Frank Westerhoff : Citation Profile

Are you Frank Westerhoff?

Otto-Friedrich Universität Bamberg

19

H index

35

i10 index

983

Citations

RESEARCH PRODUCTION:

66

Articles

48

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 54
   Journals where Frank Westerhoff has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 68 (6.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe22
   Updated: 2018-05-19    RAS profile: 2018-03-22    
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Relations with other researchers

Works with:

Tuinstra, Jan (5)

Gardini, Laura (3)

Tramontana, Fabio (2)

Wegener, Michael (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank Westerhoff.

Is cited by:

He, Xuezhong (55)

Hommes, Cars (45)

Chiarella, Carl (31)

Reitz, Stefan (25)

Li, Youwei (24)

Menkhoff, Lukas (21)

Kirchler, Michael (18)

Fatoke Dato, Mafaizath (18)

Napoletano, Mauro (16)

Chen, Zhenxi (15)

March, Christoph (15)

Cites to:

Hommes, Cars (202)

Chiarella, Carl (112)

He, Xuezhong (79)

Brock, William (72)

Gardini, Laura (62)

Tuinstra, Jan (62)

Lux, Thomas (62)

Huang, Weihong (47)

Taylor, Mark (46)

Farmer, J. (31)

Sonnemans, Joep (31)

Main data

Where Frank Westerhoff has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control12
Journal of Economic Behavior & Organization8
Journal of Evolutionary Economics4
Quantitative Finance4
Studies in Nonlinear Dynamics & Econometrics4
Applied Economics Letters3
Journal of Economic Interaction and Coordination3
Physica A: Statistical Mechanics and its Applications3
Economic Modelling2
International Journal of Modern Physics C (IJMPC)2
International Journal of Theoretical and Applied Finance (IJTAF)2
Computational Economics2

Working Papers Series with more than one paper published# docs
BERG Working Paper Series / Bamberg University, Bamberg Economic Research Group21
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney3
Working Papers / University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini3
Papers / arXiv.org3
Computing in Economics and Finance 2004 / Society for Computational Economics3
Modeling, Computing, and Mastering Complexity 2003 / Society for Computational Economics2
Post-Print / HAL2
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance2

Recent works citing Frank Westerhoff (2018 and 2017)

YearTitle of citing document
2017“Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201706.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir . In: Papers. RePEc:arx:papers:1703.10639.

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2017Second order stochastic differential models for financial markets. (2017). Zung, Nguyen Tien . In: Papers. RePEc:arx:papers:1707.05419.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, Vygintas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1712.05121.

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2018SABCEMM-A Simulation Framework for Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Frank, Martin ; Pabich, Emma ; Beikirch, Max ; Cramer, Simon ; Otte, Philipp. In: Papers. RePEc:arx:papers:1801.01811.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2018An Endogenous Mechanism of Business Cycles. (2018). Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V ; Ushanov, Dmitry ; Gusev, Maxim. In: Papers. RePEc:arx:papers:1803.05002.

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2018Agents beliefs and economic regimes polarization in interacting markets. (2018). Cavalli, Fausto ; Pireddu, Marina ; Pecora, Nicolo ; Naimzada, Ahmad . In: Papers. RePEc:arx:papers:1805.00387.

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2017ANIMAL SPIRITS, HETEROGENEOUS EXPECTATIONS, AND THE AMPLIFICATION AND DURATION OF CRISES. (2017). Hommes, Cars ; Brock, William A ; Assenza, Tiziana. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:542-564.

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2017On the Role of Agent-based Modeling in the Theory of Development Economics. (2017). Wendelspiess Chávez Juárez, Florian ; Wendelspiess Chávez Juárez, Florian ; Wendelspiess Chávez Juárez, Florian ; Wendelspiess Chvez Jurez, Florian ; Chavez-Juarez, Florian . In: Review of Development Economics. RePEc:bla:rdevec:v:21:y:2017:i:3:p:713-730.

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2017Analyzing Structural Reforms Using a Behavioral Macroeconomic Model. (2017). DeGrauwe, Paul ; Ji, Yuemei ; de Grauwe, Paul. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6518.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2017Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333.

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2017Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach. (2017). Ftiti, Zied ; JAWADI, Fredj ; Hdia, Mouna . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:567-588.

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2017The impact of the French financial transaction tax on HFT activities and market quality. (2017). Veryzhenko, Iryna ; Oriol, Nathalie ; Louhichi, Wael ; Harb, Etienne. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:307-315.

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2018Herding, social network and volatility. (2018). Wang, Guocheng. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:74-81.

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2017Complexity and the Economics of Climate Change: A Survey and a Look Forward. (2017). Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Lamperti, Francesco ; Sapio, A ; Balint, T. In: Ecological Economics. RePEc:eee:ecolec:v:138:y:2017:i:c:p:252-265.

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2018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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2017The impact of religious practice on stock returns and volatility. (2017). Roubaud, David ; Bouri, Elie ; Zoubi, Taisier ; Al-Khazali, Osamah. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:172-189.

