This article estimates a simple univariate model of expectation or opinion formation in continuous time adapting a ‘canonical’ stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2009a). This framework is applied to a selected data set on survey-based...

This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a ‘canonical’ stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a selected data set on survey-based expectations...

We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We...

Concentrating on speculative flow rather than stock demand, the paper puts forward a deterministic continuous-time model of the equity market that is compatible with a growing and inflationary economy. Instead of the systematically rising equity price, the central state variable in now Tobin's...

The economics profession appears to have been unaware of the long build-up to the current worldwide financial crisis and to have significantly underestimated its dimensions once it started to unfold. In our view, this lack of understanding is due to a misallocation of research efforts in...

This paper attempts to formalize herd behavior or mutual mimetic contagion in speculative markets. The emergence of bubbles is explained as a self-organizing process of infection among traders leading to equilibrium prices which deviate from fundamental values. It is postulated furthermore that...

This paper provides a statistical analysis of high-frequency recordings of the German share price index DAX. The data set extends from November 1988 to the end of the year 1995 and includes all minute-to-minute changes during trading hours at the Frankfurt Stock Exchange. The focus of this study...

This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes...