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Frank Westerhoff

Frank Westerhoff

D-Index & Metrics

Economics and Finance

D-Index
44
Citations
5339
World Ranking
1887
National Ranking
59

Overview

Frank Westerhoff is affiliated with the University of Bamberg in Germany. Their research primarily focuses on the intersection of economics, econometrics, and finance. Westerhoff's work spans complex systems, economic theories, financial markets, and mathematical dynamics, reflecting a broad engagement with both theoretical and applied aspects of these fields.

The scientist has contributed extensively to the following main areas of study:

  • Economics, Econometrics and Finance

Within these broader fields, their subfields of focus include:

  • Economics and Econometrics
  • Finance
  • Statistical and Nonlinear Physics
  • Mathematical Physics
  • Computer Networks and Communications

The key topics that Westerhoff addresses in their research are:

  • Complex Systems and Time Series Analysis
  • Economic theories and models
  • Financial Markets and Investment Strategies
  • Mathematical Dynamics and Fractals
  • Chaos control and synchronization
  • Market Dynamics and Volatility
  • Financial Risk and Volatility Modeling

Their recent publications demonstrate a diverse engagement with topics related to stock markets, macroeconomic modeling, and nonlinear dynamics. Notable papers include:

  • Heterogeneous speculators and stock market dynamics: a simple agent-based computational model, 2020, European Journal of Finance
  • HOUSING MARKETS, EXPECTATION FORMATION AND INTEREST RATES, 2020, Macroeconomic Dynamics
  • Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits, 2023, Journal of Economic Behavior & Organization
  • A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures, 2023, Chaos Solitons & Fractals
  • On boom-bust stock market dynamics, animal spirits, and the destabilizing nature of temporarily attracting virtual fixed points, 2024, Macroeconomic Dynamics

Frequent publication venues for Westerhoff's work include:

  • Journal of Economic Behavior & Organization
  • Chaos Solitons & Fractals
  • Nonlinear Dynamics
  • arXiv (Cornell University)
  • Macroeconomic Dynamics

The scientist has collaborated regularly with a core group of co-authors, which includes:

  • Noemi Schmitt
  • Laura Gardini
  • Davide Radi
  • Iryna Sushko
  • Sarah Mignot

Best Publications

  • Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

    Reiner Franke;Frank Westerhoff

  • The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach☆

    Frank H. Westerhoff;Roberto Dieci

  • MULTIASSET MARKET DYNAMICS

    Frank H. Westerhoff

  • Heterogeneous expectations, exchange rate dynamics and predictability

    Sebastiano Manzan;Frank H. Westerhoff

  • The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies

    Frank H. Westerhoff

  • Commodity markets, price limiters and speculative price dynamics

    Xue-Zhong He;Frank H. Westerhoff

  • Heterogeneous traders and the Tobin tax

    Frank Westerhoff

  • Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

    Stefan Reitz;Frank Westerhoff

  • Speculative markets and the effectiveness of price limits

    Frank Westerhoff

  • A simple model of a speculative housing market

    Roberto Dieci;Frank Westerhoff

  • Some effects of transaction taxes under different microstructures

    Paolo Pellizzari;Frank Westerhoff

  • Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation

    Reiner Franke;Frank Westerhoff

  • Commodity price cycles and heterogeneous speculators: a STAR-GARCH model

    Stefan Reitz;Frank Westerhoff

  • Analysing tax evasion dynamics via the Ising model

    Georg Zaklan;Frank Westerhoff;Dietrich Stauffer

  • Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates

    Roberto Dieci;Frank Westerhoff

  • Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market

    Frank Westerhoff;Stefan Reitz

  • On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders

    Fabio Tramontana;Frank Westerhoff;Laura Gardini

  • Estimation of a Structural Stochastic Volatility Model of Asset Pricing

    Reiner Franke;Frank Westerhoff

  • Samuelson's multiplier–accelerator model revisited

    Frank H. Westerhoff

  • Representativeness of news and exchange rate dynamics

    Sebastiano Manzan;Frank H. Westerhoff

  • Herding behaviour and volatility clustering in financial markets

    Noemi Schmitt;Frank Westerhoff

  • The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach

    Frank Westerhoff

Frequent Co-Authors

Carl Chiarella
Carl Chiarella University of Technology Sydney

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