E-Finance Lab Team

2012

Hein, O.; Schwind, M.; Spiwoks, M. (2012)

Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices

In: Journal of Finance and Investment Analysis; (1:1)

Category: Publications in scientific journals

Reference No.: 2012-2005

2011

Gubaydullina, Z.; Hein, O.; Spiwoks, M. (2011)

The Status Quo Bias of Bond Market Analysts

In: Journal of Applied Finance and Banking; Bd. 1, H. 1, pp. 31-51

Category: Publications in scientific journals

Reference No.: 2011-1928

2010

Spiwoks, M.; Bedke, N.; Hein, O. (2010)

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, pp. 16-35

Category: Publications in scientific journals

Reference No.: 2010-1859

2009

Spiwoks, M.; Bedke, N.; Hein, O. (2009)

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

Category: Publications in scientific journals

Reference No.: 2009-1459

2008

Spiwoks, M.; Bizer, K.; Hein, O. (2008)

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

Category: Publications in scientific journals

Reference No.: 2008-1442

Spiwoks, M.; Bedke, N.; Hein, O. (2008)

Forecasting the past: The case of U.S. interest rate forecasts

In: Financial Markets and Portfolio Management; Spinger, Heidelberg

Category: Publications in scientific journals

Reference No.: 2008-1059

Hein, O. (2008)

Evaluation of the Frankfurt Artificial Stock Market Order Book

In: International Conference on Economic Science with Heterogeneous Interacting Agents 2008; Warsaw University of Technology

Category: Proceedings

Reference No.: 2008-1013

Hein, O.; Schwind, M.; Spiwoks, M. (2008)

Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices

In: Chair of Business Administration, esp. Information Systems; JWG University Frankfurt

Category: Working papers [Password Protected Download] (Please contact the author)

Abstract

We investigate the impact of agent communication networks on prices of an artifcial stock market. Networks with different centralization measures are tested for their effect on the volatility and distortion of prices. Trading strategies diffuse through the different network topologies, mimetic contagion arises through the adaptive behavior of the heterogeneous agents. Simulation results suggest a correlation between the network centralization measures and the volatility and distortion of the resulting stock prices.

Reference No.: 2008-900

2007

Spiwoks, M.; Hein, O. (2007)

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

Category: Publications in journals

Reference No.: 2007-1081

Hein, O.; Schwind, M.; Spiwoks, M. (2007)

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

Category: Publications in scientific journals

Abstract

We study the relationship between communication network topologies, namely the small-world networks introduced by Watts and Strogatz, and the simulation results of an artificial stock market, here the Frankfurt Artificial Stock Market. Heterogeneous interacting agents communicate their success and trading strategy to their nearest neighbors. A process of information diffusion arises through the adaptive behavior of agents when encountering more successful strategies in their direct neighborhood. We will show that an increasing rewiring probability of the small-world network will lead to higher volatility and distortion within our simulation model. It seems probable that the spatial position of traders within a communication network affects the price building process.

Reference No.: 2007-831

Hein, O.; Schwind, M.; Spiwoks, M. (2007)

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

Category: Proceedings

Reference No.: 2007-770

Hein, O.; Schwind, M.; Spiwoks, M. (2007)

Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices

In: Econophysics Colloquium and Beyond; Ancona, Italy

Category: Proceedings

Reference No.: 2007-633

Hein, O.; Schwind, M.; Spiwoks, M. (2007)

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

Category: Working papers [Password Protected Download] (Please contact the author)

Reference No.: 2007-595

2006

Spiwoks, M.; Bizer, K.; Hein, O. (2006)

Informational Cascades: A Mirage?

In: Journal of Economic Behavior and Organization

Category: Publications in scientific journals [Password Protected Download] (Please contact the author)

Reference No.: 2006-447

Hein, O.; Schwind, M.; König, W. (2006)

Scale-free Networks: The Impact of Fat Tailed Degree Distribution on Diffusion and Communication Processes

In: Wirtschaftsinformatik, 48 (4); Wiesbaden

Category: Publications in scientific journals

Abstract

The study of network topologies provides interesting insights into the way in which the principles on which interconnected systems are constructed influence the dynamics of diffusion and communication processes in many kinds of socio-technical systems. Empirical research has shown that there are principles of construction similar to those of the laws of nature for social networks and their technical derivatives, like E-mail networks, the internet, publication co-authoring, or business collaboration. For decades, the paradigm of a randomly connected network has been used as a model for real world networks, in ignorance of the fact that they are only a poor fit for such networks. Apparently, all the above-mentioned networks share the same building blocks. They attach new members over time and the attachment prefers existing members that are already well connected. This principle of “preferential attachment” leads to interesting properties that have to be taken into consideration when analyzing and designing systems with some kind of network background. What are called “scale-free” networks seem to be a better fit for the description of real world networks. They use preferential attachment as a construction principle to resample real world networks. Their behaviour in terms of diffusion and communication processes is fundamentally different from that of random networks. To illustrate the potential value of the discovery of scale-free networks for applications in information systems related research, an examples will be used in this article to illustrate their usefulness for realistic network modelling. A scale-free communication network of security traders will show what impact network topology has on the dynamics of complex socio-technical systems.

Reference No.: 2006-297

Spiwoks, M.; Hein, O. (2006)

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)

Category: Publications in journals [Password Protected Download] (Please contact the author)

Reference No.: 2006-108

Hein, O.; Schwind, M.; Spiwoks, M. (2006)

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

Category: Proceedings

Abstract

Inspired from the research of Frank Westerhoff from the University of Osnabrück about heterogeneous traders and the Tobin tax and the expertise from Paul Spahn, University of Frankfurt, by order of the German government, about the feasibility of an exchange rate transac-tion tax, the authors wanted to support the results of Frank Westerhoff within a different model setting and wanted to extend his approach further by incorporating the approach of Paul Spahn’s Tobin-cum-circuit-breaker-tax. The results point into the same direction as Westerhoff’s simulations. The Tobin-cum-circuit-breaker-tax of Paul Spahn showed a superior performance over the standard Tobin tax.

Reference No.: 2006-95

2005

Spiwoks, M.; Bizer, K.; Hein, O. (2005)

Informational Cascades in the Laboratory: Are These Merely a Fata Morgana?

In: Wolfsburg Working Papers; Fachhochschule Braunschweig / Wolfenbüttel

Category: Working papers

Abstract

Experimental research found contradictory results regarding the occurrence of Informational Cascades. While Anderson and Holt (1997) through lab tests confirm the model of Banerjee (1992), and Bikhchandani, Hirshleifer, and Welch (1992) resp., Huck and Oechssler (2000) come to controversial results for crucial issues. This study is an extensive (227 test persons) and as regards contents expanded repetition. It becomes obvious that less than 10% of sub-jects are able to make deductions from predecessors´ actions regarding their private signals, to consider the reliability of the signals and the a priory probability, to accurately use Bayes´ Rule, and to thus reach rational decisions.

Reference No.: 2005-299

Spiwoks, M.; Bizer, K.; Hein, O. (2005)

Anchoring Near the Lighthouse: Bond Market Analysts’ Behavior Co-ordination by External Signal

In: Wolfsburg Working Papers; Fachhochschule Braunschweig / Wolfenbüttel

Category: Working papers

Abstract

This paper presents a new model variant of reputational herding, so-called externally trig-gered herding. The assumption is that agents undertake the alignment of their behavior not through constant mutual observation but through orientation towards an external signal. An evaluation of interest rate forecast time series (October 1990 until December 2004) of 32 US banks, insurance companies, research and consulting institutes, associations, and industrial companies shows that without exception all bond market analysts involved displayed rational herding. The actual bond market situation at the time each forecast was developed is identified as the external signal which served as the orientation point for herd members.

Reference No.: 2005-298

Spiwoks, M.; Hein, O. (2005)

Forecasting the Past: The Case of US-American Interest Rate Forecasts

In: Wolfsburg Working Papers; Wolfsburg University of Applied Sciences

Category: Working papers

Abstract

This study evaluates the interest rate forecast efforts of US-American banks, insurance companies, other financial service companies, research- and consulting institutes, associa-tions, and industrial companies. 10-year US-Government bond yield forecasts made be-tween October 1989 and December 2003 are analyzed. Forecast error measures are Theil´s U2, TOTA coefficient, and forecast quality matrix. All of the 33 forecast time series lag be-hind reality and prove to be inferior to the naïve forecast. Without exception they can be categorized as quasi-naïve forecasts and are thus unsuitable as decision-making tools.

Reference No.: 2005-179

Hein, O.; Schwind, M.; Spiwoks, M. (2005)

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

Category: Proceedings [Password Protected Download] (Please contact the author)

Reference No.: 2005-77

Hein, O.; Schwind, M. (2005)

Standardisierte Mikrosimulation eines Kapitalmarktes mit scale-free Netzwerken

In: 7. Internationale Tagung Wirtschaftsinformatik; Bamberg

Category: Proceedings

Reference No.: 2005-12

2004

Hein, O.; Schwind, M. (2004)

A Microscopic Stock Market Model with Heterogenoeus Interacting Agents in a Contagious Scale-Free Network

In: IWI-Working Paper in FINACE; IWI-Frankfurt

Category: Working papers [Password Protected Download] (Please contact the author)

Abstract

This paper is intended to describe a new model of a microscopic stock market model with an explicit communication topology and dynamic. It continues the tradition of building stock market models like the one from Lux, Marchesi, but incorporates an agent communication structure from the social sciences in form of a scale-free network. From the medical research of infectious diseases, a modified version of the SIR-model is taken to describe the dynamics of information contagion. The model is implemented with the help of the FIPA conform middleware Jade. It is intended to standardize the simulation process in the interest of an improving scientific collaboration process in the field of financial market simulation.

Reference No.: 2004-121