Details about Thomas Lux
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Short-id: plu102
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Working Papers
2010
- Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
MPRA Paper, University Library of Munich, Germany View citations (8)
- Extreme Value Theory as a Theoretical Background for Power Law Behavior
MPRA Paper, University Library of Munich, Germany View citations (3)
- Reintegrating the Social Sciences: The Dahlem Group
Middlebury College Working Paper Series, Middlebury College, Department of Economics
2009
- Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments
CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (6)
- The Financial Crisis and the Systemic Failure of Academic Economics
Discussion Papers, University of Copenhagen. Department of Economics View citations (195)
Also in Middlebury College Working Paper Series, Middlebury College, Department of Economics (2009) View citations (162)
2008
- Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (13)
- Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (2)
See also Journal Article Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey, Journal of Economic Behavior & Organization, Elsevier (2009) View citations (70) (2009)
- Stochastic behavioral asset pricing models and the stylized facts
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (16)
2007
- Agent-based Models of Financial Markets
Papers, arXiv.org View citations (98)
- Applications of statistical physics in finance and economics
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (7)
- 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 (42)
Also in Papers, arXiv.org (2007) View citations (42)
2006
- A minimal noise trader model with realistic time series properties
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (1)
Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) View citations (5)
- Financial power laws: Empirical evidence, models, and mechanism
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (30)
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (1)
See also Journal Article Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (61) (2007)
- Microscopic models of financial markets
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (3)
Also in Papers, arXiv.org (2001)
- The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (5)
Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2004) View citations (2)
See also Journal Article The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (67) (2008)
- 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)
See also Journal Article Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (119) (2008)
2005
- 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 (16)
See also Journal Article A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY, Macroeconomic Dynamics, Cambridge University Press (2007) View citations (54) (2007)
2004
- 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 (3)
- 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 View citations (3)
2003
- Detecting multi-fractal properties in asset returns: The failure of the scaling estimator
Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (5)
- 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 (2002) View citations (7)
See also Journal Article Genetic learning as an explanation of stylized facts of foreign exchange markets, Journal of Mathematical Economics, Elsevier (2005) View citations (58) (2005)
- 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 View citations (17)
Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) View citations (16)
2002
- A minimal noise trader model with realistic time series
Computing in Economics and Finance 2002, Society for Computational Economics View citations (10)
- Genetic Learning and the Stylized Facts of Foreign Exchange Markets
Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)
2001
- 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
- The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation
Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
1999
- On Rational Bubbles and Fat Tails
Papers, arXiv.org View citations (6)
See also Journal Article On Rational Bubbles and Fat Tails, Journal of Money, Credit and Banking, Blackwell Publishing (2002) View citations (69) (2002)
Journal Articles
2010
- Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Computational Statistics & Data Analysis, 2010, 54, (11), 2676-2692 View citations (28)
2009
- 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 (70)
See also Working Paper Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey, Economics Working Papers (2008) View citations (2) (2008)
2008
- Introduction to special issue on `Applications of Statistical Physics in Economics and Finance'
Journal of Economic Dynamics and Control, 2008, 32, (1), 1-6 View citations (9)
- New Advances in Financial Economics: Heterogeneity and Simulation
Computational Economics, 2008, 32, (1), 1-2 View citations (5)
- 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 (67)
See also Working Paper The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility, Economics Working Papers (2006) View citations (5) (2006)
- 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 (119)
See also Working Paper Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach, Economics Working Papers (2006) (2006)
2007
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
Macroeconomic Dynamics, 2007, 11, (S1), 80-101 View citations (54)
See also Working Paper A noise trader model as a generator of apparent financial power laws and long memory, Economics Working Papers (2005) View citations (16) (2005)
- Empirical validation of stochastic models of interacting agents
The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 183-187 View citations (22)
- 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 (61)
See also Working Paper Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching, Economics Working Papers (2006) View citations (1) (2006)
2006
- Welcome to JEIC
Journal of Economic Interaction and Coordination, 2006, 1, (1), 1-3 View citations (1)
2005
- Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
Computational Economics, 2005, 26, (1), 19-49 View citations (251)
- Genetic learning as an explanation of stylized facts of foreign exchange markets
Journal of Mathematical Economics, 2005, 41, (1-2), 169-196 View citations (58)
See also Working Paper Genetic learning as an explanation of stylized facts of foreign exchange markets, Economics Working Papers (2003) (2003)
2002
- 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 (8)
- On Rational Bubbles and Fat Tails
Journal of Money, Credit and Banking, 2002, 34, (3), 589-610 View citations (69)
See also Working Paper On Rational Bubbles and Fat Tails, Papers (1999) View citations (6) (1999)
2001
- On moment condition failure in German stock returns: an application of recent advances in extreme value statistics
Empirical Economics, 2000, 25, (4), 641-652
- Power laws and long memory
Quantitative Finance, 2001, 1, (6), 560-562 View citations (4)
- Testing for non-linear structure in an artificial financial market
Journal of Economic Behavior & Organization, 2001, 46, (3), 327-342 View citations (72)
- 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 (34)
- Turbulence in financial markets: the surprising explanatory power of simple cascade models
Quantitative Finance, 2001, 1, (6), 632-640 View citations (21)
1998
- 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 (366)
1997
- Time variation of second moments from a noise trader/infection model
Journal of Economic Dynamics and Control, 1997, 22, (1), 1-38 View citations (105)
1996
- Long-term stochastic dependence in financial prices: evidence from the German stock market
Applied Economics Letters, 1996, 3, (11), 701-706 View citations (24)
1995
- Herd Behaviour, Bubbles and Crashes
Economic Journal, 1995, 105, (431), 881-96 View citations (556)
1992
- A note on the stability of endogenous cycles in Diamond's model of search and barter
Journal of Economics, 1992, 56, (2), 185-196 View citations (2)
Editor
- Journal of Economic Interaction and Coordination
Springer
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