Details about Thomas Lux

Access statistics for papers by Thomas Lux.

Last updated 2016-05-31. Update your information in the RePEc Author Service.

Short-id: plu102

Working Papers

2010

1. Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
   MPRA Paper, University Library of Munich, Germany View citations (8)
2. Extreme Value Theory as a Theoretical Background for Power Law Behavior
   MPRA Paper, University Library of Munich, Germany View citations (3)
3. Reintegrating the Social Sciences: The Dahlem Group
   Middlebury College Working Paper Series, Middlebury College, Department of Economics

2009

4. 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)
5. 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

6. 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)
7. 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)
8. Stochastic behavioral asset pricing models and the stylized facts
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (16)

2007

9. Agent-based Models of Financial Markets
   Papers, arXiv.org View citations (100)
10. Applications of statistical physics in finance and economics
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (7)
11. 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

12. 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)
13. Financial power laws: Empirical evidence, models, and mechanism
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (30)
14. 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)
15. 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)
16. 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)
17. 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 (120) (2008)

2005

18. 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

19. 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)
20. 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

21. 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)
22. 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)
23. 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

24. A minimal noise trader model with realistic time series
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (10)
25. Genetic Learning and the Stylized Facts of Foreign Exchange Markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)

2001

26. 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
27. 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

28. 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

1. 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

2. 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

3. 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)
4. New Advances in Financial Economics: Heterogeneity and Simulation
   Computational Economics, 2008, 32, (1), 1-2 View citations (5)
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)
6. 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 (120)
   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

7. 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)
8. 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)
9. 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

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

2005

11. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
    Computational Economics, 2005, 26, (1), 19-49 View citations (251)
12. 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

13. 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)
14. 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

15. On moment condition failure in German stock returns: an application of recent advances in extreme value statistics
    Empirical Economics, 2000, 25, (4), 641-652
16. Power laws and long memory
    Quantitative Finance, 2001, 1, (6), 560-562 View citations (4)
17. Testing for non-linear structure in an artificial financial market
    Journal of Economic Behavior & Organization, 2001, 46, (3), 327-342 View citations (72)
18. 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)
19. Turbulence in financial markets: the surprising explanatory power of simple cascade models
    Quantitative Finance, 2001, 1, (6), 632-640 View citations (21)

1998

20. 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 (367)

1997

21. 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

22. 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

23. Herd Behaviour, Bubbles and Crashes
    Economic Journal, 1995, 105, (431), 881-96 View citations (559)

1992

24. 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

1. Journal of Economic Interaction and Coordination
   Springer