Universität Bamberg - Logo

Prof. Dr. Frank Westerhoff

University of Bamberg

Department of Economics

Feldkirchenstrasse 21

96045 Bamberg

Germany

Tel.: [+49] (951) 863-2634

Fax: [+49] (951) 863-2635

Email: frank.westerhoff(at)uni-bamberg.de

Sprechstunde: Mittwoch 13:00 - 14:00 Uhr

A Short Biographical Sketch

Frank Westerhoff obtained his doctoral degree from the University of Osnabrück in 2002, followed by a habilitation degree in 2005. After a brief stint at the University of Bonn, he joined the University of Bamberg in 2006 where he was appointed Professor of Economics and currently holds the Chair of Economic Policy. Frank Westerhoff develops, calibrates and estimates small scale, behavioral, agent-based models to investigate the dynamics of financial markets and the macroeconomy. These models are also used to study the effects of policy measures such as transaction taxes, central bank interventions or monetary and fiscal policy rules. Frank Westerhoff is/was on the editorial boards of the Journal of Economic Behavior and Organization and the Journal of Economic Dynamics and Control. He has published about 60 papers in 40 international journals with 20 clever and smart co-authors.

For more information see his full pdf CV.

Recent Working Papers

Franke, R. and Westerhoff, F. (2011):
Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation.
BERG Working Paper No. 83, University of Bamberg.
Substantially revised and extended version of "Validation of a structural stochastic volatility model of asset pricing.
pdf Paper

Hilker, F. and Westerhoff, F. (2005):
Simple models of controlling chaotic population dynamics.
pdf Paper

Publications

Tuinstra, J., Wegener, M. and Westerhoff, F. (2014): Positive welfare effects of trade barriers in a dynamic partial equilibrium model.
Journal of Economic Dynamics and Control, in press.
pdf Paper

Schmitt, N. and Westerhoff, F. (2014): Speculative behavior and the dynamics of interacting stock markets.
Journal of Economic Dynamics and Control, in press.
pdf Paper

Westerhoff, F. and Franke, R. (2014): Agent-based models for economic policy design: two illustrative examples. In: Chen, S.-H., Kaboudan, M. and Du, Y,-R. (eds.): OUP Handbook on Computational Economics and Finance.
Oxford University Press, Oxford, in press.
pdf Paper

Tramontana, F., Westerhoff, F. and Gardini, L. (2014):
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets.
Decisions in Economics and Finance, Vol. 37, 27-51.
pdf Paper

Tramontana, F., Westerhoff, F. and Gardini, L. (2014):
A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities.
Mathematics and Computers in Simulation, in press.
pdf Paper

Dieci, R. and Westerhoff, F. (2013):
On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets.
Applied Mathematics and Computation, Vol. 221, 306-328.
pdf Paper

Dieci, R. and Westerhoff, F. (2013):
Modeling house price dynamics with heterogeneous speculators.
In: Bischi, G.I., Chiarella, C. and Sushko, I. (eds): Global Dynamics in Economics and Finance. Essays in Honour of Laura Gardini.
Springer, Berlin, 35-61.
pdf Paper

Tramontana, F. and Westerhoff, F. (2013):
One-dimensional discontinuous piecewise-linear maps and the dynamics of financial markets.
In: Bischi, G.I., Chiarella, C. and Sushko, I. (eds): Global Dynamics in Economics and Finance. Essays in Honour of Laura Gardini.
Springer, Berlin, 205-227.
pdf Paper

Tramontana, F., Westerhoff, F. and Gardini, L. (2013): The bull and bear market model of Huang and Day: Some extensions and new results.
Journal of Economic Dynamics and Control, Vol. 37, 2351-2370.
pdf Paper

Westerhoff, F. (2012):
Interactions between the real economy and the stock market: A simple agent-based approach.
Discrete Dynamics in Nature and Society, Vol. 2012, Article ID 504840.
pdf Paper

Dieci, R. and Westerhoff, F. (2012):
A simple model of the speculative housing market.
Journal of Evolutionary Economics, Vol. 22, 303-329.
pdf Paper

