THM

Sven Oliver Hein

Prof. Dr. Sven Oliver Hein

Arbeitsgebiete:

  • Simulation
  • Informatik

Raum: A2 1.02

Telefon: +49 6031 604 - 4743

E-Mail: ...

Sprechzeiten: freitags von 13 Uhr bis 14 Uhr

 

Forschung

"Investment based on genuine long-term expectation is so diffcult as to be scarcely practicable. He who attempts it must surely lead much more laborious days and run greater risks than he who tries to guess better than the crowd how the crowd will behave; and, given equal intelligence, he may make more disastrous mistakes"

(J. M. Keynes, The general theory of unemployment, interest and money, 1936, S. 157)

Frankfurt Artificial Stock Market:

fasm_install.rar 

Quellen

Eine Auswahl von Literaturquellen zu den Themen KapitalmarktmodelleNetzwerke und Zeitreihenanalyse:

Kapitalmarktmodelle:

Alfarano, S. (2006). An Agent-Based Stochastic Volatility Model. Economics Department. Kiel, Kiel. Ph.D.

Alfarano, S. and T. Lux (2002). "A Minimal Noise Trader Model With Realistic Time Series Properties." unpublished.

Alfarano, S., F. Wagner, et al. (2004). Estimation of Agent-Based Models:The case of an asymmetric Herding Model. Kiel.

Anufriev, M. (2005). Heterogeneous Agent Models of Simple Exchange Economies: on the Role of Investment Horizons and Wealth Dynamics. Pisa, Sant'Anna School of Advanced Studies. Ph.D.

Aoki, M. (2002). "Open models of share markets with two dominant types of participants." Journal of Economic Behavior & Organization 49: 199-216.

Arthur, B. W. (1995). "Complexity in Economic and Financial Markets."

Arthur, B. W., J. Holland, et al. (1996). "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market." Working Paper #96-12-093.

Axelrod, R. (2003). "Advancing the Art of Simulation in the Social Sciences." Japanese Journal for Management Information System, Special Issue on Agent-Based 12(3).

Bak, P., M. Paczuski, et al. (1997). "Price variations in a stock market with many agents." Physica A 246: 430-453.

Bellifemine, F., G. Caire, et al. (2003). "Jade, A White Paper." exp 3(3): 6-19.

Bonabeau, E. (2002). "Agent-based modeling: Methods and techniques for simulating human systems." Proc. Natl. Acad. Sci. USA 99: 7280-7287.

Bouchaud, J.-P. (2002). "An Introduction to statistical finance." Physica A 313: 238-251.

Bouchaud, J.-P., I. Giardina, et al. (2001). "On a universal mechanism for long-range volatility correlations." Quantitative Finance 1: 212-216.

Bouchaud, J.-P. and M. Mézard (2000). "Wealth condensation in a simple model of economy." Physica A 282: 536.

Bouchaud, J.-P. and M. Potters (2000). Theory of Financial Risks: From Statistical Physics to Risk Management. Cambridge, Cambridge Univeristy Press.

Brock, W. A. and S. N. Durlauf (2000). Interactions-Based Models. Handbook of Econometrics 5. J. J. Heckman and E. Leamer.

Brock, W. A. and C. H. Hommes "Heterogeneous beliefs and routes to complex dynamics in asset pricing models with price contingent contracts."

Brock, W. A. and C. H. Hommes (1997). Models of Complexity in Economics and Finance. System Dynamics in Economic and Financial Models. C. Heij, B. Hanzon and C. Praagman, John Wiley & Sons: 3-41.

Brock, W. A., C. H. Hommes, et al. (2001). "Evolutionary Dynamics in financial markets with many trader types." Working Paper.

Brock, W. A., J. Lakonishok, et al. (1992). "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns." Journal of Finance.

Brooks, C. (2002). Introductory econometrics for finance. Cambridge, Cambridge Univeristy Press.

Caldarelli, G., M. Marsili, et al. (1997). "A prototype model of stock exchange." Europhysics Letters 40(5): 479-484.

Castiglione, F. (2000). "Diffusion and Aggregation in an Agent Based Model of Stock Market Fluctuations." International Journal of Modern Physics C 11(5): 865-879.

Castiglione, F. (2001). Microsimulation of Complex System Dynamics, Universität Köln.

Challet, D. (2000). Modelling markets dynamics: Minority games and beyond. Institut de Physique Théorique. Fribourg, Université de Fribourg.

Challet, D., A. Chessa, et al. (2001). "From Minority Games to real markets." Quantitative Finance 1: 168-176.

Chan, N. T. (1995). Artificial Markets and Intelligent Agents, MIT.

Chan, N. T., B. LeBaron, et al. (1999). "Agent-Based Models of Financial Markets: A Comparison with Experimental Markets."

