Frank Westerhoff : Citation Profile


Are you Frank Westerhoff?

Otto-Friedrich Universität Bamberg

21

H index

35

i10 index

1271

Citations

RESEARCH PRODUCTION:

78

Articles

53

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 66
   Journals where Frank Westerhoff has often published
   Relations with other researchers
   Recent citing documents: 172.    Total self citations: 80 (5.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe22
   Updated: 2020-05-16    RAS profile: 2020-04-08    
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Relations with other researchers


Works with:

Tuinstra, Jan (5)

Tramontana, Fabio (3)

Gardini, Laura (3)

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 (63)

Hommes, Cars (59)

Li, Youwei (32)

Chiarella, Carl (31)

Napoletano, Mauro (29)

Reitz, Stefan (25)

Menkhoff, Lukas (22)

March, Christoph (21)

Chen, Zhenxi (20)

Naimzada, Ahmad (19)

Fatoke Dato, Mafaizath (18)

Cites to:

Hommes, Cars (228)

Chiarella, Carl (126)

He, Xuezhong (93)

Brock, William (82)

Tuinstra, Jan (65)

Gardini, Laura (65)

Huang, Weihong (52)

Lux, Thomas (50)

Taylor, Mark (47)

Farmer, J. (35)

Sonnemans, Joep (33)

Main data


Where Frank Westerhoff has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control13
Journal of Economic Behavior & Organization9
Studies in Nonlinear Dynamics & Econometrics4
Journal of Evolutionary Economics4
Quantitative Finance4
Applied Economics Letters3
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik)3
Physica A: Statistical Mechanics and its Applications3
Economic Modelling3
Discrete Dynamics in Nature and Society3
International Journal of Modern Physics C (IJMPC)2
Macroeconomic Dynamics2
Journal of Economic Interaction and Coordination2
Computational Economics2
International Journal of Theoretical and Applied Finance (IJTAF)2
Decisions in Economics and Finance2
Economics Letters2

Working Papers Series with more than one paper published# docs
BERG Working Paper Series / Bamberg University, Bamberg Economic Research Group26
Working Papers / University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini3
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney3
Papers / arXiv.org3
Computing in Economics and Finance 2004 / Society for Computational Economics3
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance2
Modeling, Computing, and Mastering Complexity 2003 / Society for Computational Economics2
Post-Print / HAL2

Recent works citing Frank Westerhoff (2020 and 2019)


YearTitle of citing document
2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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

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

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

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2019An Endogenous Mechanism of Business Cycles. (2019). Govorkov, Boris ; Sharov, Sergey V ; Ushanov, Dmitry ; Gusev, Maxim ; Kroujiline, Dimitri. In: Papers. RePEc:arx:papers:1803.05002.

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

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454.

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2018A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality. (2018). Trimborn, Torsten. In: Papers. RePEc:arx:papers:1805.11036.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2018Multi-agent Economics and the Emergence of Critical Markets. (2018). Harr, Michael S. In: Papers. RePEc:arx:papers:1809.01332.

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2019Simulation of Stylized Facts in Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1812.02726.

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2019A Comparison of Economic Agent-Based Model Calibration Methods. (2019). Platt, Donovan. In: Papers. RePEc:arx:papers:1902.05938.

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2019Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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2019Stylized Facts and Agent-Based Modeling. (2019). Trimborn, Torsten ; Cramer, Simon. In: Papers. RePEc:arx:papers:1912.02684.

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2019From Disequilibrium Markets to Equilibrium. (2019). Trimborn, Torsten ; Lax, Christian. In: Papers. RePEc:arx:papers:1912.09679.

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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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2018On controlling chaos in a discrete†time Walrasian tâtonnement process. (2018). Sordi, Serena ; Naimzada, Ahmad. In: Metroeconomica. RePEc:bla:metroe:v:69:y:2018:i:1:p:178-194.

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2019A note on the “unique” business cycle in the Keynesian theory. (2019). Murakami, Hiroki. In: Metroeconomica. RePEc:bla:metroe:v:70:y:2019:i:3:p:384-404.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2018The deeds of speed: an agent-based model of market liquidity and flash episodes. (2018). Beale, Daniel ; Worlidge, Jack ; Noss, Joseph ; Karvik, Geir-Are. In: Bank of England working papers. RePEc:boe:boeewp:0743.

