References

This folder holds the following references to publications, sorted by year and author.

There are 41 references in this bibliography folder.

Hermsen, O (2010).
Does Basel II destabilize financial markets? An agent-based financial market perspective
Eur. Phys. J. B, 73(1):29-40.

BBC (2009).
Secret bank rescue loans revealed
No source specified

Brock, W, Hommes, C, and Wagener, F (2009).
More hedging instruments may destabilize markets
Journal of Economic Dynamics and Control, 33(11):1912 - 1928.

Chen, S, Chang, C, and Du, Y (2009).
Agent-based economic models and econometrics
Knowledge Engineering Review.

Chiarella, C, Dieci, R, and He, X (2009).
Heterogeneity, market mechanisms, and asset price dynamics
In: Handbook of Financial Markets: Dynamics and Evolution, ed. by Thorsten Hens and Klaus Reiner Schenk-Hoppé, pp. 277 - 344, North-Holland, San Diego. (ISBN: 978-0-12-374258-2).

Franke, R (2009).
On the specification of noise in two agent-based asset pricing models
University of Kiel.

Franke, R and Westerhoff, F (2009).
Estimation of a structural stochastic volatility model of asset pricing
Universities of Bamberg and Kiel.

Franke, R and Westerhoff, F (2009).
Validation of a structural stochastic volatility model of asset pricing
Universities of Bamberg and Kiel.

Hommes, C and Wagener, F (2009).
Complex Evolutionary Systems in Behavioral Finance
In: Handbook of Financial Markets: Dynamics and Evolution, ed. by Thorsten Hens and Klaus Reiner Schenk-Hoppé, pp. 217 - 276, North-Holland, San Diego. (ISBN: 978-0-12-374258-2).

Lux, T (2009).
Stochastic behavioral asset-pricing models and the stylized facts
In: Handbook of Financial Markets: Dynamics and Evolution, ed. by Thorsten Hens and Klaus Reiner Schenk-Hoppé, pp. 161 - 215, North-Holland, San Diego. (ISBN: 978-0-12-374258-2).

The_Economist (2009).
Bigger than you thought
No source specified

Thurner, S, Farmer, D, and Geanakoplos, J (2009).
Leverage causes fat tails and clustered volatility
arXiv, Working Paper.

Westerhoff, F (2009).
Exchange rate dynamics: a nonlinear survey
In: Handbook of research on complexity, ed. by Rosser, J.B., Jr., pp. 287-325, Cheltenham: Edward Elgar.

Witte, B (2009).
Temporal information gaps and market efficiency: a dynamic behavioral analysis
University of Bamberg, BERG Working Paper(64).

Westerhoff, F (2008).
The use of agent-based financial market models to test the effectiveness of regulatory policies
Journal of Economics and Statistics, 228:195-227.

Alfarano, S and Lux, T (2007).
A noise trader model as a generator of apparent financial power laws and long memory
Macroeconomic Dynamics, 11(S1):80-101.

Gaunersdorfer, A and Hommes, C (2007).
A nonlinear structural model for volatility clustering
In: Long memory in economics, ed. by Teyssière, G. and Kirman, A., Berlin: Springer.

Chiarella, C, Dieci, R, He, X, and Hommes, C (2006).
A dynamic analysis of moving average rules
Journal of Economic Dynamics and Control, 30(9-10):1729 - 1753.

Chiarella, C, Dieci, R, He, X, and Hommes, C (2006).
Moving average rules as a source of market instability
Physica A: Statistical Mechanics and its Applications, 370(1):12 - 17.

LeBaron, B (2006).
Chapter 24 agent-based computational finance
In: , ed. by L. Tesfatsion and K.L. Judd, vol. 2, pp. 1187 - 1233, Elsevier. Handbook of Computational Economics.

Westerhoff, F and Dieci, R (2006).
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, 30(2):293-322.

Östberg, P (2006).
Disclosure, investment and regulation
Journal of Financial Intermediation, 15(3):285 - 306.

He, X and Westerhoff, F (2005).
Commodity markets, price limiters and speculative price dynamics
Journal of Economic Dynamics and Control, 29(9):1577-1596.

Scalas, E, Cincotti, S, Dose, C, and Raberto, M (2005).
Fraudulent agents in an artificial financial market
In: Nonlinear dynamics and heterogeneous interacting agents, ed. by Lux, T., Reitz, S. and Samanidou, E., pp. 317-326, Berlin: Springer.

Wieland, C and Westerhoff, F (2005).
Exchange rate dynamics, central bank interventions and chaos control methods
Journal of Economic Behavior & Organization, 58(1):117 - 132.