Chang, I. and D. Stauffer (2001). "Time-reversal asymmetry in Cont-Bouchaud stock market model." Physica A 299: 547-550.

Chen, S.-H., T. Lux, et al. (2001). "Testing for Non-Linear Structure in an Artificial Financial Market." Journal of Economic Behavior & Organization 46: 327-342.

Chen, S.-H. and C.-H. Yeh (2002). "On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis." Journal of Economic Behavior & Organization 49: 217-239.

Chowdhury, D. and D. Stauffer (1999). "A generalized spin model of financial markets." The European Physical Journal B 8: 477-482.

Cincotti, S., M. S. Focardi, et al. (2003). Development aspects of an artificial stock market. Genova, University of Genova.

Cont, R. and J.-P. Bouchaud (2000). "Herd behavior and aggregate fluctuations in financial markets." Macroeconomic Dynamics 4: 170-196.

da Silva, L. R. and D. Stauffer (2001). "Ising-correlated clusters in the Cont-Bouchaud stock market model." Physica A 294: 235-238.

Egenter, E., T. Lux, et al. (1999). "Finite-size effects in Monte Carlo simulations of two stock market models." Physica A 268: 250-256.

Ehrenstein, G., F. Westerhoff, et al. (2005). "Tobin tax and market depth." Quantitative Finance 5(2): 213-218.

Embrechts, P. (2002). "Where mathematics, insurance and finance meet." Quantitative Finance 2: 402-404.

Fama, E. F. (1991). "Efficient Capital Markets: II." Journal of Finance 46(5): 1575-1617.

Farmer, J. D. (1999). "Physcists Attempt To Scale The Ivory Towers Of Finance." Computing in Science & Engineering, November/December 1999, pp. 26-39.

Farmer, J. D. (2000). "A simple model for the nonequilibrium dynamics and evolution of a financial market." International Journal of Theoretical and Applied Finance 3(3): 425-441.

Farmer, J. D. (2001). "Toward Agent-Based Models for Investment." Developments in Quantitative Investment Models.

Farmer, J. D. (2002). "Market Force, Ecology and Evolution." Industrial and Corporate Change 11(5): 895-953.

Farmer, J. D., L. Gillemot, et al. (2004). "What really causes large price changes ?".

Farmer, J. D. and J. Shareen (2002). "The price dynamics of common trading strategies." Journal of Economic Behavior and Organization 49(2): 149-171.

Fletcher-Homes, D. and S. Trowell (2000). "A Multi-Agent Modelling Environement for Market Simulation." International Journal of Theoretical and Applied Finance 3(3): 487-489.

Focardi, M. S., S. Cincotti, et al. (2002). "Self-organization and market crashes." Journal of Economic Behavior & Organization 49: 241-267.

Föllmer, H., U. Horst, et al. (2005). "Equilibria in Financial Markets with Heterogeneous Agents: A Probabilistic Perspective." Journal of Mathematical Economics 41(1-2): 123-155.

Friedman, D. (2001). "Towards evolutionary game models of financial markets." Quantitative Finance 1: 177-185.

Ghoulmie, F., R. Cont, et al. (2005). "Heterogeneity and feedback in an agent-based market model." Journal of Physics Condensed Matter 17: S1259-S1268.

Giardina, I. and J.-P. Bouchaud (2002). "Bubbles, Crashes and Intermittency in Agent based Market Models." Working Paper.

Hein, O. and M. Schwind (2005). Standardisierte Mikrosimulation eines Kapitalmarktes mit scale-free Netzwerken und Informationsansteckung. Wirtschaftsinformatik 2005. O. K. Ferstl, E. J. Sinz, S. Eckert and T. Isselhorst. Heidelberg, Physica-Verlag.

Hein, O., M. Schwind, et al. (2005). A Microscopic Stock Market Model with Heterogeneous Interacting Agents in a Scale-Free Communication Network. Workshop on Economic Heterogeneous Interacting Agents (WEHIA 05), University of Essex.

Hein, O., M. Schwind, et al. (2006). A Microscopic Currency Market Model with a modified Tobin Tax. Workshop on Economic Heterogeneous Interacting Agents (WEHIA 06), University of Bologna.

Hein, O., M. Schwind, et al. (2007). A Microscopic Stock Market Model with Heterogeneous Interacting Agents in Small-World Communication Networks, Frankfurt University.

Hommes, C. H. (2001). "Financial markets as nonlinear adaptive evolutionary systems." Quantitative Finance 1: 149-167.

Hommes, C. H. (2006). Heterogeneous Agent Models in Economics and Finance. Handbook of Computational Economics. L. Tesfatsion and K. L. Judd. Amsterdam, Elsevier. 2.

Huang, Z.-F. (2000). "Self-organized model for information spread in financial markets." The European Physical Journal B 16: 379-385.

