References for Journalarticle 2010-8

Please note: the authoritative source for references in this article is the according PDF file.

Number of references: 51

Alfarano, S., Lux, T., and Wager, F. (2005). Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model. Computational Economics, 26(1):19-49.

Aliber, R.Z., Chowdhry, B., and Yan, S. (2003). Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility. Review of Finance, 7(3):481-510.

Boswijk, P., Hommes, C.H., and Manzan, S. (2005). Behavioral Heterogeneity in Stock Prices. Tinbergen Institute, Tinbergen Institute Discussion Papers 05-052/1.

Brock, W.A., and Hommes, C.H. (1998). Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model. Journal of Economic Dynamics and Control, 22(8-9):1235-1274.

Brunnermeier, M. (2001). Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis and Herding. Oxford University Press: Oxford.

Chiarella, C. (1992). The Dynamics of Speculative Behaviour. School of Finance and Economics, University of Technology, Sydney, Working Paper Series 13.

Chiarella, C., and He, T. (2002). An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. Society for Computational Economics, Computing in Economics and Finance 2002 135.

Day, R.H., and Huang, W. (1990). Bulls, Bears and Market Sheep. Journal of Economic Behavior & Organization, 14(3):299-329.

De Grauwe, P., and Grimaldi, M. (2006). Exchange Rate Puzzles: A Tale of Switching Attractors. European Economic Review, 50(1):1-33.

Demary, M. (2008). Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-term Investors? Jahrbuecher fuer Nationaloekonomie und Statistik, 228(2+3):228-250.

Engel, C., and Hamilton, J.D. (1990). Long Swings in the Dollar: Are They in the Data and Do Markets Know It? American Economic Review, 80(4):689-713.

Farmer, J.D., and Joshi, S. (2002). The Price Dynamics of Common Trading Strategies. Journal of Economic Behavior & Organization, 49(2):149-171.

Franke, R., and Westerhoff, F. (2009). Validation of a Structural Stochastic Volatility Model of Asset Pricing. University Kiel, University Bamberg, Working Paper.

Ghonghadze, J., and Lux, T. (2009). Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach. Kiel Institute for the World Economy, Kiel Working Papers 1487.

Gilli, M., and Winker, P. (2003). A Global Optimization Heuristic for Estimating Agent-Based Models. Computational Statistics & Data Analysis, 42(3):299-312.

Haber, G. (2008). Monetary and Fiscal Policy Analysis With an Agent-Based Macroeconomic Model. Jahrbuecher fuer Nationaloekonomie und Statistik, 228(2+3):276-295.

Hau, H. (2006). The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. Journal of the European Economic Association, 4(4):862-890.

Hommes, C. (2006). Heterogeneous Agents Models in Economics and Finance. In: Handbook of Computational Economics 2: Agent-Based Computational Economics, ed. by L. Tesfatsion and K. Judd, Amsterdam: North-Holland.

Jones, C., and Seguin, P. (1997). Transaction Costs and Price Volatility: Evidence from Commission Deregulation. American Economic Review, 87(4):728-737.

Keynes, J.M. (1936). The General Theory of Employment, Interest and Money. , New York.

Kirman, A. (1991). Epidemics of Opinion and Speculative Bubbles in Financial Markets. In: Money and Financial Markets, ed. by M. Taylor, Oxford: Blackwell.

LeBaron, B. (1996). Technical Trading Rule Profitability and Foreign Exchange Intervention. National Bureau of Economic Research, Inc, NBER Working Papers 5505.

LeBaron, B. (2006). Agent-based Computational Finance. In: Handbook of Computational Economics, ed. by Leigh Tesfatsion and Kenneth L. Judd, vol. 2, chap. 24, pp. 1187-1233, Elsevier. Handbook of Computational Economics.

LeRoy, S.F., and Porter, R.D. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds. Econometrica, 49(3):555-574.

Lux, T. (1995). Herd Behaviour, Bubbles and Crashes. Economic Journal, 105(431):881-896.

Lux, T., and Marchesi, M. (1999). Scaling and Criticality in a Stochastic Multi-Agent of a Financial Market. Nature, 397:498-500.

