Thomas Lux : Citation Profile

Are you Thomas Lux?

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

17

H index

24

i10 index

1632

Citations

RESEARCH PRODUCTION:

25

Articles

45

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (1992 - 2010). See details.
   Cites by year: 90
   Journals where Thomas Lux has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 27 (1.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu102
   Updated: 2019-06-08    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 (114)

Westerhoff, Frank (79)

Chiarella, Carl (79)

Hommes, Cars (48)

Li, Youwei (44)

Alfarano, Simone (38)

GUPTA, RANGAN (30)

Chen, Shu-Heng (22)

Di Guilmi, Corrado (21)

Reitz, Stefan (19)

Roventini, Andrea (18)

Cites to:

Kirman, Alan (17)

Calvet, Laurent (17)

Solomon, Sorin (16)

Alfarano, Simone (15)

Summers, Lawrence (14)

Granger, Clive (14)

Fisher, Adlai (14)

Shleifer, Andrei (13)

Waldmann, Robert (13)

Chiarella, Carl (13)

Mandelbrot, Benoît (12)

Main data

Where Thomas Lux has published?

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

Working Papers Series with more than one paper published# docs
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics19
Working Papers / Warwick Business School, Finance Group9
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 (2018 and 2017)

YearTitle of citing document
2017New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Chen, T T ; Jiang, X F ; Zheng, B. In: Papers. RePEc:arx:papers:1703.06840.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2017Deep Learning in (and of) Agent-Based Models: A Prospectus. (2017). van der Hoog, Sander ; Sander van der Hoog, . In: Papers. RePEc:arx:papers:1706.06302.

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2017Spurious memory in non-equilibrium stochastic models of imitative behavior. (2017). Gontis, Vygintas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1707.09801.

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2017Mean Field Limit of a Behavioral Financial Market Model. (2017). Trimborn, Torsten ; Martin, Stephan ; Frank, Martin. In: Papers. RePEc:arx:papers:1711.02573.

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2019Portfolio Optimization and Model Predictive Control: A Kinetic Approach. (2018). Trimborn, Torsten ; Frank, Martin ; Pareschi, Lorenzo. In: Papers. RePEc:arx:papers:1711.03291.

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2017Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model. (2017). Stefan, F M ; A. P. F. Atman, . In: Papers. RePEc:arx:papers:1711.08282.

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2018SABCEMM-A Simulator for Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Frank, Martin ; Pabich, Emma ; Beikirch, Max ; Cramer, Simon ; Otte, Philipp. In: Papers. RePEc:arx:papers:1801.01811.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2018An Endogenous Mechanism of Business Cycles. (2018). Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V ; Ushanov, Dmitry ; Gusev, Maxim. In: Papers. RePEc:arx:papers:1803.05002.

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2018A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality. (2018). Trimborn, Torsten. In: Papers. RePEc:arx:papers:1805.11036.

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2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2019Order book model with herd behavior exhibiting long-range memory. (2019). Kononovicius, Aleksejus ; Ruseckas, Julius. In: Papers. RePEc:arx:papers:1809.02772.

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2018A model of adaptive, market behavior generating positive returns, volatility and system risk. (2018). Perepelitsa, Misha . In: Papers. RePEc:arx:papers:1809.09601.

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2018Simulation of Stylized Facts in Agent-Based Computational Economic Market Models. (2018). Beikirch, Maximilian ; Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon. In: Papers. RePEc:arx:papers:1812.02726.

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2019The market nanostructure origin of asset price time reversal asymmetry. (2019). Cordi, Marcus ; Kassibrakis, Serge ; Challet, Damien. In: Papers. RePEc:arx:papers:1901.00834.

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

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2017ANIMAL SPIRITS, HETEROGENEOUS EXPECTATIONS, AND THE AMPLIFICATION AND DURATION OF CRISES. (2017). Hommes, Cars ; Brock, William A ; Assenza, Tiziana. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:542-564.

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2017TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS. (2017). Westerhoff, Frank ; Franke, Reiner ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1152-1182.

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2017Towards Understanding Dynamic Complexity in Financial Systems Structure-based Explanatory Modelling of Risks. (2017). Hoffmann, Christian Hugo. In: Systems Research and Behavioral Science. RePEc:bla:srbeha:v:34:y:2017:i:6:p:728-745.

