Fakultät Sozial- und Wirtschaftswissenschaften

Lehrstuhl für VWL, insb. Wirtschaftspolitik

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 was/is on the editorial boards of the Journal of Economic Behavior and Organization and the Journal of Economic Dynamics and Control. He has published about 75 papers in 40 international journals with 20 clever and smart co-authors.

For more information see his full CV(83.0 KB).

Working Papers

Schmitt, N. and Westerhoff, F. (2016):
On the bimodality of the distribution of the S&P 500's distortion: empirical evidence and theoretical explanations.
Working Paper, University of Bamberg

Schmitt, N. and Westerhoff, F. (2016):
Herding behavior and volatility clustering in financial markets.
BERG Working Paper No. 107, University of Bamberg

Schmitt, N. and Westerhoff, F. (2016):
Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models.
BERG Working Paper No. 111, University of Bamberg.

Schmitt, N., Tuinstra, J. and Westerhoff, F. (2015):
Side effects of nonlinear profit taxes in a behavioral market entry model: abrupt changes, coexisting attractors and hysteresis problems
BERG Working Paper No. 103(2.7 MB), University of Bamberg

Hilker, F. and Westerhoff, F. (2005):
Simple models of controlling chaotic population dynamics
Paper(801.5 KB)

Publications

Schmitt, N. and Westerhoff, F. (2016):
Stock market participation and endogenous boom-bust dynamics.
Economics Letters.
in press

Schmitt, N. and Westerhoff, F. (2016):
Evolutionary competition and profit taxes: market stability versus tax burden.
Macroeconomic Dynamics
in press

Dieci, R. and Westerhoff, F. (2016):
Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear dynamics approach.
Journal of Economic Dynamics and Control
in press

Tramontana, F. and Westerhoff, F. (2016):
Piecewise-linear maps and their application to financial markets.
Frontiers in Applied Mathematics and Statistics
in press.

Franke, R. and Westerhoff, F. (2016):
Why a  simple herding model may generate the stylized facts of daily returns: explanation and estimation.
Journal of Economic Interaction and Coordination, Vol. 11, 1-34.
Paper(424.7 KB)

Schmitt, N. and Westerhoff, F. (2015):
Managing rational routes to randomness.
Journal of Economic Behavior and Organization, Vol. 116, 157-173.
Paper(380.2 KB)

Sushko, I., Tramontana, F., Westerhoff, F. and Avrutin, V. (2015):
Symmetry breaking in a bull and bear financial market model.
Chaos, Solitons and Fractals, Vol. 70, 57-72.
Paper(538.3 KB)

Tramontana, F., Westerhoff, F. and Gardini, L. (2015):
A simple financial market model with chartists and fundamentalists: market entry levels and discountinuities.
Mathematics and Computers in Simulation, Vol. 108, 16-40.
Paper(428.0 KB)

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, Vol. 48, 246-264.
Paper(4.1 MB)

Schmitt, N. and Westerhoff, F. (2014):
Speculative behavior and the dynamics of interacting stock markets.
Journal of Economic Dynamics and Control, Vol. 45, 262-288.
Paper(494.9 KB)

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.
Paper(366.5 KB)

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.
Paper(356.3 KB)

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.
Paper(358.2 KB)

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.
Paper(254.9 KB)

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.
Paper(478.2 KB)

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.
Paper(556.7 KB)

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.
Paper(204.1 KB)

Dieci, R. and Westerhoff, F. (2012):
A simple model of the speculative housing market.
Journal of Evolutionary Economics, Vol. 22, 303-329.
Paper(447.7 KB)

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.
Paper(324.6 KB)

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.
Paper(368.8 KB)

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.
Paper(256.2 KB)

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.
Paper(1.9 MB)

Franke, R. and Westerhoff, F. (2011):
Estimation of a structural stochastic volatility model of asset pricing.
Computational Economics, Vol. 38, 53-83.
Paper (373.8 KB)

Westerhoff, F. and Franke, R. (2012):
Converse trading strategies, intrinsic noise and the stylized facts of financial markets.
Quantitative Finance, Vol. 12, 425-436.
Paper(291.5 KB)

Dieci, R. and Westerhoff, F. (2010):
Interacting cobweb markets.
Journal of Economic Behavior and Organization, Vol. 75, 461-481.
Paper(4.7 MB)

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.
Paper(1.0 MB)

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
Paper(589.1 KB)

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.
Paper(3.4 MB)

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.
Paper(509.7 KB)

Westerhoff, F. and Wieland, C. (2010):
A behavioral cobweb model with heterogeneous speculators.
Economic Modelling, Vol. 27, 1136-1143.
Paper(2.2 MB)

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.
Paper(429.5 KB)

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.
Paper(227.9 KB)