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2019Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model. (2019). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1929.

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2018The impact of profit taxation on the financial solvency of economic agents. (2018). Antohi, Valentin Marian ; Zlati, Monica Laura. In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2018:p:43-55.

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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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2019Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects. (2019). Hommes, Cars ; Vroegop, Joris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:314-333.

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2019Identifying booms and busts in house prices under heterogeneous expectations. (2019). Hommes, Cars ; Bolt, Wilko ; van der Leij, Marco ; Diks, Cees ; Demertzis, Maria. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:234-259.

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2019Income inequality, consumption, credit and credit risk in a data-driven agent-based model. (2019). Papadopoulos, Georgios. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:39-73.

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2019When speculators meet suppliers: Positive versus negative feedback in experimental housing markets. (2019). Hommes, Cars ; Bao, Te. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:9.

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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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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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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2018A laboratory experiment on the heuristic switching model. (2018). Tuinstra, Jan ; Chernulich, Aleksei ; Anufriev, Mikhail. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:21-42.

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2018Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. (2018). Veneziani, Roberto ; Charpe, Matthieu ; Proao, Christian R ; Galanis, Giorgos ; Flaschel, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:237-256.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2018Boom-bust dynamics in a stock market participation model with heterogeneous traders. (2018). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:458-468.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2018Carl’s nonlinear cobweb. (2018). Hommes, Cars. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:7-20.

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2018Oligopoly game: Price makers meet price takers. (2018). Kopányi, Dávid ; Anufriev, Mikhail ; Kopanyi, David . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:84-103.

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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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2017The impact of the French financial transaction tax on HFT activities and market quality. (2017). Oriol, Nathalie ; Louhichi, Wael ; Harb, Etienne ; Veryzhenko, Iryna. 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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2018Complex price dynamics in vertically linked cobweb markets. (2018). Miranda, Mario ; Chaudhry, Muhammad Imran. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:363-378.

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2019The stabilizing effects of price limits: New evidence from jump contributed price variations. (2019). Yeh, Jin-Huei ; Chan, Lin Kun ; Chu, Shan-Ying . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:529-539.

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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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2020Attitudes towards climate policies in a macrodynamic model of the economy. (2020). Sordi, Serena ; Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J. In: Ecological Economics. RePEc:eee:ecolec:v:169:y:2020:i:c:s0921800918315301.

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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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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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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Heterogeneous agent models in financial markets: A nonlinear dynamics approach. (2019). Li, Youwei ; He, Xuezhong ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:135-149.

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2020Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China. (2020). Geng, Jiang-Bo ; Yao, Chen-Xi ; Xia, Tongshui. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919303126.

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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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2019Behavioral heterogeneity and excess stock price volatility in China. (2019). Xiong, Xiong ; Zhou, Zhong-Qiang ; Zhang, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:348-354.

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2019Leverage and evolving heterogeneous beliefs in a simple agent-based financial market. (2019). Gaffeo, Edoardo. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:272-279.

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2019Effects of change in commission fees on China futures market. (2019). Zhang, Tong ; Wu, YU. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:54-65.

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2018Public attention to “Islamic terrorism” and stock market returns. (2018). el Ouadghiri, Imane ; Peillex, Jonathan. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:4:p:936-946.

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2019Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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201920 years of WEHIA: A journey in search of a safer road. (2019). Kirman, Alan ; Gallegati, Mauro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:5-14.

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2019An approach to identifying micro behavior: How banks’ strategies influence financial cycles. (2019). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Berardi, Simone. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:329-346.

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2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

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2020Tax evasion on a social network. (2020). Rablen, Matthew ; Deglinnocenti, Duccio Gamannossi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:79-91.

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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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2018The impact of Chinese imports of soybean on port infrastructure in Brazil: A study based on the concept of the “Bullwhip Effect”. (2018). Pumi, Guilherme ; Padula, Antonio Domingos ; Fioriolli, Jose Carlos ; de Lima, Daruichi Pereira. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:55-76.

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2019Unemployment expectations: A socio-demographic analysis of the effect of news. (2019). Sorić, Petar ; Lolić, Ivana ; Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Labour Economics. RePEc:eee:labeco:v:60:y:2019:i:c:p:64-74.