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2017THE DEVELOPMENT AND THE CURRENT STATUS OF THE CAPITAL MARKET HYPOTHESES: A FEW BENCHMARKS. (2017). Vasile, Bratian ; Amelia, Bucur . In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:1:p:22-28.

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2017Comparing behavioural heterogeneity across asset classes. (2017). ter Ellen, Saskia ; Hommes, Cars. In: Working Paper. RePEc:bno:worpap:2017_12.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2018How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market. (2018). Sattarhoff, Cristina ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7102.

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2017Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1733.

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2017Model Uncertainty in Macroeconomics: On the Implications of Financial Frictions. (2017). Wieland, Volker ; Lieberknecht, Philipp ; Quintana, Jorge ; Binder, Michael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12013.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2018Cooperation in manure-based biogas production networks: An agent-based modeling approach. (2018). Yazan, Devrim Murat ; Zijm, Henk ; Mes, Martijn ; Fraccascia, Luca. In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:820-833.

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2018Topics and trends in finance research: What is published, who publishes it and what gets cited?. (2018). Brooks, Chris ; Schopohl, Lisa. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:6:p:615-637.

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2018Pataphysics of finance: An essay of visual epistemology. (2018). Schinckus, Christophe. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:52:y:2018:i:c:p:57-68.

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2019Why does research in finance have so little impact?. (2019). Walker, James ; Schopohl, Lisa ; Fenton, Evelyn ; Brooks, Chris. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:58:y:2019:i:c:p:24-52.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Bayesian estimation of agent-based models. (2017). Tsionas, Mike ; Richiardi, Matteo ; Grazzini, Jakob. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:26-47.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017A method for agent-based models validation. (2017). Moneta, Alessio ; Guerini, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:125-141.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Learning to live in a liquidity trap. (2018). Uribe, Martín ; Schmitt-Grohe, Stephanie ; Arifovic, Jasmina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:89:y:2018:i:c:p:120-136.

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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2018Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. (2018). Veneziani, Roberto ; Charpe, Matthieu ; Proao, Christian R ; Galanis, Giorgos ; Flaschel, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:237-256.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2018Cognitive ability and earnings performance: Evidence from double auction market experiments. (2018). Chen, Shu-Heng ; Tai, Chung-Ching ; Yang, Lee-Xieng . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:409-440.

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2018Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70.

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2018Boom-bust dynamics in a stock market participation model with heterogeneous traders. (2018). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:458-468.

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2018An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484.

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2018Carl’s nonlinear cobweb. (2018). Hommes, Cars. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:7-20.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2018Herding, social network and volatility. (2018). Wang, Guocheng. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:74-81.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2019Different compositions of aggregate sentiment and their impact on macroeconomic stability. (2019). Westerhoff, Frank ; Franke, Reiner. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:117-127.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Augustyniak, Maciej ; Dufays, Arnaud. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

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2018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2018The impact of aggregate uncertainty on herding in analysts stock recommendations. (2018). Lin, Mei-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:90-105.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2019Heterogeneous agent models in financial markets: A nonlinear dynamics approach. (2019). Li, Youwei ; He, Xuezhong ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:135-149.

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2017Price dynamics, social networks and communication. (2017). Li, Bingqing ; Lu, Guoxiang ; Wang, Lijia . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:197-201.

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2017Herding effect on idiosyncratic volatility in U.S. industries. (2017). BenSaïda, Ahmed ; Bensaida, Ahmed. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:121-132.

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2018Avoiding regret in an agent-based asset pricing model. (2018). Pruna, Radu T ; Jennings, Nicholas R ; Polukarov, Maria. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:273-277.

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2017Competitive strategies in the motion picture industry: An ABM to study investment decisions. (2017). Delre, Sebastiano A ; Wierenga, Berend ; Panico, Claudio. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:34:y:2017:i:1:p:69-99.

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2017On the robustness of week-day effect to error distributional assumption: International evidence. (2017). Nguyen, Duc Khuong ; Saadi, Samir ; Essaddam, Naceur ; Boubaker, Sabri. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:114-130.

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2017Herding in frontier markets: Evidence from African stock exchanges. (2017). Guney, Yilmaz ; Komba, Gabriel ; Kallinterakis, Vasileios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:152-175.

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2018What do professional forecasters actually predict?. (2018). van der Wel, Michel ; Paap, Richard ; Nibbering, Didier . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:288-311.