Huber, J. and M. Kirchler (2003). "The value of informations in markets with heterogeneously informed traders - and experimental and a simulation approach."

Hui, P. M. and N. F. Johnson (2000). "Theory of the evolutionary minority game."

Iori, G. (1999). "Avalanche Dynamics and Trading Friction Effects on Stock Market Returns." International Journal of Modern Physics 10(6): 1149-1162.

Iori, G. (2000). "A threshold model for stock return volatility and trading volume." International Journal of Theoretical and Applied Finance 3(3): 467-472.

Iori, G. (2002). "A micro simulation of traders activity in the stock market: the role of heterogeneity, agents´ interactions and trade frictions." Journal of Economic Behavior and Organization 49(1): 269-285.

Jares, T. E. (1998). The Survival and Consequences of Noise Traders in Financial Markets: A Numerical Modeling Approach. Dissertation.

Jefferies, P., M. Hart, et al. (2001). From market games to real-world markets.

Jefferies, P. and N. F. Johnson (2002). "Designing agent-based market models."

Johnson, N. F., M. Hart, et al. (1999). "Trader Dynamics in a Model Market."

Johnson, N. F., P. M. Hui, et al. (1999). "Enhanced winnings in a mixed-ability population playing a minority game."

Johnson, N. F., P. Jefferies, et al. (2003). Financial Market Complexity. Oxford, Oxford University Press.

Johnson, N. F., D. Lamper, et al. (2001). "Application of multi-agent games to the prediction of financial time-series."

Kaizoji, T. (2000). "Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity." Physica A 287: 493-506.

Kaizoji, T. (2004). "Intermittent chaos in a model of financial markets with heterogeneous agents." Chaos, Solitons, & Fractals 20: 323-327.

Kaizoji, T., S. Bornholdt, et al. (2002). "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents." Physica A 316: 441-452.

Kirman, A. (2002). "Reflections on interaction and markets." Quantitative Finance 2: 322-326.

Kirman, A. and N. J. Vriend (2001). "Evolving market structure: An ACE model of price dispersion and loyalty." Journal of Economic Dynamics and Control 25: 459-502.

Krause, A. (2000). Market Microstructure Theory and Strategic Behavior of Market Makers. Faculty of Economic and Social Sciences. Fribourg, Switzerland, University of Fribourg: 389.

Krause, A. (2001). "An Overview of Asset Pricing Models."

Krause, A. (2004). "Herding without Following the Herd: The Dynamics of Case-based Decisions with Local Interactions."

Krause, A. (2004). "Predicting Crashes in a Model of Self-Organized Criticality." Complexity.

Lane, A. and M. Douali (2003). "Linked Agent Models, A Microstructure Model of Equity Markets." The Royal Bank of Scotland, Quantitative Research.

LeBaron, B. (1995). "Experiments in Evolutionary Finance." Working Paper.

LeBaron, B. (1999). "Building Financial Markets with Artificial Agents: Desired Goals and Present Techniques." Computational Markets.

LeBaron, B. (2000). "Agent Based Computational Finance: Suggested Readings and Early Research." Journal of Economic Dynamics and Control 24: 679-702.

LeBaron, B. (2000). "Empirical Regularities from Interacting Long and Short Memory Investors in an Agent Based Stock Market."

LeBaron, B. (2000). "Evolution and Time Horizons in an Agent Based Stock Market."

LeBaron, B. (2001). "A builder´s guide to agent-based financial markets." Quantitative Finance 1(2): 254-261.

LeBaron, B. (2001). "Calibrating an Agent-Based Financial Market to Macroeconomic Time Series."

LeBaron, B. (2001). "Volatility Magnification and Persistence in an Agent Based Financial Market."

LeBaron, B. (2002). "Building the Santa Fe Artificial Stock Market." Working Paper.

LeBaron, B. (2006). Agent-Based Computational Finance. Handbook of Computational Economics. L. Tesfatsion and K. L. Judd. Amsterdam, North-Holland. 2: 1187-1233.

LeBaron, B. (2006). Agent-based Financial Markets: Matching Stylized Facts with Style. Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model D. Colander, Cambridge University Press.

LeBaron, B., B. W. Arthur, et al. (1999). "An Artificial Stock Market." Artificial Life and Robotics 3: 27-31.

LeBaron, B., J. Holland, et al. (1994). "Artificial Economic Life: A Simple Model of a Stockmarket." Physica D 75: 264-274.

LeBaron, B. and R. Yamamoto. (2006). "Long-Memory in an Order-Driven Market."

Levy, H., M. Levy, et al. (2000). Microscopic Simulations of Financial Markets. New York, Academic Press.

Levy, M., H. Levy, et al. (1995). "Microscopic Simulation of the Market: the Effect of Microscopic Diversity." J. Physique I 5: 1087.