Franke, R. and Westerhoff, F. (2012):
Structural stochastic volatility in asset pricing dynamics: estimation and model contest.
Journal of Economic Dynamics and Control, Vol. 36, 1193-1211.
pdf Paper

Lines, M. and Westerhoff, F. (2012):
Effects of Inflation expectations on macroeconomics dynamics: extrapolative versus regressive expectations.
Studies in Nonlinear Dynamics and Econometries, Vol. 16, Issue 4 Article 7.
pdf Paper

Tramontana, F., Gardini, L. and Westerhoff, F. (2011):
Heterogeneous speculators and asset price dynamics: further results from a one-dimensional discontinuous piecewise-linear map.
Computational Economics, Vol. 38, 329-347.
pdf Paper

Wegener, M. and Westerhoff, F. (2012):
Evolutionary Competition Between Prediction Rules and the Emergence of Business Cycles within Metzler's Inventory Model.
Journal of Evolutionary Economics, Vol. 22, 251-273.
pdf Paper

Franke, R. and Westerhoff, F. (2011):
Estimation of a structural stochastic volatility model of asset pricing.
Computational Economics, Vol. 38, 53-83.
pdf Paper 

Westerhoff, F. and Franke, R. (2012):
Converse trading strategies, intrinsic noise and the stylized facts of financial markets.
Quantitative Finance, Vol. 12, 425-436.
pdf Paper

Dieci, R. and Westerhoff, F. (2010):
Interacting cobweb markets.
Journal of Economic Behavior and Organization, Vol. 75, 461-481.
pdf Paper

Westerhoff, F. (2010):
An agent-based macroeconomic model with interacting firms, socio-economic opinion formation and optimistic/pessimistic sales expectations.
New Journal of Physics, Vol. 12, 075035.
pdf Paper

Hermsen, O., Witte, B.-C. and Westerhoff, F. (2010):
Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models.
Economics: The Open-Access, Open-Assessment E-Journal, Vol. 4,
Article ID: 2010-7
pdf Paper

Dieci, R. and Westerhoff, F. (2010):
Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates.
Journal of Economic Dynamics and Control, Vol. 34, 743-764.
pdf Paper

Tramontana, F., Gardini, L. and Westerhoff, F. (2010):
Intricate asset price dynamics and one-dimensional discontinuous maps.
In: Puu, T. and Panchuck, A. (eds): Advances in nonlinear economic dynamics.
Nova Science Publishers, in press.
pdf Paper

Westerhoff, F. and Wieland, C. (2010):
A behavioral cobweb model with heterogeneous speculators.
Economic Modelling, Vol. 27, 1136-1143.
pdf Paper

Tramontana, F., Westerhoff, F. and Gardini, L. (2010):
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders.
Journal of Economic Behavior and Organization, Vol. 74, 187-205.
pdf Paper

Lines, M. and Westerhoff, F. (2010):
Inflation expectations and macroeconomic dynamics: the case of rational versus extrapolative expectations.
Journal of Economic Dynamics and Control, Vol. 34, 246-257.
pdf Paper

Westerhoff, F. (2009):
Agentenbasierte Finanzmarktmodelle.
uni.vers, Vol. 15, 8-11
pdf Paper

Pellizzari, P. and Westerhoff, F. (2009):
Some effects of transaction taxes under different microstructures.
Journal of Economic Behavior and Organization, Vol. 72, 850-863.
pdf Paper

Dieci, R. and Westerhoff, F. (2009):
Stability analysis of a cobweb model with market interactions.
Applied Mathematics and Computation, Vol. 215, 2011-2023.
pdf Paper

Westerhoff, F. (2009):
A simple agent-based financial market model: direct interactions and comparisons of trading profits.
In: Chiarella C., Bischi G.I., Gardini L. (eds.): Nonlinear dynamics in economics, finance and the social sciences. Springer, 313-332.
pdf Paper