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2017The dynamics of leverage in a demand-driven model with heterogeneous firms. (2017). Di Guilmi, Corrado ; Barbosa de Carvalho, Laura. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:70-90.

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2017Coordination through social learning in a general equilibrium model. (2017). Zumpe, Martin ; Yildizoglu, Murat ; Senegas, Marc-Alexandre ; Salle, Isabelle. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:141:y:2017:i:c:p:64-82.

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2018Neighborhood effects on speculative behavior. (2018). Mitton, Todd ; Wright, Ian ; Vorkink, Keith. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:151:y:2018:i:c:p:42-61.

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2018Market entry waves and volatility outbursts in stock markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:19-37.

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2017Expected utility for nonstochastic risk. (2017). Ivanenko, Victor ; Pasichnichenko, Illia . In: Mathematical Social Sciences. RePEc:eee:matsoc:v:86:y:2017:i:c:p:18-22.

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2019The exact solution of spatial logit response games. (2019). Ioannides, Yannis ; Konno, Tomohiko. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:97:y:2019:i:c:p:1-10.

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2018Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78.

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2017Selection of the distributional rule as an alternative tool to foster cooperation in a Public Good Game. (2017). Colasante, Annarita. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:482-492.

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2017From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:447-458.

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2017Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets. (2017). Zeng, Yayun ; Xu, Kaixuan ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:364-376.

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2017Wealth dynamics in a sentiment-driven market. (2017). Goykhman, Mikhail . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:488:y:2017:i:c:p:132-148.

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2018Wealth distribution, Pareto law, and stretched exponential decay of money: Computer simulations analysis of agent-based models. (2018). Cherstvy, Andrey G ; Aydiner, Ekrem ; Metzler, Ralf. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:278-288.

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2018The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession. (2018). Argyroudis, G ; Siokis, F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:463-474.

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2018Testing for multifractality of Islamic stock markets. (2018). Saadaoui, Foued. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:263-273.

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2018Information driving force and its application in agent-based modeling. (2018). Chen, Ting-Ting ; Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:593-601.

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2018Mean field limit of a behavioral financial market model. (2018). Trimborn, Torsten ; Martin, Stephan ; Frank, Martin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:613-631.

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2018Ising model, econophysics and analogies. (2018). Schinckus, Christophe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:95-103.

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2019The noisy voter model under the influence of contrarians. (2019). Khalil, Nagi ; Toral, Raul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:81-92.

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2019Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model. (2019). Wang, Guochao ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:97-113.

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2017The multifractal character of capacity utilization over the business cycle: An application of Hurst signature analysis. (2017). Mulligan, Robert F. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:147-152.

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2017Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:69:y:2017:i:c:p:692-704.

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2017Geographical patterns in US inventive activity 1977–1998: The “regional inversion” was underestimated. (2017). Los, Bart ; Castaldi, Carolina. In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:7:p:1187-1197.

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2017Dynamic herding analysis in a frontier market. (2017). Arjoon, Vaalmikki ; Bhatnagar, Chandra Shekhar . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:496-508.

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2018Investor sentiment and the mean-variance relationship: European evidence. (2018). Wang, Wenzhao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:227-239.

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2017Key inventors, teams and firm performance: The Italian case. (2017). Spinesi, Luca ; schettino, francesco ; Rota, Mauro. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:42:y:2017:i:c:p:13-25.

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2017Model for Integrating Monetary and Fiscal Policies to Stimulate Economic Growth and Sustainable Debt Dynamics. (2017). Slepov, V A ; Sekerin, V D ; Ivolgina, N V ; Volkov, I I ; Kosov, M E ; Danko, T P ; Burlachkov, V K. In: European Research Studies Journal. RePEc:ers:journl:v:xx:y:2017:i:3a:p:457-470.

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2017ASEAN Economic Community Impact on SMSs: A Regional Case Study. (2017). Kustina, Lisa. In: European Research Studies Journal. RePEc:ers:journl:v:xx:y:2017:i:3b:p:432-438.

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2017.

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2017Agent-based model calibration using machine learning surrogates. (2017). Roventini, Andrea ; Sani, Amir ; Lamperti, Frencesco. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1709.

