Thomas Lux : Citation Profile

Are you Thomas Lux?

Christian-Albrechts-Universität Kiel (50% share)
Universitat Jaume I (50% share)

21

H index

25

i10 index

2342

Citations

RESEARCH PRODUCTION:

24

Articles

36

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (1992 - 2010). See details.
   Cites by year: 130
   Journals where Thomas Lux has often published
   Relations with other researchers
   Recent citing documents: 127.    Total self citations: 26 (1.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu102
   Updated: 2023-01-28    RAS profile: 2016-05-31    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Lux.

Is cited by:

He, Xuezhong (Tony) (123)

Westerhoff, Frank (87)

Chiarella, Carl (78)

Hommes, Cars (58)

Alfarano, Simone (52)

Li, Youwei (51)

GUPTA, RANGAN (40)

Di Guilmi, Corrado (30)

Reitz, Stefan (28)

Gallegati, Mauro (25)

Chen, Shu-Heng (24)

Cites to:

Lobato, Ignacio (22)

Kirman, Alan (22)

Calvet, Laurent (22)

Alfarano, Simone (22)

Marchesi, Michele (21)

Hommes, Cars (21)

Brock, William (19)

Granger, Clive (17)

Summers, Lawrence (17)

Fisher, Adlai (17)

Solomon, Sorin (17)

Main data

Where Thomas Lux has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Journal of Economic Behavior & Organization4
Computational Economics2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics19
Papers / arXiv.org4
Computing in Economics and Finance 2002 / Society for Computational Economics2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Thomas Lux (2022 and 2021)

YearTitle of citing document
2021Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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2021Non-Extensive Value-at-Risk Estimation During Times of Crisis. (2020). Tehrani, Reza ; Asadi, Nazanin ; Namaki, Ali ; Hajihasani, Ahmad. In: Papers. RePEc:arx:papers:2005.09036.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Wealth rheology. (2021). Burda, Zdzislaw ; Snarska, Malgorzata ; Malarz, Krzysztof ; Krawczyk, Malgorzata J. In: Papers. RePEc:arx:papers:2105.08048.

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2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

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2021Understanding the nature of the long-range memory phenomenon in socioeconomic systems. (2021). Gontis, Vygintas ; Kaulakys, Bronislovas ; Kononovicius, Aleksejus ; Kazakevicius, Rytis. In: Papers. RePEc:arx:papers:2108.02506.

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2021Psychological dimension of adaptive trading in cryptocurrency markets. (2021). Perepelitsa, Misha. In: Papers. RePEc:arx:papers:2109.12166.

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2022Investing in a cryptocurrency price bubble: speculative Ponzi schemes and cyclic stochastic price pumps. (2021). Perepelitsa, Misha. In: Papers. RePEc:arx:papers:2111.11315.

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2022Machine Learning Simulates Agent-Based Model Towards Policy. (2022). Furtado, Bernardo ; Andreao, Gustavo Onofre. In: Papers. RePEc:arx:papers:2203.02576.

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2022Bounded strategic reasoning explains crisis emergence in multi-agent market games. (2022). Prokopenko, Mikhail ; Evans, Benjamin Patrick. In: Papers. RePEc:arx:papers:2206.05568.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2022The Future of Traditional Fuel Vehicles (TFV) and New Energy Vehicles (NEV): Creative Destruction or Co-existence?. (2022). Zhi, Tianhao ; Zhang, Liang ; Huang, Zhaojia. In: Papers. RePEc:arx:papers:2207.03672.

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2022DNN-ForwardTesting: A New Trading Strategy Validation using Statistical Timeseries Analysis and Deep Neural Networks. (2022). Dyoub, Abeer ; de Gasperis, Giovanni ; della Penna, Giuseppe ; Letteri, Ivan. In: Papers. RePEc:arx:papers:2210.11532.

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2022Liquidity based modeling of asset price bubbles via random matching. (2022). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.13804.