Tramontana, F., Gardini, L., Dieci, R. and Westerhoff, F. (2009):
Global bifurcation in a three dimensional financial model of "bull and bear" interactions.
In: Chiarella C., Bischi G.I., Gardini L. (eds.): Nonlinear dynamics in economics, finance and the social sciences, Springer, 333-352.
pdf Paper

Tramontana, F., Gardini, L., Dieci, R. and Westerhoff, F. (2009):
The emergence of "bull and bear" dynamics in a nonlinear model of interacting markets.
Discrete Dynamics in Nature and Society, Vol. 2009, Article ID 310471.    
pdf Paper

Lux, T. and Westerhoff, F. (2009)
Economics crisis
Nature Physics, Vol. 5, 2-3.
externer Link folgt Paper

Wegener, M., Westerhoff, F. and Zaklan, G. (2009):
A Metzlerian business cycle model with nonlinear heterogeneous expectations.
Economic Modelling, Vol. 26, 715-720.
pdf Paper

Zaklan, G., Westerhoff, F. and Stauffer, D. (2009):
Analysing tax evasion dynamics via the Ising model.
Journal of Economics Interaction and Coordination, Vol. 4, 1-14.
pdf Paper

Westerhoff, F. (2009):
Exchange rate dynamics: a nonlinear survey.
In: Rosser, J.B., Jr. (ed): Handbook of Research on Complexity. Edward Elgar, Cheltenham, 287-325.
pdf Paper

Sushko, I., Wegener, M., Westerhoff, F. and Zaklan, G. (2009):
Endogenous business cycle dynamics within the inventory model of Metzler: Adding an inventory floor.
Nonlinear Dynamics in Psychology and Life Sciences, Vol.13, 223-233.
pdf Paper

Westerhoff, F. (2008):
Consumer sentiment and business cycles: A Neimark-Sacker bifurcation scenario.
Applied Economics Letters, Vol. 15, 1201-1205.
pdf Paper (pdf)

Westerhoff, F. and Hohnisch, M. (2010)
Consumer Sentiment and Countercyclical Fiscal Policies.
International Review of Applied Economics, Vol. 24, 609-618.
pdf Paper

Zaklan, G., Lima, W. and Westerhoff, F. (2008):
Controlling tax evasion fluctuations.
Physica A, Vol. 387, 5857-5861.
pdf Paper

Westerhoff, F. (2008):
The use of agent-based financial market models to test the effectiveness of regulatory policies.
Jahrbücher für Nationalökonomie und Statistik (Journal of Economics and Statistics), Vol. 228, 195-227.
pdf Paper

Kopel, M., Westerhoff F. and Wieland, C. (2008):
Regulating complex dynamics in firms and economics systems.
Chaos, Solitons and Fractals, Vol. 38, 911-919.
pdf Paper (pdf)

Hohnisch, M. and Westerhoff, F. (2008):
Business cycle synchronization in a simple Keynesian macro model with socially-transmitted economic sentiment and international sentiment spill-over.
Structural Change and Economic Dynamics, Vol. 19, 249-259.
pdf Paper

Westerhoff, F. (2008):
Heuristic expectation formation and business cycles: A simple linear model.
Metroeconomica, Vol. 59, 47-56.
pdf Paper (pdf)

Corron, N., He, X.-Z. and Westerhoff, F. (2007):
Butter mountains, milk lakes and optimal price limiters.
Applied Economics Letters, Vol. 14, 1131-1136.
pdf Paper (pdf)

Reitz, S. and Westerhoff, F. (2007):
Commodity price cycles and heterogeneous speculators: A STAR-GARCH model.
Empirical Economics, Vol. 33, 231-244.
pdf Paper (pdf)

Manzan, S. and Westerhoff, F. (2007):
Heterogeneous expactations, exchange rate dynamics and predictability.
Journal of Economic Behavior and Organization, Vol. 64, 111-128.
pdf Paper (pdf)

Hilker, F. and Westerhoff, F. (2007):
Preventing extinction and mass outbreaks in irregularly fluctuating populations.
American Naturalist, Vol. 170, 232-241.
pdf Paper (pdf) 