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2017Assessing the impact of an EU financial transactions tax on asset volatility: An event study. (2017). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:12-24.

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2018Avoiding regret in an agent-based asset pricing model. (2018). Pruna, Radu T ; Jennings, Nicholas R ; Polukarov, Maria . In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:273-277.

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2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2017Driving factors of interactions between the exchange rate market and the commodity market: A wavelet-based complex network perspective. (2017). Wen, Shaobo ; Liu, Xueyong ; Chen, Zhihua ; An, Haizhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:299-308.

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2017Explosive rents: The real estate market dynamics in exuberance. (2017). Xiao, Keli ; Fabozzi, Frank J. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:100-107.

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2018A Win-Win-Win? Motivating innovation in a knowledge economy with tax incentives. (2018). Savin, Ivan ; d'Andria, Diego ; Dandria, D. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:127:y:2018:i:c:p:38-56.

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2017Investors’ behavior and dynamics of ship prices: A heterogeneous agent model. (2017). Alizadeh, Amir H ; Yip, Tsz Leung ; Thanopoulou, Helen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:106:y:2017:i:c:p:98-114.

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2017Agent-based model calibration using machine learning surrogates. (2017). Roventini, Andrea ; Sani, Amir ; Lamperti, Frencesco. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1709.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01499344.

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2017Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. (2017). Veneziani, Roberto. In: IMK Working Paper. RePEc:imk:wpaper:186-2017.

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2017Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:201711.

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2017Real Estate Transfer Taxes and Housing Price Volatility in the United States. (2017). Chen, Haiwei . In: International Real Estate Review. RePEc:ire:issued:v:20:n:02:2017:p:207-219.

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2018Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Huang, Ya-Chi ; Tsao, Chueh-Yung. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9643-7.

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2018The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market. (2018). Stanek, Filip ; Kukacka, Jiri. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9649-9.

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2018Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals. (2018). Lespagnol, Vivien ; Rouchier, Juliette . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9655-y.

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2017Sustainability-oriented future EU funding: a financial transaction tax. (2017). Solilova, Veronika ; Dobranschi, Marian ; Nerudova, Danue. In: Empirica. RePEc:kap:empiri:v:44:y:2017:i:4:d:10.1007_s10663-017-9391-5.

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2017Setting the futures margin with price limits: the case for single-stock futures. (2017). Fung, Hung-Gay ; Tse, Yiuman ; Chou, Jian-Hsin ; Chen, Chen-Yu . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0548-7.

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2018The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators. (2018). Abid, Fathi ; Kaffel, Bilel. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0638-9.

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2017Quantifying the impact of Ramadan on global raw sugar prices. (2017). Haque, A.K. Enamul ; Basher, Syed ; Abrar, Hossain Kazi ; Abul, Basher Syed . In: MPRA Paper. RePEc:pra:mprapa:75941.

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2018Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation. (2018). Cifarelli, Giulio ; Paladino, Giovanna . In: MPRA Paper. RePEc:pra:mprapa:83894.

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2017On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016. (2017). Cifarelli, Giulio ; Paesani, Paolo. In: MPRA Paper. RePEc:pra:mprapa:84009.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886.

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2017Complexity and the economics of climate change : a survey and a look foreward. (2017). Balint, Tomas ; Sapio, Sandro ; Roventini, Andrea ; Napoletano, Mauro ; Mandel, Antoine ; Lamperti, Francesco. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1nlv566svi86iqtetenms15tc4.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir . In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n.

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2017Yield curve responses to market sentiments and monetary policy. (2017). Demary, Markus. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0167-3.

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2017Heterogeneous trading and complex price dynamics. (2017). Li, Mengling ; Zheng, Huanhuan. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-017-0196-1.

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2017The adaptiveness in stock markets: testing the stylized facts in the DAX 30. (2017). Li, Youwei ; He, Xuezhong. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0505-9.

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2017An evolutive financial market model with animal spirits: imitation and endogenous beliefs. (2017). Naimzada, Ahmad ; Pireddu, M ; Cavalli, F. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0506-8.

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2017Nonlinear monetary policy rules in a pure exchange overlapping generations model. (2017). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0522-8.

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2018A dynamic exchange rate model with heterogeneous agents. (2018). Ricchiuti, Giorgio ; Gori, Michele . In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:28:y:2018:i:2:d:10.1007_s00191-017-0513-9.

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2017A new approach for the quantification of qualitative measures of economic expectations. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:6:d:10.1007_s11135-016-0416-0.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir . In: LEM Papers Series. RePEc:ssa:lemwps:2017/11.

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2017Validation of Agent-Based Models in Economics and Finance. (2017). Roventini, Andrea ; Moneta, Alessio ; Guerini, Mattia ; Fagiolo, Giorgio ; Lamperti, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2017/23.

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2018Leverage and evolving heterogeneous beliefs in a simple agent-based financial market. (2018). Gaffeo, Edoardo. In: DEM Working Papers. RePEc:trn:utwprg:2018/03.

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2017Risk aversion and prudence in contests. (2017). Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:120.

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2017Are sequential round-robin tournaments discriminatory?. (2017). Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:121.

