Details about Frank Westerhoff

Access statistics for papers by Frank Westerhoff.

Last updated 2009-11-02. Update your information in the RePEc Author Service.

Short-id: pwe22

Working Papers

2009

1. Some effects of transaction taxes under different microstructures
   Working Papers, Department of Applied Mathematics, University of Venice
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2007)

2008

2. A 'bull and bear' model of interacting financial markets. Part I: dynamics in one and two dimensions
   Working Papers, University of Urbino Carlo Bo, Department of Economics
3. A 'bull and bear' model of interacting financial markets. Part II: dynamics in three dimensions
   Working Papers, University of Urbino Carlo Bo, Department of Economics
4. Analysing tax evasion dynamics via the Ising model
   Quantitative Finance Papers, arXiv.org
   See also Journal Article in Journal of Economic Interaction and Coordination (2009)

2005

5. Butter Mountains, Milk Lakes and Optimal Price Limiters
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
   See also Journal Article in Applied Economics Letters (2007)

2004

6. A behavioral cobweb model with heterogeneous speculators
   Computing in Economics and Finance 2004, Society for Computational Economics
7. Commodity Markets, Price Limiters and Speculative Price Dynamics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
   See also Journal Article in Journal of Economic Dynamics and Control (2005)
8. Market depth and price dynamics: A note
   Quantitative Finance Papers, arXiv.org
9. Target Zone Interventions and Coordination of Expectations
   Computing in Economics and Finance 2004, Society for Computational Economics
10. The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach
    Computing in Economics and Finance 2004, Society for Computational Economics View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2003

11. Multi-Asset Market Dynamics
    Computing in Economics and Finance 2003, Society for Computational Economics View citations
    See also Journal Article in Macroeconomic Dynamics (2004)
12. Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
    CFS Working Paper Series, Center for Financial Studies View citations
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2003)
13. Tobin tax and market depth
    Quantitative Finance Papers, arXiv.org

2002

14. Heterogeneous Expectations, Exchange Rate Dynamics and Predictability
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations
    See also Journal Article in Journal of Economic Behavior & Organization (2007)
15. Heterogeneous Traders and the Tobin Tax
    Computing in Economics and Finance 2002, Society for Computational Economics View citations
    See also Journal Article in Journal of Evolutionary Economics (2003)
16. Representativeness of News and Exchange Rate Dynamics
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
    See also Journal Article in Journal of Economic Dynamics and Control (2005)

2001

17. Expectations Driven Distortions in the Foreign Exchange Market
    Computing in Economics and Finance 2001, Society for Computational Economics
    Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001)
    See also Journal Article in Journal of Economic Behavior & Organization (2003)

2000

18. EXPLAINING EXCHANGE RATE VOLATILITY WITH A GENETIC ALGORITHM
    Computing in Economics and Finance 2000, Society for Computational Economics

Undated

19. Exchange rate dynamics, central bank interventions and chaos control methods
    Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics
    See also Journal Article in Journal of Economic Behavior & Organization (2005)
20. Spill-over dynamics of central bank interventions
    Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics
    See also Journal Article in German Economic Review (2004)

Journal Articles

2009

1. A Metzlerian business cycle model with nonlinear heterogeneous expectations
   Economic Modelling, 2009, 26, (3), 715-720
2. Analysing tax evasion dynamics via the Ising model
   Journal of Economic Interaction and Coordination, 2009, 4, (1), 1-14
   See also Working Paper (2008)

2008

3. Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over
   Structural Change and Economic Dynamics, 2008, 19, (3), 249-259
4. Consumer sentiment and business cycles: a Neimark-Sacker bifurcation scenario
   Applied Economics Letters, 2008, 15, (15), 1201-1205
5. HEURISTIC EXPECTATION FORMATION AND BUSINESS CYCLES: A SIMPLE LINEAR MODEL
   Metroeconomica, 2008, 59, (1), 47-56
6. The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies
   Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2008, 228, (2+3), 195-227

2007

7. A note on interactions-driven business cycles
   Journal of Economic Interaction and Coordination, 2007, 2, (1), 85-91 View citations
8. Butter mountains, milk lakes and optimal price limiters
   Applied Economics Letters, 2007, 14, (15), 1131-1136
   See also Working Paper (2005)
9. Commodity price cycles and heterogeneous speculators: a STAR–GARCH model
   Empirical Economics, 2007, 33, (2), 231-244 View citations
10. Heterogeneous expectations, exchange rate dynamics and predictability
    Journal of Economic Behavior & Organization, 2007, 64, (1), 111-128 View citations
    See also Working Paper (2002)
11. On central bank interventions and transaction taxes
    Applied Financial Economics Letters, 2007, 3, (1), 11-14

2006

12. Business Cycles, Heuristic Expectation Formation, and Contracyclical Policies
    Journal of Public Economic Theory, 2006, 8, (5), 821-838
13. Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (4)
14. Samuelson's multiplier--accelerator model revisited
    Applied Economics Letters, 2006, 13, (2), 89-92
15. TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (02), 227-244
16. The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach
    Journal of Economic Dynamics and Control, 2006, 30, (2), 293-322 View citations
    See also Working Paper (2004)

2005

17. CONSUMER BEHAVIOR AND FLUCTUATIONS IN ECONOMIC ACTIVITY
    Advances in Complex Systems (ACS), 2005, 08, (02), 209-215
18. Commodity markets, price limiters and speculative price dynamics
    Journal of Economic Dynamics and Control, 2005, 29, (9), 1577-1596 View citations
    See also Working Paper (2004)
19. Exchange rate dynamics, central bank interventions and chaos control methods
    Journal of Economic Behavior & Organization, 2005, 58, (1), 117-132 View citations
    See also Working Paper
20. Representativeness of news and exchange rate dynamics
    Journal of Economic Dynamics and Control, 2005, 29, (4), 677-689 View citations
    See also Working Paper (2002)

2004

21. Does liquidity in the FX market depend on volatility?
    Economics Bulletin, 2004, 6, (10), 1-8
22. MULTIASSET MARKET DYNAMICS
    Macroeconomic Dynamics, 2004, 8, (05), 596-616 View citations
    See also Working Paper (2003)
23. Spillover Dynamics of Central Bank Interventions
    German Economic Review, 2004, 5, (4), 435-450
    See also Working Paper

2003

24. Central bank intervention and feedback traders
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (5), 419-427 View citations
25. Expectations driven distortions in the foreign exchange market
    Journal of Economic Behavior & Organization, 2003, 51, (3), 389-412 View citations
    See also Working Paper (2001)
26. Heterogeneous traders and the Tobin tax
    Journal of Evolutionary Economics, 2003, 13, (1), 53-70 View citations
    See also Working Paper (2002)
27. Modeling Exchange Rate Behavior with a Genetic Algorithm
    Computational Economics, 2003, 21, (3), 209-229 View citations
28. Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (4) View citations
    See also Working Paper (2003)
29. Speculative markets and the effectiveness of price limits
    Journal of Economic Dynamics and Control, 2003, 28, (3), 493-508 View citations