Westerhoff, F. (2009):
Agentenbasierte Finanzmarktmodelle.
uni.vers, Vol. 15, 8-11
Paper(1.2 MB)

Pellizzari, P. and Westerhoff, F. (2009):
Some effects of transaction taxes under different microstructures.
Journal of Economic Behavior and Organization, Vol. 72, 850-863.
Paper(360.3 KB)

Dieci, R. and Westerhoff, F. (2009):
Stability analysis of a cobweb model with market interactions.
Applied Mathematics and Computation, Vol. 215, 2011-2023.
Paper(974.2 KB)

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.
Paper(1.5 MB)

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.
Paper(447.5 KB)

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.    
Paper(1.7 MB)

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

Wegener, M., Westerhoff, F. and Zaklan, G. (2009):
A Metzlerian business cycle model with nonlinear heterogeneous expectations.
Economic Modelling, Vol. 26, 715-720.
Paper(567.9 KB)

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.
Paper(3.6 MB)

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.
Paper(1.6 MB)

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.
Paper(221.5 KB)

Westerhoff, F. (2008):
Consumer sentiment and business cycles: A Neimark-Sacker bifurcation scenario.
Applied Economics Letters, Vol. 15, 1201-1205.
Paper (pdf)(253.4 KB)

Westerhoff, F. and Hohnisch, M. (2010)
Consumer Sentiment and Countercyclical Fiscal Policies.
International Review of Applied Economics, Vol. 24, 609-618.
Paper(166.3 KB)

Zaklan, G., Lima, W. and Westerhoff, F. (2008):
Controlling tax evasion fluctuations.
Physica A, Vol. 387, 5857-5861.
Paper(1.2 MB)

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.
Paper(1.3 MB)

Kopel, M., Westerhoff F. and Wieland, C. (2008):
Regulating complex dynamics in firms and economics systems.
Chaos, Solitons and Fractals, Vol. 38, 911-919.
Paper (pdf)(212.7 KB)

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.
Paper(396.6 KB)

Westerhoff, F. (2008):
Heuristic expectation formation and business cycles: A simple linear model.
Metroeconomica, Vol. 59, 47-56.
Paper (pdf)(208.7 KB)

Corron, N., He, X.-Z. and Westerhoff, F. (2007):
Butter mountains, milk lakes and optimal price limiters.
Applied Economics Letters, Vol. 14, 1131-1136.
Paper (pdf)(1.2 MB)

Reitz, S. and Westerhoff, F. (2007):
Commodity price cycles and heterogeneous speculators: A STAR-GARCH model.
Empirical Economics, Vol. 33, 231-244.
Paper (pdf)(176.8 KB)

Manzan, S. and Westerhoff, F. (2007):
Heterogeneous expactations, exchange rate dynamics and predictability.
Journal of Economic Behavior and Organization, Vol. 64, 111-128.
Paper (pdf)(242.1 KB)

Hilker, F. and Westerhoff, F. (2007):
Preventing extinction and mass outbreaks in irregularly fluctuating populations.
American Naturalist, Vol. 170, 232-241.
Paper (pdf)(1.0 MB) 

Westerhoff, F. (2007):
On central bank interventions and transaction taxes.
Applied Financial Economics Letters, Vol. 3, 11-14.
Paper (pdf)(130.9 KB)

Hilker, F. and Westerhoff, F. (2007):
Triggering crashes in chaotic dynamics.
Physics Letters A, Vol. 362, 407-411.
Paper (pdf)(213.2 KB)

Westerhoff, F. and Hohnisch, M. (2007):
A note on interactions-driven business cycles.
Journal of Economic Interaction and Coordination, Vol. 2, 85-91.
Paper (pdf)(182.0 KB)

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.
Paper (pdf)(350.2 KB)

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.
Paper (pdf)(142.4 KB)

Hilker, F. and Westerhoff, F. (2006):
The paradox of simple limiter control.
Physical Review E, 73, 05291 (3).
Paper (pdf)(170.1 KB)

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.
Paper (pdf)(206.0 KB)

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.
Paper (pdf)(367.8 KB)

Westerhoff, F. (2006):
Samuelson's multiplier-accelerator model revisited.
Applied Economics Letters, Vol. 13, 89-92.
Paper (pdf)(89.5 KB)

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)
(694.4 KB)Read a discussion in the New Scientist (text only(184.1 KB), article(682.4 KB))

Westerhoff, F. (2006):
Nonlinear expectation formation, endogenous business cycles and stylized facts.
Studies in Nonlinear Dynamics and Econometrics, Volume 10, Issue 4, Article 4.
Paper (pdf)(436.7 KB)

Westerhoff, F. (2006):
Business cycles, heuristic expectation formation and contracyclical policies.
Journal of Public Economic Theory, Vol. 8, 821-838.
Paper (pdf)(1.6 MB)

