Details about Thomas Lux

Access statistics for papers by Thomas Lux.

Last updated 2011-10-27. Update your information in the RePEc Author Service.

Short-id: plu102

Working Papers

2011

1. A Markov-switching Multifractal Approach to Forecasting Realized Volatility
   Kiel Working Papers, Kiel Institute for the World Economy

2010

2. Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
   MPRA Paper, University Library of Munich, Germany View citations (1)
3. Extreme Value Theory as a Theoretical Background for Power Law Behavior
   Kiel Working Papers, Kiel Institute for the World Economy
   Also in MPRA Paper, University Library of Munich, Germany (2010)
4. Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models
   Kiel Working Papers, Kiel Institute for the World Economy
5. Identification of a Core-Periphery Structure Among Participants of a Business Climate Survey
   Kiel Working Papers, Kiel Institute for the World Economy
6. Reintegrating the Social Sciences: The Dahlem Group
   Middlebury College Working Paper Series, Middlebury College, Department of Economics
7. Switching Rates and the Asymptotic Behavior of Herding Models
   Kiel Working Papers, Kiel Institute for the World Economy
   See also Journal Article in Advances in Complex Systems (ACS) (2011)

2009

8. Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations
   Kiel Working Papers, Kiel Institute for the World Economy
   See also Journal Article in Computational Statistics & Data Analysis (2010)
9. Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
   Also in Kiel Working Papers, Kiel Institute for the World Economy (2008) View citations (2)
10. Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market
    Kiel Working Papers, Kiel Institute for the World Economy View citations (1)
11. Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach
    Kiel Working Papers, Kiel Institute for the World Economy View citations (1)
12. The Financial Crisis and the Systemic Failure of Academic Economics
    Middlebury College Working Paper Series, Middlebury College, Department of Economics View citations (9)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2009) View citations (9)
    Kiel Working Papers, Kiel Institute for the World Economy (2009) View citations (31)

2008

13. Applications of Statistical Physics in Finance and Economics
    Kiel Working Papers, Kiel Institute for the World Economy
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (2007)
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2007) View citations (3)
14. Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
    Kiel Working Papers, Kiel Institute for the World Economy View citations (1)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008)
    See also Journal Article in Advances in Complex Systems (ACS) (2008)
15. Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
    Kiel Working Papers, Kiel Institute for the World Economy
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008)
    Working Papers, Warwick Business School, Financial Econometrics Research Centre (2007) View citations (1)
    See also Journal Article in Journal of Economic Behavior & Organization (2009)
16. Sentiment Dynamics and Stock Returns: The Case of the German Stock Market
    Kiel Working Papers, Kiel Institute for the World Economy View citations (1)
17. Stochastic Behavioral Asset Pricing Models and the Stylized Facts
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (1)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008) View citations (1)
    Kiel Working Papers, Kiel Institute for the World Economy (2008) View citations (1)
18. The Small Core of the German Corporate Board Network
    Kiel Working Papers, Kiel Institute for the World Economy View citations (3)

2007

19. Agent-based Models of Financial Markets
    Papers, arXiv.org View citations (11)
20. Collective Opinion Formation in a Business Climate Survey
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
21. The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
22. True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (1)
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (2007) View citations (2)
    Papers, arXiv.org (2007) View citations (1)

2006

23. A minimal noise trader model with realistic time series properties
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) View citations (2)
24. Financial power laws: Empirical evidence, models, and mechanism
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (3)
25. Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2006) View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2007)
26. Microscopic models of financial markets
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
    Also in Papers, arXiv.org (2001)
27. The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (3)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2006) View citations (4)
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2004) View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2008)
28. Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2005) View citations (6)
    Working Papers, Warwick Business School, Financial Econometrics Research Centre (2005) View citations (12)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2005

29. A noise trader model as a generator of apparent financial power laws and long memory
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (10)
    See also Journal Article in Macroeconomic Dynamics (2007)

2004

30. Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (2)
31. Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics

2003

32. Detecting multi-fractal properties in asset returns: the failure of the scaling estimator
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
33. Genetic learning as an explanation of stylized facts of foreign exchange markets
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2002) View citations (4)
    See also Journal Article in Journal of Mathematical Economics (2005)
34. The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting
    Computing in Economics and Finance 2003, Society for Computational Economics
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) View citations (3)

2002

35. A minimal noise trader model with realistic time series
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (6)
36. Genetic Learning and the Stylized Facts of Foreign Exchange Markets
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

37. On Dynamics in An Asset Pricing Model with Heterogeneous Expectations
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
38. The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (1)