Levy, M., N. Persky, et al. (1995). "The Complex Dynamics of a Simple Stock Market Model."

LiCalzi, M. and P. Pellizzari (2003). "Fundamentalists clashing over the book: a study of order-driven stock markets." Quantitative Finance 3: 470-480.

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

Lux, T. (1996). "Long-term stochastic dependence in financial prices: evidence from the German stock market." Applied Financial Economics 3: 701-706.

Lux, T. (1997). "Time variation of second moments from a noise trader/infection model." Journal of Economic Dynamics and Control 22: 1-38.

Lux, T. (1998). "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions." Journal of Economic Behavior & Organization 33: 143-165.

Lux, T. (2001). "The limiting extremal behavior of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange." Applied Financial Economics 11(3): 299-315.

Lux, T. (2001). "Turbulence in financial markets: the surprising explanatory power of simple cascade models." Quantitative Finance 1: 632-640.

Lux, T. (2002). "Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets." Journal of Economic Behavior & Organization 49: 143-147.

Lux, T. (2003). "The Multi-Fractal Model of Asset Returns: Its Estimation via GMM and Its Use for Volatility Forecasting."

Lux, T. and M. Marchesi (1999). "Scaling and criticality in a stochastic multi-agent model of a financial market." Nature 397(11): 498-500.

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

Lux, T. and S. Schornstein (2003). "Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets." Working Paper, University of Kiel, London School of Economics.

Mandelbrot, B. B. (2004). The (Mis)Behavior of Markets, A Fractal View of Risk, Ruin, and Reward. NewYork, Basic Books.

Mantegna, R. N. and H. E. Stanley (2000). An Introduction to Econophysics: Correlations and Complexity in Finance. Cambridge, Cambridge University Press.

Marchesi, M., S. Cincotti, et al. (2001). "Development and testing of an artificial stock market."

Marsili, M. "Toy models of markets with heterogenous interacting agents."

Papa, B. (2004). Stock market volatility: A puzzle? An investigation into the causes and consequences of asymmetric volatility. Zürich, ETH.

Raberto, M., S. Cincotti, et al. (2003). "Price formation in an artificial market: limit order book versus matching of supply and demand."

Raberto, M., S. Cincotti, et al. (2001). "Agent-based simulation of a financial market." Physica A 299(1-2): 320-328.

Raberto, M., M. S. Focardi, et al. (2001). The Genoa Artificial Stock Market: Microstructure and preliminary simulation.

Rachlevsky-Reich, B., I. Ben-Shaul, et al. (1999). "GEM: A Global Electronic Market Systen." Information Systems 24(6): 495-518.

Shiller, R. (2000). Irrational Exuberance. New York, Broadway Books.

Shiller, R. (2001). "Paradigmenwechsel in der Finanzmarktforschung." Neue Züricher Zeitung(173): 27.

Shleifer, A. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford, Oxford University Press.

Shleifer, A. and L. H. Summers (1990). "The Noise Trader Approach to Finance." The Journal of Economic Perspectives 4(2): 19-33.

Solomon, S. and M. Levy (2003). "Pioneers on a new continent: on physics and economics." Quantitative Finance 3: C12-C15.

Sornette, D. (2003). Why Stock Markets Crash: Critical Events in Complex Financial Systems. Princeton, Oxford, Princeton University Press.

Sornette, D., D. Stauffer, et al. (1999). "Market Fluctuations II: multiplicative and percolation models, size effects and predictions." cond-mat 9909439v1.

Sornette, D. and Z. Wei-Xing (2003). "Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000."

Stanley, H. E., L. A. N. Amaral, et al. (1999). "Econophysics: Can physicists contribute to the science of economics?" Physica A 269: 156-169.

Stanley, H. E., L. A. N. Amaral, et al. (2001). "Similarities and differences between physics and economics." Physica A 299: 1-15.

Stauffer, D. (1998). "Can percolation theory be applied to the stock market?" Annalen der Physik 7: 529-538.

Stauffer, D. (1999). Finite-Size Effects in Lux-Marchesi and Other Microscopic Market Models. 4th Workshop on Economics with Heterogeneous Interacting Agents.

Stauffer, D. (2001). "Percolation Models of Financial Market Dynamics." Advances in Complex Systems 4(1): 19-27.

Stauffer, D., S. de Oliveira, et al. (1999). Evolution, Money, War and Computers. Stuttgart, Leipzig, B. G. Teubner.

Stauffer, D. and N. Jan (2000). "Sharp peaks in the percolation model for stock markets." Physica A 277: 215-219.

Stauffer, D. and D. Sornette (1999). "Self-Organized Percolation Model for Stock Market Fluctuations." Physica A 271: 496.

Sznajd-Weron, K. and K. Weron (2002). "A simple model of price formation." International Journal of Modern Physics C 13: 115.

Terna, P. (2001). "Cognitive Agents Behaving in a Simple Stock Market Structure."

Tesfatsion, L. S. (2000). "Agent-Based Computational Economics: A Brief Guide to the Literature."

Tesfatsion, L. S. (2001). "Introduction to the Computational Economics Special Issue on ACE." Computational Economics 18(1): 1-8.

Tesfatsion, L. S. (2002). "Agent-Based Computational Economics: Growing Economies from the Bottom Up." Artificial Life 8: 55-82.

Tesfatsion, L. S. (2003). Agent-Based Computational Economics.

van den Bergh, W. M., K. Boer, et al. "On Intelligent-Agent Based Analysis of Financial Markets."

Varian, H. R. (1995). Economic Mechanism Design for Computerized Agents. First USENIX Workshop on Electronic Commerce, New York 07.

Vriend, N. J. (2004). "ACE Models of Market Organization." Revue d´economic industrielle 107.

Westerhoff, F. (2003). "Heterogeneous Traders and the Tobin tax." Journal of Evolutionary Economics 13: 53-70.

Westerhoff, F. (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: 293-322.

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

Youssefmir, M. and B. A. Huberman (1997). "Clustered volatility in multiagent dynamics." Journal of Economic Behavior & Organization 32: 101-118.

Zhang, Y.-C. (2001). "Why Financial Markets Will Remain Marginally Inefficient." cond-mat 0105373v1.

Zheng, D., G. J. Rodgers, et al. (2002). "Non-universal scaling and dynamical feedback in generalized models of financial markets." Physica A 303: 176-184.

Zschischang, E. and T. Lux (2001). "Some new results in the Levy, Levy and Salomon microscopic stock market model." Physica A 291: 563-573.

Netzwerke:
Albert, R. and A.-L. Barabasi (2000). "Topology of evolving networks: local events and universality." cond-mat 0005085v1.

Albert, R. and A.-L. Barabasi (2002). "Statistical mechanics of complex networks." Reviews of Modern Physics 74: 47-97.

Albert, R., J. Hawoong, et al. (2000). "Error and attack tolerance of complex networks." Nature 406: 378-382.

Albert, R., H. Jeong, et al. (1999). "Diameter of the World Wide Web." Nature 401: 130-131.

Amaral, L. A. N., A. Scala, et al. (2000). Classes of small-world networks. Proceedings of the National Academy of Science USA.

Barabasi, A.-L. "Science of Networks."

Barabasi, A.-L. (2003). Linked. London, Plume.

Barabasi, A.-L. (2005). "The origin of bursts and heavy tails in human dynamics." arXiv, cond-mat/0505371v1.

Barabasi, A.-L. and R. Albert (1999). "Emergence of Scaling in Random Networks." Science 286: 509-512.

Barabasi, A.-L., R. Albert, et al. (1999). "Mean-field theory for scale-free random networks." Physica A 272: 173-187.

Barabasi, A.-L. and E. Bonabeau (2003). "Scale-Free Networks." Scientific American: 50-59.

Barabasi, A.-L., E. Ravasz, et al. (2001). "Deterministic scale-free networks." Physica A 299: 559-564.

Boguna, M., R. Pastor-Satorras, et al. (2003). "Emergence of clustering, correlations, and communities in a social network model." cond-mat 0309263.

Bollobás, B. (1985). Random Graphs. London, Academic Press.

Bollobás, B. (2003). "Mathematical results on scale-free graphs."

Boots, M. and A. Sasaki (1999). ""Small worlds" and the evolution of virulence: infection occurs locally and at a distance." Proceedings of the Royal Society of London B 266: 1933-1938.

Borgatti, S. P., M. G. Everett, et al. (2002). "Ucinet 6 for Windows: Software for Social Network Analysis, Harvard: Analytic Technologies."

Buchanan, M. (2002). Small Worlds, Spannende Einblicke in die Komplexitäts-Theorie. Frankfurt, New York, Campus Verlag.

Caldarelli, G., S. Battiston, et al. (2003). Emergence of Complexity in Financial Networks. Lecture Notes in Physics, Springer.

Callaway, D., M. E. J. Newman, et al. (2000). "Network Robustness and Fragility: Percolation on Random Graphs." Physical Review Letters 85(25): 5468-5471.

D´Hulst, R. and G. J. Rodgers (1999). "Exact Solution of a Model for Crowding and Information Transmission in Financial Markets." cond-mat 9908481v1.

Dorogovtsev, S. and J. Mendes (2002). "Evolution of networks." Advances in Physics 51(4): 1079-1187.

Dorogovtsev, S. and J. Mendes (2003). Evolution of Networks, From Biological Nets to the Internet and WWW. Oxford, Oxford University Press.

