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Details about Thomas Lux

Homepage:http://www.gwif.vwl.uni-kiel.de/de/mitarbeiterinnen-und-mitarbeiter/forschungsgruppe-1/prof.-dr.-tho
Workplace:Institut für Volkswirtschaftslehre (Department of Economics), Christian-Albrechts-Universität Kiel (University of Kiel), (more information at EDIRC)
Departament d'Economia (Economics Department), Universitat Jaume I (Jaume I University), (more information at EDIRC)

Access statistics for papers by Thomas Lux.

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

Short-id: plu102


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Working Papers

2010

  1. Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
  2. Extreme Value Theory as a Theoretical Background for Power Law Behavior
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. Reintegrating the Social Sciences: The Dahlem Group
    Middlebury College Working Paper Series, Middlebury College, Department of Economics Downloads

2009

  1. Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (2)
  2. The Financial Crisis and the Systemic Failure of Academic Economics
    Middlebury College Working Paper Series, Middlebury College, Department of Economics Downloads View citations (77)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2009) Downloads View citations (117)

2008

  1. 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 Downloads View citations (4)
  2. 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 Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2007) Downloads View citations (2)

    See also Journal Article in Journal of Economic Behavior & Organization (2009)
  3. Stochastic Behavioral Asset Pricing Models and the Stylized Facts
    Working Papers, Warwick Business School, Finance Group Downloads View citations (2)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2008) Downloads View citations (3)

2007

  1. Agent-based Models of Financial Markets
    Papers, arXiv.org Downloads View citations (36)
  2. Application of Statistical Physics in Finance and Economics
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2007) Downloads View citations (5)
  3. Collective Opinion Formation in a Business Climate Survey
    Working Papers, Warwick Business School, Finance Group Downloads
  4. 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, Finance Group Downloads
  5. True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
    Working Papers, Warwick Business School, Finance Group Downloads View citations (23)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2007) Downloads View citations (21)
    Papers, arXiv.org (2007) Downloads View citations (22)

2006

  1. A minimal noise trader model with realistic time series properties
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) Downloads View citations (5)
  2. Financial power laws: Empirical evidence, models, and mechanism
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (12)
  3. Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2006) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2007)
  4. Microscopic models of financial markets
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (1)
    Also in Papers, arXiv.org (2001) Downloads
  5. The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2004) Downloads View citations (2)
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2006) Downloads View citations (5)

    See also Journal Article in Journal of Business & Economic Statistics (2008)
  6. 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 Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2005) Downloads View citations (6)
    Working Papers, Warwick Business School, Finance Group (2005) Downloads View citations (12)

    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2005

  1. 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 Downloads View citations (16)
    See also Journal Article in Macroeconomic Dynamics (2007)

2004

  1. 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)
  2. 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 Downloads

2003

  1. Detecting multi-fractal properties in asset returns: The failure of the scaling estimator
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (2)
  2. Genetic learning as an explanation of stylized facts of foreign exchange markets
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2002) Downloads View citations (4)

    See also Journal Article in Journal of Mathematical Economics (2005)
  3. 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 (10)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) Downloads View citations (13)

2002

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

2001

  1. 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
  2. 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

  1. On Rational Bubbles and Fat Tails
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (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 Downloads View citations (19)

2009

  1. 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 Downloads View citations (40)
    See also Working Paper (2008)

2008

  1. Introduction to special issue on `Applications of Statistical Physics in Economics and Finance'
    Journal of Economic Dynamics and Control, 2008, 32, (1), 1-6 Downloads View citations (8)
  2. New Advances in Financial Economics: Heterogeneity and Simulation
    Computational Economics, 2008, 32, (1), 1-2 Downloads View citations (3)
  3. The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
    Journal of Business & Economic Statistics, 2008, 26, 194-210 Downloads View citations (37)
    See also Working Paper (2006)
  4. 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 Downloads View citations (66)
    See also Working Paper (2006)

2007

  1. A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
    Macroeconomic Dynamics, 2007, 11, (S1), 80-101 Downloads View citations (31)
    See also Working Paper (2005)
  2. Empirical validation of stochastic models of interacting agents
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 183-187 Downloads View citations (18)
  3. 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 Downloads View citations (47)
    See also Working Paper (2006)

2006

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

2005

  1. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
    Computational Economics, 2005, 26, (1), 19-49 Downloads View citations (186)
  2. Genetic learning as an explanation of stylized facts of foreign exchange markets
    Journal of Mathematical Economics, 2005, 41, (1-2), 169-196 Downloads View citations (49)
    See also Working Paper (2003)

2002

  1. 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 Downloads View citations (3)
  2. On Rational Bubbles and Fat Tails
    Journal of Money, Credit and Banking, 2002, 34, (3), 589-610 View citations (42)
    See also Working Paper (1999)

2001

  1. On moment condition failure in German stock returns: an application of recent advances in extreme value statistics
    Empirical Economics, 2000, 25, (4), 641-652 Downloads
  2. Power laws and long memory
    Quantitative Finance, 2001, 1, (6), 560-562 Downloads View citations (2)
  3. Testing for non-linear structure in an artificial financial market
    Journal of Economic Behavior & Organization, 2001, 46, (3), 327-342 Downloads View citations (67)
  4. 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 Downloads View citations (27)
  5. Turbulence in financial markets: the surprising explanatory power of simple cascade models
    Quantitative Finance, 2001, 1, (6), 632-640 Downloads View citations (17)

1998

  1. 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 Downloads View citations (257)

1997

  1. Time variation of second moments from a noise trader/infection model
    Journal of Economic Dynamics and Control, 1997, 22, (1), 1-38 Downloads View citations (90)

1996

  1. Long-term stochastic dependence in financial prices: evidence from the German stock market
    Applied Economics Letters, 1996, 3, (11), 701-706 Downloads View citations (14)

1995

  1. Herd Behaviour, Bubbles and Crashes
    Economic Journal, 1995, 105, (431), 881-96 Downloads View citations (356)

1993

  1. 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 (13)

1992

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

Editor

  1. Journal of Economic Interaction and Coordination
    Springer
 
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