1999

39. Multi-Fractal Processes as Models for Financial Returns: A First Assessment
    Discussion Paper Serie B, University of Bonn, Germany
40. Multi-Fractal Processes as Models for Financial Returns: Multi-Fractal Processes as Models for Financial Returns: A First Assessment
    Discussion Paper Serie B, University of Bonn, Germany
41. On Rational Bubbles and Fat Tails
    Papers, arXiv.org View citations (1)
    Also in Discussion Paper Serie B, University of Bonn, Germany (1999) View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2002)
42. Testing for Non-Linear Structure in an Artificial Financial Market
    Discussion Paper Serie B, University of Bonn, Germany View citations (11)
    See also Journal Article in Journal of Economic Behavior & Organization (2001)

1998

43. A Note on the Stochastic Properties of German Stock Returns
    Discussion Paper Serie B, University of Bonn, Germany
44. Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market
    Discussion Paper Serie B, University of Bonn, Germany View citations (93)
45. The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange
    Discussion Paper Serie B, University of Bonn, Germany
    See also Journal Article in Applied Financial Economics (2001)
46. Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents
    Discussion Paper Serie B, University of Bonn, Germany View citations (103)

Journal Articles

2011

1. SWITCHING RATES AND THE ASYMPTOTIC BEHAVIOR OF HERDING MODELS
   Advances in Complex Systems (ACS), 2011, 14, (03), 359-376 View citations (1)
   See also Working Paper (2010)

2010

2. Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
   Computational Statistics & Data Analysis, 2010, 54, (11), 2676-2692 View citations (2)
   See also Working Paper (2009)

2009

3. Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey
   Journal of Economic Behavior & Organization, 2009, 72, (2), 638-655 View citations (6)
   See also Working Paper (2008)

2008

4. Introduction to special issue on `Applications of Statistical Physics in Economics and Finance'
   Journal of Economic Dynamics and Control, 2008, 32, (1), 1-6
5. MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
   Advances in Complex Systems (ACS), 2008, 11, (05), 669-684
   See also Working Paper (2008)
6. New Advances in Financial Economics: Heterogeneity and Simulation
   Computational Economics, 2008, 32, (1), 1-2
7. The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
   Journal of Business & Economic Statistics, 2008, 26, 194-210 View citations (4)
   See also Working Paper (2006)
8. Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
   Journal of Economic Dynamics and Control, 2008, 32, (1), 101-136 View citations (14)
   See also Working Paper (2006)

2007

9. A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
   Macroeconomic Dynamics, 2007, 11, (S1), 80-101 View citations (17)
   See also Working Paper (2005)
10. Empirical validation of stochastic models of interacting agents
    The European Physical Journal B - Condensed Matter and Complex Systems, 2007, 55, (2), 183-187
11. Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (6), 1808-1843 View citations (8)
    See also Working Paper (2006)

2006

12. Welcome to JEIC
    Journal of Economic Interaction and Coordination, 2006, 1, (1), 1-3

2005

13. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
    Computational Economics, 2005, 26, (1), 19-49 View citations (53)
14. Genetic learning as an explanation of stylized facts of foreign exchange markets
    Journal of Mathematical Economics, 2005, 41, (1-2), 169-196 View citations (18)
    See also Working Paper (2003)

2002

15. Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets
    Journal of Economic Behavior & Organization, 2002, 49, (2), 143-147 View citations (1)
16. On Rational Bubbles and Fat Tails
    Journal of Money, Credit and Banking, 2002, 34, (3), 589-610 View citations (21)
    See also Working Paper (1999)

2001

17. On moment condition failure in German stock returns: an application of recent advances in extreme value statistics
    Empirical Economics, 2000, 25, (4), 641-652
18. Power laws and long memory
    Quantitative Finance, 2001, 1, (6), 560-562 View citations (1)
19. Testing for non-linear structure in an artificial financial market
    Journal of Economic Behavior & Organization, 2001, 46, (3), 327-342 View citations (30)
    See also Working Paper (1999)
20. The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange
    Applied Financial Economics, 2001, 11, (3), 299-315 View citations (16)
    See also Working Paper (1998)
21. Turbulence in financial markets: the surprising explanatory power of simple cascade models
    Quantitative Finance, 2001, 1, (6), 632-640 View citations (7)

1998

22. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions
    Journal of Economic Behavior & Organization, 1998, 33, (2), 143-165 View citations (120)

1997

23. Time variation of second moments from a noise trader/infection model
    Journal of Economic Dynamics and Control, 1997, 22, (1), 1-38 View citations (42)

1996

24. Long-term stochastic dependence in financial prices: evidence from the German stock market
    Applied Economics Letters, 1996, 3, (11), 701-706 View citations (6)

1995

25. Herd Behaviour, Bubbles and Crashes
    Economic Journal, 1995, 105, (431), 881-96 View citations (63)

1993

26. Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle
    Scandinavian Journal of Economics, 1993, 95, (3), 355-63 View citations (6)

1992

27. A note on the stability of endogenous cycles in Diamond's model of search and barter
    Journal of Economics, 1992, 56, (2), 185-196

Editor

1. Journal of Economic Interaction and Coordination
   Springer