Dorogovtsev, S. and J. Mendes (2004). The shortest path to complex networks.

Dorogovtsev, S., J. Mendes, et al. (2000). "Structure of Growing Networks with Preferential Linking." Physical Review Letters 85(21): 4633.

Ebel, H., L.-I. Mielsch, et al. (2002). "Scale-free topology of e-mail networks." Phys. Rev. E 66: 035103.

Erdös, P. and A. Rényi (1959). "On random graphs." Publ. Math. Debrecen 6: 290.

Evans, T. S. (2004). "Complex Networks." Contemporary Physics 45(6): 455-474.

Ferrer-Cancho, R. and R. V. Sole (2001). "The small-world of human language." Proc. R. Soc. London Ser. B 268(1482): 2261-2265.

Freeman, L. C. (1978/79). "Centrality in Social Networks. Conceptual Clarification." Social Networks 1: 215-239.

Ganesh, A. and F. Xue (2005). On the connectivity and diameter of small-world networks. Illinois, Microsoft.

Garlaschelli, D., S. Battiston, et al. (2005). The scale-free topology of market investments. Siena, University of Siena.

Goh, K.-I., E. Oh, et al. (2002). "Classification of scale-free networks." Proc. Natl. Acad. Sci. USA 99(20).

Gorman, S. and R. Kulkarni (2005). Spatial Small Worlds: New Geographic Patterns for an Information Economy. Faifax, George Mason University.

Gourley, S., S. C. Choe, et al. (2004). "Effects of local connectivity in a competitive population with limited resources." Europhysics Letters 67(6): 867-873.

Granovetter, M. (1973). "The strength of weak ties." American Journal of Sociology 78: 1360-1380.

Granovetter, M. (1978). "Threshold Models of Collective Behavior." The American Journal of Sociology 83(6): 1420-1443.

Hein, O., M. Schwind, et al. (2005). "Scale-free Networks: The Impact of Fat Tailed Degree Distribution on Diffusion and Communication Processes." Wirtschaftsinformatik 48(4).

Kleinberg, J. (2000). "The Small-World Phenomenon: An Algorithmic Perspective."

Klemm, K. and V. M. Eguiluz (2002). "Highly clustered scale-free networks." Phys. Rev. E 65: 036123.

Krapivsky, P. L., S. Redner, et al. (2000). "Connectivity of Growing Random Networks." Physical Review Letters 85(21).

Krapivsky, P. L., G. J. Rodgers, et al. (2001). "Degree Distributions of Growing Networks." Physical Review Letters86(23).

Lee, Y., H. Y. Chan, et al. (2004). "Scale-free networks with tunable degree-distribution exponents." Phys. Rev. E69(067102).

Lo, T. S., H. Y. Chan, et al. (2004). "Theory of networked minority games based on strategy pattern dynamics." Phys. Rev. E 70(056102).

Milgram, S. (1967). "The small world problem." Psychology Today 2: 60-67.

Milo, R., S. Shen-Orr, et al. (2002). "Network Motifs: Simple Building Blocks of Complex Networks." Science 298: 824-827.

Moore, C. and M. E. J. Newman (2000). "Epidemics and percolation in small-world networks." Phys. Rev. E 61: 5678.

Motter, A. E., C. Zhou, et al. (2005). "Network synchronization, diffusion, and the paradox of heterogeneity." Phys. Rev. E 71(016116).

Newman, M. E. J. (2000). "Models of the Small World." J. Stat. Phys 101: 819-841.

Newman, M. E. J. (2001). "Clustering and preferential attachment in growing networks." Phys. Rev. E 64: 025102.

Newman, M. E. J. (2001). "Scientific collaboration networks: I. Network construction und fundmental results." Phys. Rev. E 62: 016131.

Newman, M. E. J. (2003). "A measure of betweenness centrality based on random walks." Social Networks 27: 39-54.

Newman, M. E. J. (2003). "The structure and function of complex networks." SIAM Review 45: 167-256.

Newman, M. E. J. (2005). "Power laws, Pareto distributions and Zipf’s law."

Newman, M. E. J., A.-L. Barabasi, et al. (2006). The Structure and Dynamics of Networks. Princeton, New Jersey, Princeton University Press.

Newman, M. E. J., E. M. Jin, et al. (2001). "The structure of growing social networks." Phys. Rev. E 64(046132).

Newman, M. E. J. and J. Park (2003). "Why social networks are different from other types of networks." Phys. Rev. E68(026121).

Newman, M. E. J., S. H. Strogatz, et al. (2001). "Random graphs with arbitrary degree distributions and their applications." cond-mat 0007235v2.

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Publikationen

 

2017

Alfred Schmidt, Geschichte des Materialismus, Hrsg. Klaus-Jürgen Grün, Oliver Hein, Salier Verlag, Leipzig, 2017.

