TY - RPRT
A1 - Tramontana, Fabio
A1 - Westerhoff, Frank
A1 - Gardini, Laura
ED - Stübben, Felix
T1 - The bull and bear market model of Huang and Day: some extensions and new results
T3 - BERG working paper series - 89a
Y1 - 2013
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-61642
PB - opus
CY - Bamberg
ER -
TY - RPRT
A1 - Westerhoff, Frank H.
A1 - Franke, Reiner
ED - Stübben, Felix
T1 - Agent-based models for economic policy design : two illustrative examples
T3 - BERG working paper series - 88a
KW - Wirtschaftspolitik ; Agency-Theorie ; Online-Publikation
Y1 - 2013
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-61542
PB - opus
CY - Bamberg
ER -
TY - RPRT
A1 - Lines, Marji
A1 - Westerhoff, Frank
ED - Wenzel, Heinz-Dieter
T1 - Effects of inflation expectations on macroeconomic dynamics: extrapolative versus regressive expectations
N2 - In this paper we integrate heterogeneous inflation expectations into a simple monetary
model. Guided by empirical evidence we assume that boundedly rational agents, selecting
between extrapolative and regressive forecasting rules to predict the future inflation rate,
prefer rules that have produced low prediction errors in the past. We show that integrating
this behavioral expectation formation process into the monetary model leads to the
possibility of endogenous macroeconomic dynamics. For instance, our model replicates
certain empirical regularities such as irregular growth cycles or inflation persistence.
Moreover, we observe multi-stability via a Chenciner bifurcation.
T3 - BERG working paper series - 68
KW - extrapolative and regressive expectations
KW - dynamic predictor selection
KW - macroeconomic dynamics
KW - nonlinearities and chaos
KW - bifurcation analysis
Y1 - 2014
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-33351
SN - 978-3-931052-76-8
PB - OPUS
CY - Bamberg
ER -
TY - RPRT
A1 - Franke, Reiner
A1 - Westerhoff, Frank
T1 - Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest
N2 - In the framework of small-scale agent-based financial market models, the paper starts
out from the concept of structural stochastic volatility, which derives from different noise
levels in the demand of fundamentalists and chartists and the time-varying market shares
of the two groups. It advances several different specifications of the endogenous switching
between the trading strategies and then estimates these models by the method of simulated
moments (MSM), where the choice of the moments reflects the basic stylized facts
of the daily returns of a stock market index. In addition to the standard version of MSM
with a quadratic loss function, we also take into account how often a great number of
Monte Carlo simulation runs happen to yield moments that are all contained within their
empirical confidence intervals. The model contest along these lines reveals a strong role
for a (tamed) herding component. The quantitative performance of the winner model is
so good that it may provide a standard for future research.
T3 - BERG working paper series - 78
KW - Method of simulated moments; moment coverage ratio; herding; discrete choice approach; transition probability approach.
KW - Kreditmarkt ; Stochastisches Modell ; Online-Publikation
Y1 - 2013
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-31929
SN - 978-3-931052-88-1
PB - opus
CY - Bamberg
ER -
TY - RPRT
A1 - Dieci, Roberto
A1 - Westerhoff, Frank
T1 - On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
N2 - We develop a novel financial market model in which the stock markets of two countries
are linked via and with the foreign exchange market. To be precise, there are domestic
and foreign speculators in each of the two stock markets which rely either on linear
technical or linear fundamental trading strategies to determine their orders. Since
foreign stock market speculators require foreign currency to conduct their trades, all
three markets are connected. Our setup entails a natural nonlinearity which may cause
persistent endogenous price dynamics. Moreover, we analytically show that market
interactions can destabilize the model’s fundamental steady state.
T3 - BERG working paper series - 79
KW - Stock prices; exchange rates; market stability; technical and fundamental analysis; nonlinear market interactions; endogenous dynamics.
KW - Kreditmarkt ; Wechselkurs ; Aktienanalyse ; Dynamisches Modell ; Online-Publikation
Y1 - 2013
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-31905
SN - 978-3-931052-89-8
PB - opus
CY - Bamberg
ER -
TY - RPRT
A1 - Westerhoff, Frank
T1 - Interactions between the real economy and the stock market
N2 - We develop a simple behavioral macro model to study interactions between the real
economy and the stock market. The real economy is represented by a Keynesian goods
market approach while the setup for the stock market includes heterogeneous speculators.
Using a mixture of analytical and numerical tools we find, for instance, that speculators may
create endogenous boom-bust dynamics in the stock market which, by spilling over into the
real economy, can cause lasting fluctuations in economic activity. However, fluctuations in
economic activity may, by shaping the firms’ fundamental values, also have an impact on
the dynamics of the stock market.
T3 - BERG working paper series - 84
KW - Goods market, stock market, heterogeneous speculators, stability analysis, complex dynamics
KW - Gütermarkt ; Aktienmarkt ; Börsenspekulation ; Dynamisches Modell ; Online-Publikation
Y1 - 2012
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-24161
SN - 978-3-931052-95-9
PB - opus
CY - Bamberg
ER -
TY - RPRT
A1 - Franke, Reiner
A1 - Westerhoff, Frank
T1 - Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation
N2 - The paper proposes an elementary agent-based asset pricing model that, invoking the
two trader types of fundamentalists and chartists, comprises four features: (i) price determination
by excess demand; (ii) a herding mechanism that gives rise to a macroscopic
adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism
when the price misalignment becomes too large; and (iv) a stronger noise
component in the demand per chartist trader than in the demand per fundamentalist
trader, which implies a structural stochastic volatility in the returns. Combining analytical
and numerical methods, the interaction between these elements is studied in the
phase plane of the price and a majority index. In addition, the model is estimated by
the method of simulated moments, where the choice of the moments reflects the basic
stylized facts of the daily returns of a stock market index. A (parametric) bootstrap
procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit,
which proves to be highly satisfactory. The bootstrap also makes sure that the estimated
structural parameters are well identified.
T3 - BERG working paper series - 83
KW - Structural stochastic volatility; method of simulated moments; autocorrelation pattern; fat tails; bootstrapped p-values
KW - Capital-Asset-Pricing Modell ; Mehragentensystem ; Volabilität ; Online-Publikation
Y1 - 2012
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:473-opus4-24194
SN - 978-3-931052-93-5
PB - opus
CY - Bamberg
ER -