"
Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 117-132, September.
See citations under working paper version above.
- Frank Westerhoff & Cristian Wieland, "undated". "Exchange rate dynamics, central bank interventions and chaos control methods," Modeling, Computing, and Mastering Complexity 2003 22, Society for Computational Economics.
- Frank H. Westerhoff & Cristian Wieland, 2004.
"Spillover Dynamics of Central Bank Interventions,"
German Economic Review, Verein für Socialpolitik, vol. 5(4), pages 435-450, November.
- Westerhoff Frank H. & Wieland Cristian, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, De Gruyter, vol. 5(4), pages 435-450, December.
See citations under working paper version above.- Frank Westerhoff & Cristian Wieland, "undated". "Spill-over dynamics of central bank interventions," Modeling, Computing, and Mastering Complexity 2003 21, Society for Computational Economics.
- Frank H. Westerhoff, 2004.
"Market Depth And Price Dynamics: A Note,"
International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 15(07), pages 1005-1012.
See citations under working paper version above.
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"Multiasset Market Dynamics,"
Macroeconomic Dynamics, Cambridge University Press, vol. 8(5), pages 596-616, November.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 635-642.
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Finance
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AQR Working Papers
201706, University of Barcelona, Regional Quantitative Analysis Group, revised May 2017.
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"Speculative markets and the effectiveness of price limits,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 493-508, December.
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"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
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- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers hal-01512781, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," SciencePo Working papers Main hal-03403589, HAL.
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- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Post-Print hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers hal-03459346, HAL.
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Computing in Economics and Finance 2003
88, Society for Computational Economics.
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- Ferry Syarifuddin & Noer Azam Achsani & Dedi Budiman Hakim & Toni Bakhtiar, 2014.
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Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 17(2), pages 1-24, October.
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"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
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"Heterogeneous speculators and stock market dynamics: A simple agent-based computational model,"
BERG Working Paper Series
160, Bamberg University, Bamberg Economic Research Group.
- Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
- Hao Li & Zhisheng Li, 2022. "The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4885-4917, December.
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- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017.
"An empirical behavioural order-driven model with price limit rules,"
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"Commodity markets, price limiters and speculative price dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September.
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Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
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"Bubbles And Crashes: Optimism, Trend Extrapolation And Panic,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(08), pages 829-837.
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"Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays,"
Finance
0510026, University Library of Munich, Germany.
- Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
- Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics 88, Department of Economics and Law, Sapienza University of Roma.
- Giuseppe Garofalo & Alessandro Sansone, 2006. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Papers physics/0607276, arXiv.org.
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Finance
0510026, University Library of Munich, Germany.
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"Market-maker, inventory control and foreign exchange dynamics,"
Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
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- Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
- Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Sandrine Jacob Leal, 2012. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Cahiers du CEREFIGE 1203, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
- Nadia Matringe, 2022. "Early inventory management practices in the foreign exchange market: Insights from sixteenth‐century Lyon," Economic History Review, Economic History Society, vol. 75(3), pages 739-778, August.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Massimiliano Marzo & Paolo Zagaglia, 2011.
"Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run,"
Working Paper series
20_11, Rimini Centre for Economic Analysis.
- Massimiliano Marzo & Paolo Zagaglia, 2012. "Trading directions and the pricing of Euro interbank deposits in the long run," Applied Economics Letters, Taylor & Francis Journals, vol. 19(18), pages 1827-1839, December.
- Wang, Xinjie & (Ken) Zhong, Zhaodong, 2022. "Post-crisis regulations, market making, and liquidity in over-the-counter markets," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Leonardo Bargigli, 2019.
"A Model of Market Making with Heterogeneous Speculators,"
Working Papers - Economics
wp2019_01.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Leonardo Bargigli, 2021. "A model of market making with heterogeneous speculators," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 1-28, January.
- Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
- Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
- Franke, Reiner, 2009. "A prototype model of speculative dynamics with position-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1134-1158, May.
- Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
- Reiner Franke & Toichiro Asada, 2008. "Incorporating positions into asset pricing models with order-based strategies," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(2), pages 201-227, December.
- Alessandro Carraro & Giorgio Ricchiuti, 2014.
"Heterogeneous Fundamentalists and Market Maker Inventories,"
Working Papers - Economics
wp2014_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Carraro, Alessandro & Ricchiuti, Giorgio, 2015. "Heterogeneous fundamentalists and market maker inventories," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 73-82.
- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
- Frank Westerhoff, 2003.
"Heterogeneous traders and the Tobin tax,"
Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, February.
See citations under working paper version above.