2015

Markus Spiwoks, Zulia Gubaydullina, Oliver Hein, Trapped in the Here and Now – New Insights into Financial Market Analyst Behavior, Journal of Applied Finance & Banking, vol. 5, no. 1, 2015, 29-50.

2014

Markus Spiwoks, Johannes Scheier, Oliver Hein, On Assessing Economic Forecasts: An Evaluation of Predictions on GDP, Industrial Production and Private Consumer Spending Trends in Twelve Industrial Nations, Advances in Management & Applied Economics, vol. 4, no.2, 2014, 49-68.

2012

Hein, O., Schwind, M., Spiwoks, M., Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices, in: Journal of Finance and Investment Analysis, vol. 1, no.1, 2012.

2011

Gubaydullina, Z., Hein, O. und Spiwoks, M., The status quo bias of bond market analysts, in: Journal of Applied Finance and Banking, Bd. 1, H. 1, 2011, S. 31-51.

2010

Spiwoks, M., Bedke, N. und Hein, O., Topically Orientated Trend Adjustment and Autocorrelation of the Residuals - An Empirical Investigation of the Forecasting Behavior of Bond Market Analysts in Germany, in: Journal of Money, Investment and Banking, Bd. 14, 2010, S. 16-35.


2009

Spiwoks, M; Bedke, N; Hein, O
The Pessimism of Swiss Bond Market Analysts and the Limits of the Sign Accuracy Test – An Empirical Investigation of Their Forecasting Success Between 1998 and 2007 
In: International Bulletin of Business Administration, Bd. 4, 2009, pp. 6-19

 

2008

Spiwoks, M; Bizer, K; Hein, O
Anchoring Near the Lighthouse: Bond Market Analysts’ Behavior Co-ordination by External Signal
In: European Journal of Economics, Finance and Administrative Sciences, Bd. 13, 2008, pp. 169-191


Spiwoks, M; Bedke, N; Hein, O
Forecasting the past: The case of U.S. interest rate forecasts 
In: Financial Markets and Portfolio Management; Spinger, Heidelberg


Hein, O
Evaluation of the Frankfurt Artificial Stock Market Order Book
In: International Conference on Economic Science with Heterogeneous Interacting Agents 2008; Warsaw University of Technology


Hein, O; Schwind, M; Spiwoks, M
Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices 
In: Chair of Business Administration, esp. Information Systems; JWG University Frankfurt

2007

Spiwoks, M; Hein, O
Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung – Eine empirische Untersuchung des Prognoseerfolges von 1995 bis 2004
In: AStA – Wirtschafts- und Sozialstatistisches Archiv, Bd. 1, H. 1, 2007, pp. 43-52


Hein, O; Schwind, M; Spiwoks, M
Frankfurt Artificial Stock Market: A Microscopic Stock Market Model with Heterogeneous Interacting Agents in Small-World Communication Networks 
In: Journal of Economic Interaction and Coordination (JEIC); Spinger, Heidelberg


Hein, O; Schwind, M; Spiwoks, M
Herding and Threshold Behavior within a Microscopic Stock Market 
In: Workshop on Heterogeneous Agent Systems and Complex Networks (European Conference on Complex Systems, ECCS 2007); Dresden


Hein, O; Schwind, M; Spiwoks, M
Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices 
In: Econophysics Colloquium and Beyond; Ancona, Italy


Hein, O; Schwind, M; Spiwoks, M
A Microscopic Stock Market Model with Heterogeneous Interacting Agents in Small-World Communication Networks
In: Chair of Business Administration, esp. Information Systems; JWG University Frankfurt

2006

Spiwoks, M; Bizer, K; Hein, O
Informational Cascades: A Mirage?
In: Journal of Economic Behavior and Organization


Hein, O; Schwind, M; König, W
Scale-free Networks: The Impact of Fat Tailed Degree Distribution on Diffusion and Communication Processes
In: Wirtschaftsinformatik, 48 (4); Wiesbaden


Spiwoks, M; Hein, O
Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung: Eine empirische Untersuchung des Prognoseerfolges von 1995 bis 2004
In: Allgemeines Statistisches Archiv (Journal of the German Statistical Society)


Hein, O; Schwind, M; Spiwoks, M
A Microscopic Currency Market Model with a modified Tobin Tax
In: Proceedings of 1st International Conference on Economic Sciences with Heterogeneous Interacting Agents, WEHIA 2006; Bologna, Italy

2005

Spiwoks, M; Bizer, K; Hein, O
Informational Cascades in the Laboratory: Are These Merely a Fata Morgana?
In: Wolfsburg Working Papers; Fachhochschule Braunschweig / Wolfenbüttel


Spiwoks, M; Bizer, K; Hein, O
Anchoring Near the Lighthouse: Bond Market Analysts’ Behavior Co-ordination by External Signal
In: Wolfsburg Working Papers; Fachhochschule Braunschweig / Wolfenbüttel