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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.
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2007True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence In: Papers.
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2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence.(2007) In: Working Papers.
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2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence.(2007) In: Economics Working Papers.
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2001Microscopic Models of Financial Markets In: Papers.
[Full Text][Citation analysis]		paper1
2006Microscopic models of financial markets.(2006) In: Economics Working Papers.
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1999On Rational Bubbles and Fat Tails In: Papers.
[Full Text][Citation analysis]		paper43
2002On Rational Bubbles and Fat Tails..(2002) In: Journal of Money, Credit and Banking.
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2007Agent-based Models of Financial Markets In: Papers.
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2008The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility In: Journal of Business & Economic Statistics.
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2006The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility.(2006) In: Working Papers.
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2004The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility.(2004) In: Economics Working Papers.
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2006The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility.(2006) In: Economics Working Papers.
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1993 Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle. In: Scandinavian Journal of Economics.
[Citation analysis]		article13
2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY In: Macroeconomic Dynamics.
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2005A noise trader model as a generator of apparent financial power laws and long memory.(2005) In: Economics Working Papers.
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1995Herd Behaviour, Bubbles and Crashes. In: Economic Journal.
[Full Text][Citation analysis]		article342
2010Forecasting volatility under fractality, regime-switching, long memory and student-t innovations In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article19
1997Time variation of second moments from a noise trader/infection model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article78
2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching In: Journal of Economic Dynamics and Control.
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2006Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching.(2006) In: Working Papers.
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2006Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching.(2006) In: Economics Working Papers.
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2008Introduction to special issue on `Applications of Statistical Physics in Economics and Finance In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
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]		article78
2005Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach.(2005) In: Working Papers.
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2005Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach.(2005) In: Economics Working Papers.
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2006Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach.(2006) In: Economics Working Papers.
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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]		article245
2001Testing for non-linear structure in an artificial financial market In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article60
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]		article3
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]		article42
2007Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey.(2007) In: Working Papers.
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2008Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey.(2008) In: Economics Working Papers.
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2005Genetic learning as an explanation of stylized facts of foreign exchange markets In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article46
2002Genetic learning as an explanation of stylized facts of foreign exchange markets.(2002) In: Discussion Paper Series 1: Economic Studies.
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2003Genetic learning as an explanation of stylized facts of foreign exchange markets.(2003) In: Economics Working Papers.
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2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model In: Computational Economics.
[Full Text][Citation analysis]		article176
2008New Advances in Financial Economics: Heterogeneity and Simulation In: Computational Economics.
[Full Text][Citation analysis]		article3
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]		paper131
2009The Financial Crisis and the Systemic Failure of Academic Economics.(2009) In: Middlebury College Working Paper Series.
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2010Reintegrating the Social Sciences: The Dahlem Group In: Middlebury College Working Paper Series.
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2010Extreme Value Theory as a Theoretical Background for Power Law Behavior In: MPRA Paper.
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2010Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation In: MPRA Paper.
[Full Text][Citation analysis]		paper6
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]		paper0
2002A minimal noise trader model with realistic time series In: Computing in Economics and Finance 2002.
[Citation analysis]		paper4
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]		paper12
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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2004Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models In: Computing in Economics and Finance 2004.
[Citation analysis]		paper2
2001On moment condition failure in German stock returns: an application of recent advances in extreme value statistics In: Empirical Economics.
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2007Empirical validation of stochastic models of interacting agents In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article17
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]		article12
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]		article26
2001Power laws and long memory In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2001Turbulence in financial markets: the surprising explanatory power of simple cascade models In: Quantitative Finance.
[Full Text][Citation analysis]		article16
2007Application of Statistical Physics in Finance and Economics In: Working Papers.
[Full Text][Citation analysis]		paper5
2007Applications of statistical physics in finance and economics.(2007) In: Economics Working Papers.
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2007Collective Opinion Formation in a Business Climate Survey In: Working Papers.
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2007The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data In: Working Papers.
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2008Stochastic Behavioral Asset Pricing Models and the Stylized Facts In: Working Papers.
[Full Text][Citation analysis]		paper3
2008Stochastic behavioral asset pricing models and the stylized facts.(2008) In: Economics Working Papers.
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2003Detecting multi-fractal properties in asset returns: The failure of the scaling estimator In: Economics Working Papers.
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2003A minimal noise trader model with realistic time series properties In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
2006A minimal noise trader model with realistic time series properties.(2006) In: Economics Working Papers.
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This paper has another version. Agregated cites: 3		paper
2004Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2006Financial power laws: Empirical evidence, models, and mechanism In: Economics Working Papers.
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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]		paper6

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