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    <pubDate>Sun, 03 Nov 2013 13:57:54 +0100</pubDate>
    <lastBuildDate>Sun, 03 Nov 2013 13:57:54 +0100</lastBuildDate>
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      <title>Converse trading strategies, intrinsic noise and the stylized facts of financial markets</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2854</link>
      <description/>
      <author>Frank Westerhoff; Reiner Franke</author>
      <category>article</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2854</guid>
      <pubDate>Mon, 11 Mar 2013 13:57:54 +0100</pubDate>
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      <title>Structural stochastic volatility in asset pricing dynamics: Estimation and model contest</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2360</link>
      <description/>
      <author>Reiner Franke; Frank Westerhoff</author>
      <category>article</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2360</guid>
      <pubDate>Mon, 28 Jan 2013 15:16:44 +0100</pubDate>
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      <title>Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2419</link>
      <description>The paper proposes an elementary agent-based asset pricing model that, invoking the&#13;
two trader types of fundamentalists and chartists, comprises four features: (i) price determination&#13;
by excess demand; (ii) a herding mechanism that gives rise to a macroscopic&#13;
adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism&#13;
when the price misalignment becomes too large; and (iv) a stronger noise&#13;
component in the demand per chartist trader than in the demand per fundamentalist&#13;
trader, which implies a structural stochastic volatility in the returns. Combining analytical&#13;
and numerical methods, the interaction between these elements is studied in the&#13;
phase plane of the price and a majority index. In addition, the model is estimated by&#13;
the method of simulated moments, where the choice of the moments reflects the basic&#13;
stylized facts of the daily returns of a stock market index. A (parametric) bootstrap&#13;
procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit,&#13;
which proves to be highly satisfactory. The bootstrap also makes sure that the estimated&#13;
structural parameters are well identified.</description>
      <author>Reiner Franke; Frank Westerhoff</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2419</guid>
      <pubDate>Fri, 25 Jan 2013 11:52:35 +0100</pubDate>
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      <title>Agent-based models for economic policy design : two illustrative examples</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2073</link>
      <description/>
      <author>Frank H. Westerhoff; Reiner Franke</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2073</guid>
      <pubDate>Fri, 07 Dec 2012 11:07:50 +0100</pubDate>
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