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    <title>OPUS 4 Latest Documents RSS Feed</title>
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    <link>http://opus4.kobv.de/opus4-bamberg/index/index/</link>
    <pubDate>Thu, 31 Jan 2013 12:46:45 +0100</pubDate>
    <lastBuildDate>Thu, 31 Jan 2013 12:46:45 +0100</lastBuildDate>
    <item>
      <title>The bull and bear market model of Huang and Day: some extensions and new results</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2418</link>
      <description/>
      <author>Fabio Tramontana; Frank Westerhoff; Laura Gardini</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2418</guid>
      <pubDate>Thu, 31 Jan 2013 12:46:45 +0100</pubDate>
    </item>
    <item>
      <title>Removing systematic patterns in returns in a financial market model by artificially intelligent traders</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2422</link>
      <description>The unpredictability of returns counts as a stylized fact of financial markets. To reproduce this fact, modelers&#13;
usually implement noise terms − a method with several downsides. Above all, systematic patterns are not&#13;
eliminated but merely blurred. The present article introduces a model in which systematic patterns are removed&#13;
endogenously. This is achieved in a reality-oriented way: Intelligent traders are able to identify patterns and&#13;
exploit them. To identify and predict patterns, a very simple artificial neural network is used. As neural network&#13;
mimic the cognitive processes of the human brain, this method might be regarded as a quite accurate way of how&#13;
traders identify patterns and forecast prices in reality. The simulation experiments show that the artificial traders&#13;
exploit patterns effectively and thereby remove them, which ultimately leads to the unpredictability of prices.&#13;
Further results relate to the influence of pattern exploiters on market efficiency.</description>
      <author>Björn-Christopher Witte</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2422</guid>
      <pubDate>Fri, 25 Jan 2013 12:02:31 +0100</pubDate>
    </item>
    <item>
      <title>Interactions between the real economy and the stock market</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2416</link>
      <description>We develop a simple behavioral macro model to study interactions between the real&#13;
economy and the stock market. The real economy is represented by a Keynesian goods&#13;
market approach while the setup for the stock market includes heterogeneous speculators.&#13;
Using a mixture of analytical and numerical tools we find, for instance, that speculators may&#13;
create endogenous boom-bust dynamics in the stock market which, by spilling over into the&#13;
real economy, can cause lasting fluctuations in economic activity. However, fluctuations in&#13;
economic activity may, by shaping the firms’ fundamental values, also have an impact on&#13;
the dynamics of the stock market.</description>
      <author>Frank Westerhoff</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2416</guid>
      <pubDate>Fri, 25 Jan 2013 11:57:52 +0100</pubDate>
    </item>
    <item>
      <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>
    </item>
    <item>
      <title>The social welfare function of forests in the light of the theory of public goods</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/1724</link>
      <description/>
      <author>János Seregi; Zsuzsanna Lelovics; László Balogh</author>
      <category>book</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/1724</guid>
      <pubDate>Fri, 07 Dec 2012 11:39:58 +0100</pubDate>
    </item>
    <item>
      <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>
    </item>
    <item>
      <title>Working time preferences, hours mismatch and well-being of couples: Are there spillovers?</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2014</link>
      <description/>
      <author>Christoph Wunder; Guido Heineck</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2014</guid>
      <pubDate>Tue, 04 Dec 2012 16:28:46 +0100</pubDate>
    </item>
    <item>
      <title>Do literacy and numeracy pay off? : on the relationship between basic skills and earnings</title>
      <link>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2012</link>
      <description/>
      <author>Manfred Antoni; Guido Heineck</author>
      <category>workingpaper</category>
      <guid>http://opus4.kobv.de/opus4-bamberg/frontdoor/index/index/docId/2012</guid>
      <pubDate>Tue, 04 Dec 2012 16:09:10 +0100</pubDate>
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