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2022Economists in the 2008 Financial Crisis: Slow to See, Fast to Act. (2022). Levy, Daniel ; Raviv, Alon ; Mayer, Tamir. In: Working Papers. RePEc:biu:wpaper:2022-01.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021Behavioral heterogeneity in return expectations across equity style portfolios. (2021). Stork, Philip ; Vidojevic, Milan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1225-1250.

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2022Negative bubbles and the market for “dreams”: “Lemons” in the looking glass. (2022). Emery, Douglas R. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:5-16.

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2022A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations. (2022). Proao, Christian ; Galanis, Giorgos ; di Guilmi, Corrado. In: Working Papers. RePEc:cgs:wpaper:106.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2022Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334.

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2021Expectation formation in finance and macroeconomics: A review of new experimental evidence. (2021). Hommes, Cars ; Bao, Te ; Pei, Jiaoying. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001350.

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2021Supportive interactions in the noisy voter model. (2021). Kononovicius, Aleksejus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:143:y:2021:i:c:s0960077920310183.

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2022A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (2022). Zhang, Xiaoqi ; Zhao, Zhijun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921008973.

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2022The predictive power of power-laws: An empirical time-arrow based investigation. (2022). Kalda, Jaan ; di Tollo, Giacomo ; Andria, Joseph. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s096007792200635x.

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2021From ants to fishing vessels: a simple model for herding and exploitation of finite resources. (2021). Kirman, Alan ; Benzaquen, Michael ; Fosset, Antoine ; Moran, Jose. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001044.

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2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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2021Monetary Policy with a State-Dependent Inflation Target in a Behavioral Two-Country Monetary Union Model. (2021). Lojak, Benjamin ; Proao, Christian R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001718.

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2022Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models. (2022). Lux, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:69-95.

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2021Equilibrium indeterminacy and sunspot tales. (2021). Sorge, Marco ; Dave, Chetan. In: European Economic Review. RePEc:eee:eecrev:v:140:y:2021:i:c:s0014292121002348.

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2021The price discovery role of day traders in futures market: Evidence from different types of day traders. (2021). Tsai, Shih-Chuan ; Fung, Scott. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:53-77.

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2021A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation. (2021). Li, Hong Gang ; Guo, Xinshuai ; Wang, Binghong ; Shi, Leilei. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302465.

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2021Same same but different – Stylized facts of CTA sub strategies. (2021). Li, Youwei ; Mende, Alexander ; Liu, Rui Peng ; Erds, Peter . In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000016.

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2021From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. (2021). Donadelli, Michael ; Tzouvanas, Panagiotis ; Kizys, Renatas. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000053.

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2022Bounded rationality, adaptive behaviour, and asset prices. (2022). Li, Kai ; Zhao, Dongxu. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000163.

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2022Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

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2022On the destabilizing nature of capital gains taxes. (2022). Westerhoff, Frank ; Gardini, Laura ; Dieci, Roberto. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002162.

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2022COVID-19 pandemic improves market signals of cryptocurrencies–evidence from Bitcoin, Bitcoin Cash, Ethereum, and Litecoin. (2022). Owusu, Phebe Asantewaa ; Ahmed, Maruf Yakubu ; Sarkodie, Samuel Asumadu. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001306.

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2022Herding intensity and volatility in cryptocurrency markets during the COVID-19. (2022). Cagli, Efe Caglar ; Mandaci, Pinar Evrim. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003846.

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2022The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach. (2022). Pantelous, Athanasios A ; Chen, Yanhua. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004621.

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2022Economists in the 2008 financial crisis: Slow to see, fast to act. (2022). Raviv, Alon ; Mayer, Tamir ; Levy, Daniel. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000158.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2022The conditional impact of investor sentiment in global stock markets: A two-channel examination. (2022). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000589.