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2019Herd behavior and idiosyncratic volatility in a frontier market. (2019). Anh, Dang Bao ; Vo, Xuan Vinh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:321-330.

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2018Can agent-based models probe market microstructure?. (2018). Platt, Donovan ; Gebbie, Tim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1092-1106.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1075-1083.

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2018Mean field limit of a behavioral financial market model. (2018). Trimborn, Torsten ; Martin, Stephan ; Frank, Martin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:613-631.

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2019A novel approach to detect volatility clusters in financial time series. (2019). Sanchez-Granero, M A ; Fernandez-Martinez, M ; Trinidad, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314098.

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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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2018Do short-term international capital movements play a role in exchange rate and stock price transmission mechanism in China?. (2018). Li, Xin ; Ma, JI ; Chang, Hsu-Ling ; Su, Chi-Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:15-25.

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2019Carry trades, agent heterogeneity and the exchange rate. (2019). Tong, Bin ; Zhou, Chun-Yang ; Li, Xiao-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:343-358.

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2018Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach. (2018). Economou, Fotini ; Tsouma, Ekaterini ; Panagopoulos, Yannis. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:459-470.

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2018Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?. (2018). Cifarelli, Giulio ; Paladino, Giovanna. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:313-323.

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2019A credit cycle model with market sentiments. (2019). Zoerner, Thomas ; Gardini, Laura ; Commendatore, Pasquale ; Zorner, Thomas O ; Kubin, Ingrid. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:159-174.

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2019A financial market model with confirmation bias. (2019). Tramontana, Fabio ; Cafferata, Alessia. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:51:y:2019:i:c:p:252-259.

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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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2020Structural reforms, animal spirits and monetary policies. (2020). Ji, Yuemei ; de Grauwe, Paul ; DeGrauwe, Paul. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103502.

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2019Inflation targets and the zero lower bound in a behavioral macroeconomic model. (2019). De Grauwe, Paul ; Yuemei, JI ; DeGrauwe, Paul. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:80271.

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2018Institutional Bureaucracy and Real Sector Movement. (2018). Ratnasih, Cicih. In: European Research Studies Journal. RePEc:ers:journl:v:volumexxi:y:2018:i:issue4:p:31-39.

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2018Institutional Bureaucracy and Real Sector Movement. (2018). Ratnasih, Cicih. In: European Research Studies Journal. RePEc:ers:journl:v:xxi:y:2018:i:4:p:31-39.

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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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2019Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method. (2019). Tseng, Ming-Lang ; Wu, Kuo-Jui ; Zhang, Qian. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3240-:d:239134.

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2020Can Stock Investor Sentiment Be Contagious in China?. (2020). Cai, Xu-Yu ; Tao, Ran ; Su, Chi-Wei. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1571-:d:322696.

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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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2017Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro. In: Post-Print. RePEc:hal:journl:hal-01768876.

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2018Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals. (2018). Rouchier, Juliette ; Lespagnol, Vivien. In: Post-Print. RePEc:hal:journl:hal-02084910.

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2019Market structure or traders behavior? A multi agent model to assess flash crash phenomena and their regulation. (2019). Oriol, Nathalie ; Veryzhenko, Iryna. In: Post-Print. RePEc:hal:journl:halshs-01984442.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Working Papers. RePEc:hal:wpaper:hal-01499344.

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2019Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network. (2019). Duan, Tingting ; Wu, Binghui. In: Complexity. RePEc:hin:complx:2946018.

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2020Validation and Calibration of an Agent-Based Model: A Surrogate Approach. (2020). Zhang, Yongchao ; Li, Zhe. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6946370.

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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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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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2018Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach. (2018). Chen, Zhenxi ; Lux, Thomas. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:3:d:10.1007_s10614-016-9638-4.

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2019Exploring House Price Dynamics: An Agent-Based Simulation with Behavioral Heterogeneity. (2019). Dikmen, Irem ; Kale, Serdar ; Ozbakan, Tolga A. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9850-5.

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2019Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market. (2019). Liu, Guanqing . In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9851-4.

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2020Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares. (2020). Midili, Murat. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9876-8.

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More than 100 citations found, this list is not complete...