Lux, T., and Marchesi, M. (2000). Volatility Clustering in Financial Markets: A Microsimulation of Interacting Agents. International Journal of Theoretical and Applied Finance, 3(4):675-702.

Lux, T. (2007). Applications of Statistical Physics in Finance and Economics. Christian-Albrechts-University of Kiel, Department of Economics, Economics Working Papers 2007,05.

Lux, T. (2008). Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. Kiel Institute for the World Economy, Kiel Working Papers 1424.

Lux, T. (2008). Stochastic Behavioral Asset Pricing Models and the Stylized Facts. Kiel Institute for the World Economy, Kiel Working Papers 1426.

Manski, C., and McFadden, D. (1981). Structural Analysis of Discrete Data with Econometric Applications. Cambridge: MIT Press.

Manzan, S., and Westerhoff, F. (2002). Heterogeneous Expectations, Exchange Rate Dynamics and Predictability. Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, CeNDEF Working Papers 02-14.

Menkhoff, L., and Taylor, M.P. (2006). The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis. University of Warwick, Department of Economics, The Warwick Economics Research Paper Series (TWERPS) 769.

Pelizzari, P., and Westerhoff, F. (2007). Some Effects of Transaction Taxes Under Different Microstructures. Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Series 212.

R Development Core Team (2009). R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing, Vienna, Austria.

Shiller, R.J. (1981). Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? American Economic Review, 71(3):421-436.

Taylor, M.P., and Allen, H. (1992). The Use of Technical Analysis in the Foreign Exchange Market. Journal of International Money and Finance, 11(3):304-314.

Tobin, J. (1978). A Proposal for International Monetary Reform. Cowles Foundation, Yale University, Cowles Foundation Discussion Papers 506.

Umlauf, S.R. (1993). Transaction Taxes and the Behavior of the Swedish Stock Market. Journal of Financial Economics, 33(2):227-240.

Weidlich, A., and Veit, D. (2008). Agent-Based Simulations for Electricity Market Regulation Advice: Procedures and An Example. Jahrbuecher fuer Nationaloekonomie und Statistik, 228(2+3):149-172.

Westerhoff, F. (2001). Speculative Behavior, Exchange Rate Volatility and Central Bank Interventions. Central European Journal of Operations Research, 9:31-50.

Westerhoff, F. (2002). Heterogeneous Traders and the Tobin Tax. Society for Computational Economics, Computing in Economics and Finance 2002 51.

Westerhoff, F. (2003). Speculative Markets and the Effectiveness of Price Limits. Journal of Economic Dynamics and Control, 28(3):493-508.

Westerhoff, F., and Reitz, S. (2003). Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists. Studies in Nonlinear Dynamics and Econometrics, 7(Issue 4):Article 3.

Westerhoff, F. (2004). The Effectiveness of Keynes-Tobin Transaction Taxes When Heterogeneous Agents Can Trade in Different Markets: A Behavioral Finance Approach. Society for Computational Economics, Computing in Economics and Finance 2004 14.

Westerhoff, F., and Wieland, C. (2004). Spillover Dynamics of Central Bank Interventions. German Economic Review, 5(4):435-450.

Westerhoff, F.H. (2006). Technical Analysis Based on Price-Volume Signals and The Power of Trading Breaks. International Journal of Theoretical and Applied Finance (IJTAF), 9(02):227-244.

Westerhoff, F. (2008). Exchange Rate Dynamics: A Nonlinear Survey. In: Handbook of Complexity Research, ed. by J.B. Rosser, Cheltenham: Elgar.

Westerhoff, F. (2008). The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies. Jahrbuecher fuer Nationaloekonomie und Statistik, 228(2+3):195-227.

Wieland, C., and Westerhoff, F. (2005). Exchange Rate Dynamics, Central Bank Interventions and Chaos Control Methods. Journal of Economic Behavior and Organization, 58(1):117-132.

Winker, P., Gilli, M., and Jeleskovic, V. (2007). An Objective Function for Simulation Based Inference on Exchange Rate Data. Swiss Finance Institute, Swiss Finance Institute Research Paper Series 07-01.