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2021Financial crises: Uncovering self-organized patterns and predicting stock markets instability. (2021). Pammolli, F ; Pecora, N ; Flori, A ; Spelta, A. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:736-756.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2021The double-edged role of social learning: Flash crash and lower total volatility. (2021). Wang, Xue ; Xiong, Xiong ; Zhang, Wei ; Xu, Hai-Chuan ; Zhou, Wei-Xing. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:405-420.

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2021The impact of quantitative easing on UK bank lending: Why banks do not lend to businesses?. (2021). Giansante, Simone ; Markose, Sheri ; Fatouh, Mahmoud. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:183:y:2021:i:c:p:928-953.

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2021Comparing behavioural heterogeneity across asset classes. (2021). , Remco ; Hommes, Cars H ; Ellen, Saskia Ter. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:185:y:2021:i:c:p:747-769.

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2021Convergence and divergence in dynamic voting with inequality. (2021). Galanis, Giorgos ; di Guilmi, Corrado. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:187:y:2021:i:c:p:137-158.

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2021Sentiment: The bridge between financial markets and macroeconomy. (2021). Chen, Zhenxi ; Lin, Yaheng ; Lien, Donald. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:188:y:2021:i:c:p:1177-1190.

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2021Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics.. (2021). Makarewicz, Tomasz. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:190:y:2021:i:c:p:626-673.

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2021Institutional investor sentiment and the mean-variance relationship: Global evidence. (2021). Duxbury, Darren ; Wang, Wenzhao. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:415-441.

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2021Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets. (2021). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:117-136.

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2021Does parameterization affect the complexity of agent-based models?. (2021). Krištoufek, Ladislav ; Kristoufek, Ladislav ; Kukacka, Jiri. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:324-356.

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2022Causes of fragile stock market stability. (2022). Westerhoff, F ; Sushko, I ; Schmitt, N ; Radi, D ; Gardini, L. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:200:y:2022:i:c:p:483-498.

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2022The influence of mobile trading on return dispersion and herding behavior. (2022). Wu, Chongfeng ; Diao, Xundi ; Li, Zhuolei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000622.

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2021The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591.

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2021Multi-scale transition matrix approach to time series. (2021). Yang, Huijie ; Gu, Changgui ; Weng, Tongfeng ; Zhang, Jing ; Semba, Sherehe ; Yuan, Qianshun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003897.

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2021Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets. (2021). Pammolli, Fabio ; Flori, Andrea ; Pecora, Nicolo ; Spelta, Alessandro ; Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005136.

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2022A risk measure of the stock market that is based on multifractality. (2022). Chen, Liqing ; Zhang, Zilu ; Sun, QI ; Wang, YI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001960.

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2022Agent-based modelling of the global phonographic market. (2022). Kwapie, Jarosaw ; Buda, Andrzej . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:598:y:2022:i:c:s0378437122001996.

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2022Climate change and financial stability: Natural disaster impacts on global stock markets. (2022). Pammolli, Fabio ; Flori, Andrea ; Spelta, Alessandro ; Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:599:y:2022:i:c:s037843712200365x.

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2022Estimating a model of herding behavior on social networks. (2022). , Maxime. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005684.

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2021Share pledge transactions as an investor sentiment indicator - Evidence from China. (2021). Ho Yin Yick, ; Wang, Jianli ; Zhu, Xiaoyu ; Lu, Hengzhen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:230-238.

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2022Herding in the Chinese and US stock markets: Evidence from a micro-founded approach. (2022). Chen, Zhenxi ; Zheng, Huanhuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:597-604.

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2022Financial bubbles as a recursive process lead by short-term strategies. (2022). Lombardini, Simone ; Cerruti, Gianluca. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:555-568.

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2022Thirty years of herd behavior in financial markets: A bibliometric analysis. (2022). Wong, Wing-Keung ; Batmunkh, Munkh-Ulzii ; Vieito, Joo Paulo ; Mendez, Christian Espinosa ; Choijil, Enkhbayar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001276.