Works by Frank Westerhoff:


YearTitleTypeCited
2001Expectations Driven Distortions in the Foreign Exchange Market In: CeNDEF Workshop Papers, January 2001.
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paper23
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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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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2018Stability and welfare effects of profit taxes within an evolutionary market interaction model In: Review of International Economics.
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2017Stability and welfare effects of profit taxes within an evolutionary market interaction model.(2017) In: BERG Working Paper Series.
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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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2018EVOLUTIONARY COMPETITION AND PROFIT TAXES: MARKET STABILITY VERSUS TAX BURDEN In: Macroeconomic Dynamics.
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2015Evolutionary competition and profit taxes: market stability versus tax burden.(2015) In: BERG 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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article17
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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2013Speculative behavior and the dynamics of interacting stock markets.(2013) In: BERG Working Paper Series.
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2014Positive welfare effects of trade barriers in a dynamic partial equilibrium model In: Journal of Economic Dynamics and Control.
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2016Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach In: Journal of Economic Dynamics and Control.
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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations In: Journal of Economic Dynamics and Control.
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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations.(2017) In: BERG Working Paper Series.
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2018Interactions between stock, bond and housing markets In: Journal of Economic Dynamics and Control.
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2018Interactions between stock, bond and housing markets.(2018) In: BERG Working Paper Series.
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2009A Metzlerian business cycle model with nonlinear heterogeneous expectations In: Economic Modelling.
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2010A behavioral cobweb-like commodity market model with heterogeneous speculators In: Economic Modelling.
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2019Different compositions of aggregate sentiment and their impact on macroeconomic stability In: Economic Modelling.
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2016Stock market participation and endogenous boom-bust dynamics In: Economics Letters.
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2019Short-run momentum, long-run mean reversion and excess volatility: An elementary housing model In: Economics Letters.
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2003Central bank intervention and feedback traders In: Journal of International Financial Markets, Institutions and Money.
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2015Managing rational routes to randomness In: Journal of Economic Behavior & Organization.
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article3
2015Managing rational routes to randomness.(2015) In: BERG Working Paper Series.
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2017Side effects of nonlinear profit taxes in an evolutionary market entry model: Abrupt changes, coexisting attractors and hysteresis problems In: Journal of Economic Behavior & Organization.
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2015Side effects of nonlinear profit taxes in an evolutionary market entry model: abrupt changes, coexisting attractors and hysteresis problems.(2015) In: BERG Working Paper Series.
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2018Market entry waves and volatility outbursts in stock markets In: Journal of Economic Behavior & Organization.
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2017Market entry waves and volatility outbursts in stock markets.(2017) In: BERG Working Paper Series.
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2005Exchange rate dynamics, central bank interventions and chaos control methods In: Journal of Economic Behavior & Organization.
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Exchange rate dynamics, central bank interventions and chaos control methods.() In: Modeling, Computing, and Mastering Complexity 2003.
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2009Some effects of transaction taxes under different microstructures In: Journal of Economic Behavior & Organization.
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2009Some effects of transaction taxes under different microstructures.(2009) In: Post-Print.
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2007Some Effects of Transaction Taxes Under Different Microstructures.(2007) In: Research Paper Series.
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2009Some effects of transaction taxes under different microstructures.(2009) In: Working Papers.
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2010On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders In: Journal of Economic Behavior & Organization.
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2010On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders..(2010) In: Working Papers.
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2010Interacting cobweb markets In: Journal of Economic Behavior & Organization.
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2010Interacting cobweb markets.(2010) In: Post-Print.
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2015A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities In: Mathematics and Computers in Simulation (MATCOM).
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2011A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities.(2011) In: Quaderni di Dipartimento.
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2004Greed, fear and stock market dynamics In: Physica A: Statistical Mechanics and its Applications.
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2005Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market In: Physica A: Statistical Mechanics and its Applications.
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2008Controlling tax evasion fluctuations In: Physica A: Statistical Mechanics and its Applications.
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2008Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over In: Structural Change and Economic Dynamics.
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2009Exchange Rate Dynamics: A Nonlinear Survey In: Chapters.
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2009The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets In: Discrete Dynamics in Nature and Society.
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2012Interactions between the Real Economy and the Stock Market: A Simple Agent-Based Approach In: Discrete Dynamics in Nature and Society.