- Frank Westerhoff, 2002. "Heterogeneous Traders and the Tobin Tax," Computing in Economics and Finance 2002 51, Society for Computational Economics.
- Westerhoff, Frank H., 2003.
"Expectations driven distortions in the foreign exchange market,"
Journal of Economic Behavior & Organization, Elsevier, vol. 51(3), pages 389-412, July.
See citations under working paper version above.
- Frank H. Westerhoff, 2001. "Expectations Driven Distortions in the Foreign Exchange Market," Computing in Economics and Finance 2001 48, Society for Computational Economics.
- Frank Westerhoff, 2001. "Expectations Driven Distortions in the Foreign Exchange Market," CeNDEF Workshop Papers, January 2001 1A.3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Westerhoff, Frank H., 2003.
"Central bank intervention and feedback traders,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 419-427, December.
Cited by:
- Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
- Mauricio Lopera Castano & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londono Henao, 2013. "Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, May.
- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
- Westerhoff Frank H. & Reitz Stefan, 2003.
"Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-15, December.
See citations under working paper version above.
- Reitz, Stefan & Westerhoff, Frank, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies (CFS).
Chapters
- Frank H. Westerhoff, 2009.
"Exchange Rate Dynamics: A Nonlinear Survey,"
Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11,
Edward Elgar Publishing.
Cited by:
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012.
"Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters,"
Discussion Papers
311, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1349-1363.
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Nonlinear expectations in speculative markets - Evidence from the ECB survey of professional forecasters," Discussion Papers on Economics 1/2012, University of Southern Denmark, Department of Economics.
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2011. "Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters," Kiel Working Papers 1706, Kiel Institute for the World Economy (IfW Kiel).
- Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
- Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
- Sylvain Barde & Ofce Observatoire Français Des Conjonctures Économiques, 2016.
"Direct comparison of agent-based models of herding in financial markets,"
Post-Print
hal-03604749, HAL.
- Barde, Sylvain, 2016. "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 329-353.
- Sylvain Barde & Ofce Observatoire Français Des Conjonctures Économiques, 2016. "Direct comparison of agent-based models of herding in financial markets," SciencePo Working papers Main hal-03604749, HAL.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
- Cafferata, Alessia & Tramontana, Fabio, 2019. "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 252-259.
- Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2010.
"Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
- Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2009. "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics Discussion Papers 2009-51, Kiel Institute for the World Economy (IfW Kiel).
- Leonardo Bargigli, 2019.
"A Model of Market Making with Heterogeneous Speculators,"
Working Papers - Economics
wp2019_01.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Leonardo Bargigli, 2021. "A model of market making with heterogeneous speculators," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 1-28, January.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Michele Gori & Giorgio Ricchiuti, 2018.
"A dynamic exchange rate model with heterogeneous agents,"
Journal of Evolutionary Economics, Springer, vol. 28(2), pages 399-415, April.
- Michele Gori & Giorgio Ricchiuti, 2014. "A Dynamic Exchange Rate Model with Heterogeneous Agents," Working Papers - Economics wp2014_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2018. "Boom-bust dynamics in a stock market participation model with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 458-468.
- Frank Westerhoff, 2012. "Interactions between the Real Economy and the Stock Market: A Simple Agent-Based Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2012, pages 1-21, July.
- Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009. "The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
- Westerhoff, Frank, 2011. "Interactions between the real economy and the stock market," BERG Working Paper Series 84, Bamberg University, Bamberg Economic Research Group.
- Reiner Franke & Toichiro Asada, 2008. "Incorporating positions into asset pricing models with order-based strategies," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(2), pages 201-227, December.
- En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
- Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012.
"Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters,"
Discussion Papers
311, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Marji Lines & Frank Westerhoff, 2006.
"Expectations and the Multiplier-Accelerator Model,"
Springer Books, in: Tönu Puu & Iryna Sushko (ed.), Business Cycle Dynamics, chapter 9, pages 255-276,
Springer.
Cited by:
- Roos, Michael W. M., 2015. "The macroeconomics of radical uncertainty," Ruhr Economic Papers 592, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Fausto Cavalli & Ahmad Naimzada & Nicol`o Pecora & Marina Pireddu, 2018. "Agents' beliefs and economic regimes polarization in interacting markets," Papers 1805.00387, arXiv.org.
- Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
- Filippo Gusella & Engelbert Stockhammer, 2020.
"Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter,"
Working Papers
PKWP2009, Post Keynesian Economics Society (PKES).
- Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Filippo Gusella, 2019. "Modelling Minskyan financial cycles with fundamentalist and extrapolative price strategies: An empirical analysis via the Kalman filter approach," Working Papers - Economics wp2019_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.