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2021Asset price dynamics in a “bull and bear market”. (2021). Perevalova, Tatyana ; Maklakova, Elena ; Jungeilges, Jochen. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:56:y:2021:i:c:p:117-128.

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2022A Conversation with Katarina Juselius. (2022). Paruolo, Paolo ; Mosconi, Rocco. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:20-:d:793014.

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2021Searching for a Theory That Fits the Data: A Personal Research Odyssey. (2021). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:5-:d:490756.

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2022Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021). (2022). giouvris, evangelos ; Zhang, Hang. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:134-:d:769142.

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2021.

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2021Visions of Automation: A Comparative Discussion of Two Approaches. (2021). Frey, Philipp. In: Societies. RePEc:gam:jsoctx:v:11:y:2021:i:2:p:63-:d:576104.

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2021Risk-Taking and Tail Events Across Trading Institutions. (2021). Hanaki, Nobuyuki ; Cornand, Camille ; Corgnet, Brice. In: Working Papers. RePEc:gat:wpaper:2117.

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2022Foreign Exchange Multivariate Multifractal Analysis. (2022). Malevergne, Yannick ; Jaffres, Laurent ; Senneret, Marc ; Jaffard, Stephane ; Wendt, Herwig ; Abry, Patrice. In: Post-Print. RePEc:hal:journl:hal-03735497.

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2022A Distributional Perspective on Primary Sources from Ancient Greece. (2021). Gauthier, Laurent. In: Working Papers. RePEc:hal:wpaper:hal-03315002.

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2021Risk-Taking and Tail Events Across Trading Institutions. (2021). Cornand, Camille ; Corgnet, Brice ; Hanaki, Nobuyuki. In: Working Papers. RePEc:hal:wpaper:hal-03468913.

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2021Risk-Taking and Tail Events Across Trading Institutions. (2021). Hanaki, Nobuyuki ; Cornand, Camille ; Corgnet, Brice. In: Working Papers. RePEc:hal:wpaper:halshs-03357898.

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2021Zur Pluralitaet der oekonomischen Politikberatung in Deutschland. (2021). Pühringer, Stephan ; Puehringer, Stephan. In: ICAE Working Papers. RePEc:ico:wpaper:132.

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2022Values-Based and Global Systemically Important Banks: Their Stability and the Impact of Regulatory Changes After the Financial Crisis on it. (2022). Utz, Sebastian ; Schafer, Theresa. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:1:d:10.1007_s10690-021-09332-w.

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2021Gender and Bubbles in Experimental Markets with Positive and Negative Expectation Feedback. (2021). Yu, Xiaohua ; Bao, Te ; Lu, Zhou. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10020-6.

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2021Microconsistency in Simple Empirical Agent-Based Financial Models. (2021). Lebaron, Blake. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:1:d:10.1007_s10614-019-09917-8.

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2021Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model. (2021). Li, Han Dong ; Zhou, Xuan ; Shi, YU ; Luo, Qixuan. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09987-z.

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2022Bayesian Estimation of Economic Simulation Models Using Neural Networks. (2022). Platt, Donovan. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10095-9.

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2022A New Strategy for Short-Term Stock Investment Using Bayesian Approach. (2022). Nguyen-Trang, Thao ; Le-Dai, Nghiep ; Che-Ngoc, HA ; Vo-Van, Tai. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10115-8.

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2022Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo. (2022). Lux, Thomas. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10155-0.

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2022Calibration of Agent-Based Models by Means of Meta-Modeling and Nonparametric Regression. (2022). Chen, Siyan ; Desiderio, Saul. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:4:d:10.1007_s10614-021-10188-5.

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2021High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; GUPTA, RANGAN ; Lesame, Keagile ; Segnon, Mawuli. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:2:d:10.1007_s11146-020-09745-w.