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2005Heterogeneous traders, price-volume signals, and complex asset price dynamics In: Discrete Dynamics in Nature and Society.
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2008The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2019Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2018Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model.(2018) In: BERG Working Paper Series.
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2019Hommes, Cars LeBaron, Blake: Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2003Modeling Exchange Rate Behavior with a Genetic Algorithm In: Computational Economics.
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2011Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map In: Computational Economics.
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2000EXPLAINING EXCHANGE RATE VOLATILITY WITH A GENETIC ALGORITHM In: Computing in Economics and Finance 2000.
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2002Heterogeneous Traders and the Tobin Tax In: Computing in Economics and Finance 2002.
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2003Heterogeneous traders and the Tobin tax.(2003) In: Journal of Evolutionary Economics.
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2004Target Zone Interventions and Coordination of Expectations In: Computing in Economics and Finance 2004.
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2006Target Zone Interventions and Coordination of Expectations.(2006) In: Journal of Optimization Theory and Applications.
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2004A behavioral cobweb model with heterogeneous speculators In: Computing in Economics and Finance 2004.
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2014One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets In: Decisions in Economics and Finance.
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2018Steady states, stability and bifurcations in multi-asset market models In: Decisions in Economics and Finance.
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2018Steady states, stability and bifurcations in multi-asset market models.(2018) In: BERG Working Paper Series.
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2007Commodity price cycles and heterogeneous speculators: a STAR–GARCH model In: Empirical Economics.
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2007A note on interactions-driven business cycles In: Journal of Economic Interaction and Coordination.
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2012Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model In: Journal of Evolutionary Economics.
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2012A simple model of a speculative housing market In: Journal of Evolutionary Economics.
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2009A simple model of a speculative housing market.(2009) In: BERG Working Paper Series.
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2017Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models In: Journal of Evolutionary Economics.
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2016Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models.(2016) In: BERG Working Paper Series.
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2006Samuelsons multiplier-accelerator model revisited In: Applied Economics Letters.
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2007Butter mountains, milk lakes and optimal price limiters In: Applied Economics Letters.
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2008Consumer sentiment and business cycles: a Neimark-Sacker bifurcation scenario In: Applied Economics Letters.
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2007On central bank interventions and transaction taxes In: Applied Financial Economics Letters.
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2010Consumer sentiment and countercyclical fiscal policies In: International Review of Applied Economics.
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2012Converse trading strategies, intrinsic noise and the stylized facts of financial markets In: Quantitative Finance.
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2016Herding behavior and volatility clustering in financial markets.(2016) In: BERG Working Paper Series.
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2003Market-maker, inventory control and foreign exchange dynamics In: Quantitative Finance.
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2008A bull and bear model of interacting ?financial markets. Part I: dynamics in one and two dimensions In: Working Papers.
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2008A bull and bear model of interacting ?financial markets. Part II: dynamics in three dimensions In: Working Papers.
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2005Butter Mountains, Milk Lakes and Optimal Price Limiters In: Research Paper Series.
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2005CONSUMER BEHAVIOR AND FLUCTUATIONS IN ECONOMIC ACTIVITY In: Advances in Complex Systems (ACS).
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2006THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS In: International Journal of Modern Physics C (IJMPC).
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2003BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC In: International Journal of Theoretical and Applied Finance (IJTAF).
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2006TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019Housing markets, expectation formation and interest rates In: BERG Working Paper Series.
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2019Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets In: BERG Working Paper Series.
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2020Heterogeneous expectations, housing bubbles and tax policy In: BERG Working Paper Series.
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2009A simple agent-based financial market model: Direct interactions and comparisons of trading profits In: BERG Working Paper Series.
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2011On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets In: BERG Working Paper Series.
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2011Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation In: BERG Working Paper Series.
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2011Interactions between the real economy and the stock market In: BERG Working Paper Series.
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2012Agent-based models for economic policy design: Two illustrative examples In: BERG Working Paper Series.
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2013Positive welfare effects of trade barriers in a dynamic equilibrium model In: BERG Working Paper Series.
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2015Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach In: BERG Working Paper Series.
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2009Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models In: Economics Discussion Papers.
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2010Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models.(2010) In: Economics - The Open-Access, Open-Assessment E-Journal.
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