Westerhoff, F. (2007):
On central bank interventions and transaction taxes.
Applied Financial Economics Letters, Vol. 3, 11-14.
pdf Paper (pdf)

Hilker, F. and Westerhoff, F. (2007):
Triggering crashes in chaotic dynamics.
Physics Letters A, Vol. 362, 407-411.
pdf Paper (pdf)

Westerhoff, F. and Hohnisch, M. (2007):
A note on interactions-driven business cycles.
Journal of Economic Interaction and Coordination, Vol. 2, 85-91.
pdf Paper (pdf)

Reitz, St., Westerhoff, F. and Wieland, C. (2006):
Target zone interventions and coordination of expectations.
Journal of Optimization Theory and Applications, Vol. 128, 453-467.
pdf Paper (pdf)

Lines, M. and Westerhoff, F. (2006):
Expectations and the multiplier-accelerator model.
In: T. Puu and I. Sushko (eds.): Business cycle dynamics: Models and tools.
Springer-Verlag, 255-276.
pdf Paper (pdf)

Hilker, F. and Westerhoff, F. (2006):
The paradox of simple limiter control.
Physical Review E, 73, 05291 (3).
pdf Paper (pdf)

Ehrenstein, G. and Westerhoff, F. (2006):
The working of circuit beakers within percolation models for financial markets.
International Journal of Modern Physics C, Vol. 17, 299-304.
pdf Paper (pdf)

Westerhoff, F. (2006):
Technical analysis based on price-volume signal and the power of trading breaks.
International Journal of Theoretical and Applied Finance, Vol. 9, 227-244.
pdf Paper (pdf)

Westerhoff, F. (2006):
Samuelson's multiplier-accelerator model revisited.
Applied Economics Letters, Vol. 13, 89-92.
pdf Paper (pdf)

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 Economics Dynamics and Control, Vol. 30, 293-322.
Paper (pdf)
Read a discussion in the New Scientist (pdf text only, pdf article)

Westerhoff, F. (2006):
Nonlinear expectation formation, endogenous business cycles and stylized facts.
Studies in Nonlinear Dynamics and Econometrics, Volume 10, Issue 4, Article 4.
pdf Paper (pdf)

Westerhoff, F. (2006):
Business cycles, heuristic expectation formation and contracyclical policies.
Journal of Public Economic Theory, Vol. 8, 821-838.
pdf Paper (pdf)

Westerhoff, F. (2005):
The impact of flow analysis on exchange rate dynamics.
Finance Letters, Vol. 3, Issue 3.
pdf Paper (pdf)

Wieland, C. and Westerhoff, F. (2005):
Exchange rate dynamics, central bank intervention and chaos control methods.
Journal of Economics Behavior and Organization, Vol. 58, 117-132.
pdf Paper (pdf)

He, X.-Z. and Westerhoff, F. (2005):
Commodity markets, price limiters and speculative price dynamics.
Journal of Economics Dynamics and Control,  Vol. 29, 1577-1596.
pdf Paper (pdf)

Ehrenstein, G., Westerhoff, F. and Stauffer, D. (2005):
Tobin tax and market depth.
Quantitative Finance, Vol. 5, 213-218.
pdf Paper (pdf)

Westerhoff, F. (2005):
Consumer behavior and fluctuations in economic actiivity.
Advances in Complex Systems, Vol. 8, 209-215.
pdf Paper (pdf)

Manzan, S. and Westerhoff, F. (2005):
Representativeness of news and exchange rate dynamics.
Journal of Economic Dynamics and Control, Vol. 29, 677-689.
pdf Paper (pdf)

Westerhoff, F. (2005):
Heterogeneous traders, price-volume signals and complex asset price dynamics.
Discrete Dynamics in Nature and Society, Vol. 2005, 19-29.
pdf Paper (pdf)

Westerhoff, F. and Reitz, St. (2005):
Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the U.S. corn market.
Physica A: Statistical Mechanics and its Application, Vol. 349, 641-648.
pdf Paper (pdf)