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2021Disarray at the headquarters: Economists and Central bankers tested by the subprime and the COVID recessions. (2021). Costa, Gonalo Pessa ; Abreu, Alexandre ; Lou, Francisco ; Francisco Lou, . In: Industrial and Corporate Change. RePEc:oup:indcch:v:30:y:2021:i:2:p:273-296..

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2021Advances in the Agent-Based Modeling of Economic and Social Behavior. (2021). Raddant, Matthias ; Alfarano, Simone ; Lux, Thomas ; Iori, Giulia ; Camacho-Cuena, Eva ; Karimi, Fariba ; Steinbacher, Mitja. In: MPRA Paper. RePEc:pra:mprapa:107317.

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2022Economists in the 2008 Financial Crisis: Slow to See, Fast to Act. (2022). Levy, Daniel ; Raviv, Alon ; Mayer, Tamir. In: MPRA Paper. RePEc:pra:mprapa:112008.

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2022Disposition Effect and its outcome on endogenous price fluctuations. (2022). Tramontana, Fabio ; Cafferata, Alessia. In: MPRA Paper. RePEc:pra:mprapa:113904.

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2021Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective. (2021). GUPTA, RANGAN ; Bouri, Elie ; Liu, Rui Peng. In: Working Papers. RePEc:pre:wpaper:202178.

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2022Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment. (2022). Pierdzioch, Christian ; Bonato, Matteo ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202247.

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2022Economists in the 2008 Financial Crisis: Slow to See, Fast to Act. (2022). Levy, Daniel ; Raviv, Alon ; Mayer, Tamir. In: Working Paper series. RePEc:rim:rimwps:22-04.

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2022A Cautionary Tale of Fat Tails. (2022). Dressler, Scott ; Dave, Chetan ; Malik, Samreen. In: Working Papers. RePEc:ris:albaec:2022_001.

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2021A Bibliometric Analysis of Behavioral Finance and Behavioral Accounting. (2021). Singh, Bharati. In: American Business Review. RePEc:ris:ambsrv:0044.

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2022Transitions among states behind interactive agent model. (2022). Cheng, Po-Keng. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:28:y:2022:i:1:d:10.1007_s10588-021-09337-w.

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2021Cross-section instability in financial markets: impatience, extrapolation, and switching. (2021). He, Xuezhong (Tony) ; Dieci, Roberto. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00348-5.

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2021Herding and capitalization size in the Chinese stock market: a micro-foundation evidence. (2021). Chen, Zhenxi ; Ru, Jing. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-019-01816-z.

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More than 100 citations found, this list is not complete...

Thomas Lux is editor of

Journal
Journal of Economic Interaction and Coordination

Works by Thomas Lux:

YearTitleTypeCited
2001On Dynamics in An Asset Pricing Model with Heterogeneous Expectations In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper0
2009Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper28
2007True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence In: Papers.
[Full Text][Citation analysis]		paper41
2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence.(2007) In: Economics Working Papers.
[Full Text][Citation analysis]
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2001Microscopic Models of Financial Markets In: Papers.
[Full Text][Citation analysis]		paper3
2006Microscopic models of financial markets.(2006) In: Economics Working Papers.
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This paper has another version. Agregated cites: 3		paper
1999On Rational Bubbles and Fat Tails In: Papers.
[Full Text][Citation analysis]		paper67
2002On Rational Bubbles and Fat Tails..(2002) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 67		article
2007Agent-based Models of Financial Markets In: Papers.
[Full Text][Citation analysis]		paper92
2008The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article66
2004The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility.(2004) In: Economics Working Papers.
[Full Text][Citation analysis]
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2006The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66		paper
2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article50
2005A noise trader model as a generator of apparent financial power laws and long memory.(2005) In: Economics Working Papers.
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This paper has another version. Agregated cites: 50		paper
1995Herd Behaviour, Bubbles and Crashes. In: Economic Journal.
[Full Text][Citation analysis]		article514
2010Forecasting volatility under fractality, regime-switching, long memory and student-t innovations In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article27
1997Time variation of second moments from a noise trader/infection model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article92
2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article57
2006Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching.(2006) In: Economics Working Papers.
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This paper has another version. Agregated cites: 57		paper
2008Introduction to special issue on `Applications of Statistical Physics in Economics and Finance In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article9
2008Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article108
2005Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach.(2005) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		paper
2006Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		paper
1998The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article339
2001Testing for non-linear structure in an artificial financial market In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article64
2002Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article8
2009Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article61
2008Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 61		paper
2005Genetic learning as an explanation of stylized facts of foreign exchange markets In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article56
2002Genetic learning as an explanation of stylized facts of foreign exchange markets.(2002) In: Discussion Paper Series 1: Economic Studies.
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This paper has another version. Agregated cites: 56		paper
2003Genetic learning as an explanation of stylized facts of foreign exchange markets.(2003) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		paper
2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model In: Computational Economics.
[Full Text][Citation analysis]		article237
2008New Advances in Financial Economics: Heterogeneity and Simulation In: Computational Economics.
[Full Text][Citation analysis]		article5
1992A note on the stability of endogenous cycles in Diamonds model of search and barter In: Journal of Economics.
[Full Text][Citation analysis]		article2
2009The Financial Crisis and the Systemic Failure of Academic Economics In: Discussion Papers.
[Full Text][Citation analysis]		paper193
2009The Financial Crisis and the Systemic Failure of Academic Economics.(2009) In: Middlebury College Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 193		paper
2010Reintegrating the Social Sciences: The Dahlem Group In: Middlebury College Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Extreme Value Theory as a Theoretical Background for Power Law Behavior In: MPRA Paper.
[Full Text][Citation analysis]		paper6
2010Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2001The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation In: Computing in Economics and Finance 2001.
[Citation analysis]		paper1
2002Genetic Learning and the Stylized Facts of Foreign Exchange Markets In: Computing in Economics and Finance 2002.
[Citation analysis]		paper5
2002A minimal noise trader model with realistic time series In: Computing in Economics and Finance 2002.
[Citation analysis]		paper5
2003The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting In: Computing in Economics and Finance 2003.
[Citation analysis]		paper15
2003The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting.(2003) In: Economics Working Papers.
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This paper has another version. Agregated cites: 15		paper
2004Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models In: Computing in Economics and Finance 2004.
[Citation analysis]		paper3
2001On moment condition failure in German stock returns: an application of recent advances in extreme value statistics In: Empirical Economics.
[Full Text][Citation analysis]		article0
2007Empirical validation of stochastic models of interacting agents In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article21
2006Welcome to JEIC In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]		article1
1996Long-term stochastic dependence in financial prices: evidence from the German stock market In: Applied Economics Letters.
[Full Text][Citation analysis]		article21
2001The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange In: Applied Financial Economics.
[Full Text][Citation analysis]		article31
2001Power laws and long memory In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2001Turbulence in financial markets: the surprising explanatory power of simple cascade models In: Quantitative Finance.
[Full Text][Citation analysis]		article20
2003Detecting multi-fractal properties in asset returns: The failure of the scaling estimator In: Economics Working Papers.
[Full Text][Citation analysis]		paper5
2003A minimal noise trader model with realistic time series properties In: Economics Working Papers.
[Full Text][Citation analysis]		paper8
2006A minimal noise trader model with realistic time series properties.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2004Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
2006Financial power laws: Empirical evidence, models, and mechanism In: Economics Working Papers.
[Full Text][Citation analysis]		paper30
2007Applications of statistical physics in finance and economics In: Economics Working Papers.
[Full Text][Citation analysis]		paper7
2008Stochastic behavioral asset pricing models and the stylized facts In: Economics Working Papers.
[Full Text][Citation analysis]		paper16
2008Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components In: Economics Working Papers.
[Full Text][Citation analysis]		paper14

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team