Westerhoff, F. (2005):
The impact of flow analysis on exchange rate dynamics.
Finance Letters, Vol. 3, Issue 3.
Paper (pdf)(150.3 KB)

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.
Paper (pdf)(534.7 KB)

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.
Paper (pdf)(370.7 KB)

Ehrenstein, G., Westerhoff, F. and Stauffer, D. (2005):
Tobin tax and market depth.
Quantitative Finance, Vol. 5, 213-218.
Paper (pdf)(406.2 KB)

Westerhoff, F. (2005):
Consumer behavior and fluctuations in economic actiivity.
Advances in Complex Systems, Vol. 8, 209-215.
Paper (pdf)(373.7 KB)

Manzan, S. and Westerhoff, F. (2005):
Representativeness of news and exchange rate dynamics.
Journal of Economic Dynamics and Control, Vol. 29, 677-689.
Paper (pdf)(377.6 KB)

Westerhoff, F. (2005):
Heterogeneous traders, price-volume signals and complex asset price dynamics.
Discrete Dynamics in Nature and Society, Vol. 2005, 19-29.
Paper (pdf)(1.9 MB)

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.
Paper (pdf)(208.6 KB)

Westerhoff, F. and Wieland, C. (2004):
Spill-over dynamics of central bank interventions.
German Economic Review, Vol. 5, 435-450.
Paper (pdf)(1.4 MB)

Westerhoff, F. (2004):
Speculative dynamics, feedback traders and transaction taxes: a note.
Jahrbuch für Wirtschaftswissenschaften/Review of Economics, Vol. 55, 190-195.
Paper (pdf)(284.3 KB)

Westerhoff, F. and Manzan, S. (2004):
Does liquidity in the FX market depend on volatility?
Economics Bulletin, Vol. 6, No. 10, 1-8.
Paper (pdf)(112.3 KB)

Westerhoff, F. (2004):
Greed, fear and stock market dynamics.
Physica A: Statistical Mechanics and its Application, Vol. 343, 635-642.
Paper (pdf)(354.0 KB)

Westerhoff, F. (2004):
Market depth and price dynamics: a note.
International Journal of Modern Physics C, Vol. 15, 1005-1012.
Paper (pdf)(734.8 KB)

Westerhoff, F. (2004):
Multi asset market dynamics.
Macroeceonomic Dynamics, Vol. 8, 596-616.
Paper (pdf)(272.2 KB)

Westerhoff, F. and Wieland, C. (2004):
Central bank interventions, chartists and the FX markets.
The Technical Analyst, Issue 02, 36-37.
Paper (pdf)(1.6 MB)

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.
Paper (pdf)(396.6 KB)

Westerhoff, F. (2003):
Market maker, inventory control and foreign exchange dynamics.
Quantitative Finance, Vol. 3, 363-369.
Paper (pdf)(95.3 KB)

Westerhoff, F. (2003):
Bubbles and crashes: optimism, trend extrapolation and panic:
International Journal of Theoretical and Applied Finance, Vol. 6, 829-837.
Paper (pdf)(493.0 KB)

Lawrenz, C. and Westerhoff, F. (2003):
Modeling exchange rate behavoir with a genetic algorithm.
Computational Economics, Vol. 21, 209-229.
Paper (pdf)(224.7 KB)

Westerhoff, F. (2003):
Heterogeneous traders and the Tobin tax.
Journal of Evolutionary Economics, Vol. 13, 53-70.
Paper (pdf)(306.9 KB)

Westerhoff, F. (2003):
Speculative behavior and asset price dynamics.
Nonlinear Dynamics, Psychology and Life Sciences, Vol. 7, 245-262
Paper (pdf)(522.0 KB)

Westerhoff, F. (2003):
Central bank intervention  and feedback traders.
Journal of International Financial Markets, Institutions and Money, Vol. 13, 419-427.
Paper (pdf)(198.9 KB)

Westerhoff, F. (2003):
Expectations driven distortions in the foreign exchange market.
Journal of Economic Behavior and Organzation, Vol. 51, 389-412.
Paper (pdf)(446.9 KB)

Westerhoff, F. (2003):
Speculative markets and the effectiveness of price limits.
Journal of Economic Dynamics and Control, Vol. 28, 493-508.
Paper (pdf)(536.7 KB)

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
Paper (pdf)(89.7 KB)

Westerhoff, F. (2002):
Chartists, fundamentalists and exchange rate fluctuations.
Shaker Verlag, Aachen.
Paper (pdf)(6.5 MB)

Westerhoff, F. (2001):
Speculative behavior, exchange rate volatility, and central bank intervention.
Central European Journal of Operations Research, Vol. 9, 31-50.
Paper (pdf(2.4 MB))

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.
Paper (pdf)(35.9 KB)