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2017Contests as selection mechanisms: The impact of risk aversion. (2017). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:127.

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2017Fiscal consolidations and finite planning horizons. (2017). Lustenhouwer, Joep ; Mavromatis, Kostas. In: BERG Working Paper Series. RePEc:zbw:bamber:130.

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2017Managing unanchored, heterogeneous expectations and liquidity traps. (2017). Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:131.

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2017Fiscal consolidations and heterogeneous expectations. (2017). Hommes, Cars ; Mavromatis, Kostas ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:132.

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2018Heterogeneous expectations and asset price dynamics. (2018). Schmitt, Noemi. In: BERG Working Paper Series. RePEc:zbw:bamber:134.

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2017Estimation of agent-based models using sequential Monte Carlo methods. (2017). Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:201707.

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2017Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763.

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2017Financial transaction taxes: Announcement effects, short-run effects, and long-run effects. (2017). Noth, Felix ; Eichfelder, Sebastian ; Lau, Mona . In: IWH Discussion Papers. RePEc:zbw:iwhdps:42017.

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2017Managing excess volatility: Design and effectiveness of circuit breakers. (2017). Clapham, Benjamin ; Panz, Sven ; Haferkorn, Martin ; Gomber, Peter. In: SAFE Working Paper Series. RePEc:zbw:safewp:195.

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Works by Frank Westerhoff:

YearTitleTypeCited
2001Expectations Driven Distortions in the Foreign Exchange Market In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper20
2003Expectations driven distortions in the foreign exchange market.(2003) In: Journal of Economic Behavior & Organization.
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2001Expectations Driven Distortions in the Foreign Exchange Market.(2001) In: Computing in Economics and Finance 2001.
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2002Representativeness of News and Exchange Rate Dynamics In: CeNDEF Working Papers.
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2005Representativeness of news and exchange rate dynamics.(2005) In: Journal of Economic Dynamics and Control.
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2002Heterogeneous Expectations, Exchange Rate Dynamics and Predictability In: CeNDEF Working Papers.
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2007Heterogeneous expectations, exchange rate dynamics and predictability.(2007) In: Journal of Economic Behavior & Organization.
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2008Analysing tax evasion dynamics via the Ising model In: Papers.
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2009Analysing tax evasion dynamics via the Ising model.(2009) In: Journal of Economic Interaction and Coordination.
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2003Tobin tax and market depth In: Papers.
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2005Tobin tax and market depth.(2005) In: Quantitative Finance.
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2004Market depth and price dynamics: A note In: Papers.
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2004MARKET DEPTH AND PRICE DYNAMICS: A NOTE.(2004) In: International Journal of Modern Physics C (IJMPC).
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2004Spillover Dynamics of Central Bank Interventions In: German Economic Review.
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Spill-over dynamics of central bank interventions.() In: Modeling, Computing, and Mastering Complexity 2003.
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2017TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS In: Journal of Economic Surveys.
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2006Business Cycles, Heuristic Expectation Formation, and Contracyclical Policies In: Journal of Public Economic Theory.
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2008HEURISTIC EXPECTATION FORMATION AND BUSINESS CYCLES: A SIMPLE LINEAR MODEL In: Metroeconomica.
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2006Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts In: Studies in Nonlinear Dynamics & Econometrics.
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2012Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations In: Studies in Nonlinear Dynamics & Econometrics.
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2009Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations.(2009) In: BERG Working Paper Series.
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2012Introduction to the Current Issue In: Studies in Nonlinear Dynamics & Econometrics.
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2003Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists In: Studies in Nonlinear Dynamics & Econometrics.
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2003Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists.(2003) In: CFS Working Paper Series.
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2004MULTIASSET MARKET DYNAMICS In: Macroeconomic Dynamics.
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2003Multi-Asset Market Dynamics.(2003) In: Computing in Economics and Finance 2003.
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2004Does liquidity in the FX market depend on volatility? In: Economics Bulletin.
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2003Speculative markets and the effectiveness of price limits In: Journal of Economic Dynamics and Control.
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2005Commodity markets, price limiters and speculative price dynamics In: Journal of Economic Dynamics and Control.
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2004Commodity Markets, Price Limiters and Speculative Price Dynamics.(2004) In: Research Paper Series.
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2006The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach In: Journal of Economic Dynamics and Control.
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2004The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach.(2004) In: Computing in Economics and Finance 2004.
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2010Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations In: Journal of Economic Dynamics and Control.
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2010Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates In: Journal of Economic Dynamics and Control.
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2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest In: Journal of Economic Dynamics and Control.
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2011Structural stochastic volatility in asset pricing dynamics: Estimation and model contest.(2011) In: BERG Working Paper Series.
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2013The bull and bear market model of Huang and Day: Some extensions and new results In: Journal of Economic Dynamics and Control.
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2012The bull and bear market model of Huang and Day : Some extensions and new results.(2012) In: BERG Working Paper Series.
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2014Speculative behavior and the dynamics of interacting stock markets In: Journal of Economic Dynamics and Control.
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