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Quantitative Finance Volume 12, 2012 - Issue 3
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Research Papers

Converse trading strategies, intrinsic noise and the stylized facts of financial markets

Frank Westerhoff Department of Economics, University of Bamberg, Bamberg, GermanyCorrespondence[email protected]
&
Reiner Franke Department of Economics, University of Kiel, Kiel, Germany
Pages 425-436 | Received 30 Apr 2009, Accepted 23 Jun 2010, Published online: 13 Dec 2010

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JingRu Ji, Donghua Wang & JingQing Tu. (2018) Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets. Quantitative Finance 18:12, pages 2067-2083.
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Wei Zhang, Pengfei Wang, Xiao Li & Dehua Shen. (2018) Some stylized facts of the cryptocurrency market. Applied Economics 50:55, pages 5950-5965.
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Laura Gardini, Davide Radi, Noemi Schmitt, Iryna Sushko & Frank Westerhoff. (2022) Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. Journal of Economic Dynamics and Control 145, pages 104545.
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Carolin Martin, Noemi Schmitt & Frank Westerhoff. (2020) HOUSING MARKETS, EXPECTATION FORMATION AND INTEREST RATES. Macroeconomic Dynamics 26:2, pages 491-532.
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Mario Ivan Contreras Valdez & Daniel Cerecedo Hernandez. 2022. Data Analytics Applications in Emerging Markets. Data Analytics Applications in Emerging Markets 93 104 .
Noemi Schmitt. (2020) HETEROGENEOUS EXPECTATIONS AND ASSET PRICE DYNAMICS. Macroeconomic Dynamics 25:6, pages 1538-1568.
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Giovanni Campisi, Silvia Muzzioli & Alberto Zaffaroni. (2021) Nonlinear dynamics in asset pricing: the role of a sentiment index. Nonlinear Dynamics 105:3, pages 2509-2523.
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Saskia ter Ellen, Cars H. Hommes & Remco C.J. Zwinkels. (2021) Comparing behavioural heterogeneity across asset classes. Journal of Economic Behavior & Organization 185, pages 747-769.
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Zhenxi Chen. (2019) Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. The Manchester School 88:2, pages 262-281.
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Jingru Ji, Donghua Wang & Dinghai Xu. (2019) Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market. Economic Modelling 80, pages 383-391.
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Carolin Martin & Frank Westerhoff. (2019) Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model. Jahrbücher für Nationalökonomie und Statistik 239:4, pages 627-660.
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Roberto Dieci & Frank Westerhoff. (2016) Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach. Journal of Economic Dynamics and Control 71, pages 21-44.
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Antony Jackson & Daniel Ladley. (2016) Market ecologies: The effect of information on the interaction and profitability of technical trading strategies. International Review of Financial Analysis 47, pages 270-280.
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Reiner Franke & Frank Westerhoff. (2014) Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation. Journal of Economic Interaction and Coordination 11:1, pages 1-34.
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Alessandro Carraro & Giorgio Ricchiuti. (2015) Heterogeneous fundamentalists and market maker inventories. Chaos, Solitons & Fractals 79, pages 73-82.
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Fabio Tramontana, Frank Westerhoff & Laura Gardini. (2015) A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities. Mathematics and Computers in Simulation 108, pages 16-40.
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Tae-Seok Jang. (2013) Identification of Social Interaction Effects in Financial Data. Computational Economics 45:2, pages 207-238.
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Tae-Seok Jang. 2015. Agent-Based Approaches in Economic and Social Complex Systems VIII. Agent-Based Approaches in Economic and Social Complex Systems VIII 161 176 .
Fabio Tramontana, Frank Westerhoff & Laura Gardini. (2013) The bull and bear market model of Huang and Day: Some extensions and new results. Journal of Economic Dynamics and Control 37:11, pages 2351-2370.
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Fabio Tramontana & Frank Westerhoff. 2013. Global Analysis of Dynamic Models in Economics and Finance. Global Analysis of Dynamic Models in Economics and Finance 205 227 .
Roberto Dieci & Frank Westerhoff. (2011) A simple model of a speculative housing market. Journal of Evolutionary Economics 22:2, pages 303-329.
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Roberto Dieci & Frank Westerhoff. (2015) Heterogeneous Expectations, Boom-Bust Housing Cycles, and Supply Conditions: A Nonlinear Dynamics Approach. SSRN Electronic Journal.
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