Spiwoks, M; Hein, O
Forecasting the Past: The Case of US-American Interest Rate Forecasts
In: Wolfsburg Working Papers; Wolfsburg University of Applied Sciences


Hein, O; Schwind, M; Spiwoks, M
A Microscopic Stock Market Model with Heterogeneous Interacting Agents in a Scale-Free Communication Network
In: 10th Annual Workshop on Economic Heterogeneous Interacting Agents (WEHIA 2005); Essex, UK


Hein, O; Schwind, M
Standardisierte Mikrosimulation eines Kapitalmarktes mit scale-free Netzwerken
In: 7. Internationale Tagung Wirtschaftsinformatik; Bamberg

2004

Hein, O; Schwind, M
A Microscopic Stock Market Model with Heterogenoeus Interacting Agents in a Contagious Scale-Free Network
In: IWI-Working Paper in FINACE; IWI-Frankfurt

Vorträge:


2008

21. June Evaluation of the Frankfurt Artificial Stock Market Order Book 
In: 3st International Conference on Economic Sciences with Heterogeneous Interacting Agents (ESHIA'08); Warsaw, Poland


02. February Kommunikations-Netzwerk-Topologie und Marktverhalten
In: Forschungskolloquium; Würzburg


21. January Network Centralization and Stock Market Volatility: The Spatial Dimension of Trading
In: Jour Fixe am Fraunhofer Institut für Techno- und Wirtschaftsmathematik; Kaiserslautern

2007

04. October Network Centralization and Agent Type Performance: The Introduction of Retail Agents to the Frankfurt Artificial Stock Market 
In: European Conference on Complex Systems 2007; Dresden

 

2006

18. December Netzwerkeffekte dynamischer Preisbildungsprozesse am Beispiel des Frankfurt Artificial Stock Markets (FASM)
In: Vortrag an der FH; Wolfsburg


16. June The Effectiveness of the Tobin-Cum-Circuit-Breaker-Tax within a Currency Market Simulation Model
In: 1st International Conference on Economic Sciences with Heterogeneous Interacting Agents, ESHIA 06; Bologna, Italy


25. March Netzwerkeffekte dynamischer Preisbildungsprozesse am Beispiel des Frankfurt Artificial Stock Markets (FASM)
In: Forschungskolloquium; König/Heinzel/Buxmann/Wendt; Roßdorf bei Darmstadt

2005

13. June Scale-Free Communication Networks within a Microscopic Stock Market
In: 10th Annual Workshop on Economic Heterogeneous Interacting Agents (WEHIA 2005); Essex, UK


04. April Netzwerkeffekte dynamischer Preisbildungsprozesse
In: Jour Fixe, Institut für Wirtschaftsinformatik; Frankfurt


25. February Standardisierte Mikrosimulation eines Kapitalmarktes mit scale-free Netzwerken und Informationsansteckung
In: 7. Internationale Tagung für Wirtschaftsinformatik; Bamberg

 

Interview

Studium

  1. Welche Fächer haben Sie studiert?

    Informatik mit Nebenfach Betriebswirtschaftslehre (Schwerpunkt Finanzen)

  2. Warum haben Sie diese Fächer studiert?

    Aufgrund der Faszination von einer sich schnell entwickelten Technologie.

Lehre

  1. Was ist Ihnen in der Lehre besonders wichtig?

    Ein guter Kontakt zu meinen Studenten. Der Versuch für meine Lehrgebiete Begeisterung zu erzeugen.

  2. Was ist Ihr Lieblingsfachbuch?

    Narren des Zufalls von Nassem Nicholas Taleb

  3. Welche Abschlussarbeitsthemen haben Sie betreut?
    Themen aus der Informatik, der empirischen Kapitalmarktforschung und der Kapitalmarktsimulation

Berufliches

  1. Welche Arbeitsgebiete vertreten Sie?

    Wirtschaftsinformatik mit Schwerpunkt Simulation, empirische Kapitalmarktforschung

  2. Wo liegen Ihre beruflichen Schwerpunkte?

    IT, Finanzmärkte, Venture Capital

  3. Welchen Wissenschaftler schätzen Sie am meisten?

    Eric Kandel

Persönliches

  1. Was beschäftigt Sie neben Ihrem Beruf?

    Meine Familie, klassische Musik (meine Frau ist Pianistin), Philosophie

  2. Wenn Sie ein Jahr lang von allen Pflichten befreit wären, womit würden Sie sich beschäftigen?

    Ich würde mich gerne für diesen Zeitraum in ein Forschungsteam zu meinem Thema an einem attraktiven Ort (z.B. Kalifornien) integrieren und dort an aktuellen Fragen mitarbeiten.

 

 

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