Westerhoff, F. and Wieland, C. (2004):
Spill-over dynamics of central bank interventions.
German Economic Review, Vol. 5, 435-450.
pdf Paper (pdf)

Westerhoff, F. (2004):
Speculative dynamics, feedback traders and transaction taxes: a note.
Jahrbuch für Wirtschaftswissenschaften/Review of Economics, Vol. 55, 190-195.
pdf Paper (pdf)

Westerhoff, F. and Manzan, S. (2004):
Does liquidity in the FX market depend on volatility?
Economics Bulletin, Vol. 6, No. 10, 1-8.
pdf Paper (pdf)

Westerhoff, F. (2004):
Greed, fear and stock market dynamics.
Physica A: Statistical Mechanics and its Application, Vol. 343, 635-642.
pdf Paper (pdf)

Westerhoff, F. (2004):
Market depth and price dynamics: a note.
International Journal of Modern Physics C, Vol. 15, 1005-1012.
pdf Paper (pdf)

Westerhoff, F. (2004):
Multi asset market dynamics.
Macroeceonomic Dynamics, Vol. 8, 596-616.
pdf Paper (pdf)

Westerhoff, F. and Wieland, C. (2004):
Central bank interventions, chartists and the FX markets.
The Technical Analyst, Issue 02, 36-37.
pdf Paper (pdf)

Westerhoff, F. H. and Reitz, St. (2003):
Nonlinearities and cyclical behavior: the role of chartists and fundamentalists.
Studies in Nonlinear Dynamics and Econometrics, Vol. 7, No. 4, Article 3.
pdf Paper (pdf)

Westerhoff, F. (2003):
Market maker, inventory control and foreign exchange dynamics.
Quantitative Finance, Vol. 3, 363-369.
pdf Paper (pdf)

Westerhoff, F. (2003):
Bubbles and crashes: optimism, trend extrapolation and panic:
International Journal of Theoretical and Applied Finance, Vol. 6, 829-837.
pdf Paper (pdf)

Lawrenz, C. and Westerhoff, F. (2003):
Modeling exchange rate behavoir with a genetic algorithm.
Computational Economics, Vol. 21, 209-229.
pdf Paper (pdf)

Westerhoff, F. (2003):
Heterogeneous traders and the Tobin tax.
Journal of Evolutionary Economics, Vol. 13, 53-70.
pdf Paper (pdf)

Westerhoff, F. (2003):
Speculative behavior and asset price dynamics.
Nonlinear Dynamics, Psychology and Life Sciences, Vol. 7, 245-262
pdf Paper (pdf)

Westerhoff, F. (2003):
Central bank intervention  and feedback traders.
Journal of International Financial Markets, Institutions and Money, Vol. 13, 419-427.
pdf Paper (pdf)

Westerhoff, F. (2003):
Expectations driven distortions in the foreign exchange market.
Journal of Economic Behavior and Organzation, Vol. 51, 389-412.
pdf Paper (pdf)

Westerhoff, F. (2003):
Speculative markets and the effectiveness of price limits.
Journal of Economic Dynamics and Control, Vol. 28, 493-508.
pdf Paper (pdf)

Westerhoff, F. (2003):
Anchoring and psychological barriers in foreign exchange markets.
Journal of Behavioral Finance, Vol. 4, 65-70.
Formerly: Journal of Psychology and Financial Markets
pdf Paper (pdf)

Westerhoff, F. (2002):
Chartists, fundamentalists and exchange rate fluctuations.
Shaker Verlag, Aachen.
pdf Paper (pdf)

Westerhoff, F. (2001):
Speculative behavior, exchange rate volatility, and central bank intervention.
Central European Journal of Operations Research, Vol. 9, 31-50.
pdf Paper (pdf)

Westerhoff, F. (1999):
Japan in der Krise
in: Wacker, G. und C. Müller-Hofstede (Hrsg.): Asienkrise, Demokratie, Nationalismus. Neue Wechselwirkungen zwischen Politik und Ökonomie in Ostasien, Köln: Bundesinstitut für ostwissenschaftliche und internationale Studien, 23-28.
pdf Paper (pdf)