Thomas Lux : Citation Profile


Are you Thomas Lux?

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

18

H index

24

i10 index

1508

Citations

RESEARCH PRODUCTION:

25

Articles

53

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (1992 - 2010). See details.
   Cites by year: 83
   Journals where Thomas Lux has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 29 (1.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu102
   Updated: 2017-11-18    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 (115)

Westerhoff, Frank (87)

Chiarella, Carl (84)

Hommes, Cars (59)

Li, Youwei (35)

GUPTA, RANGAN (30)

De Grauwe, Paul (29)

Alfarano, Simone (25)

Reitz, Stefan (22)

Di Guilmi, Corrado (20)

Chen, Shu-Heng (20)

Cites to:

Calvet, Laurent (17)

Kirman, Alan (17)

Solomon, Sorin (16)

Alfarano, Simone (15)

Chiarella, Carl (14)

Summers, Lawrence (14)

Fisher, Adlai (14)

Marchesi, Michele (14)

Waldmann, Robert (13)

Shleifer, Andrei (13)

Granger, Clive (12)

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
Working Papers / Warwick Business School, Finance Group9
Discussion Paper Serie B / University of Bonn, Germany8
Papers / arXiv.org4
MPRA Paper / University Library of Munich, Germany2
Computing in Economics and Finance 2002 / Society for Computational Economics2

Recent works citing Thomas Lux (2017 and 2016)


YearTitle of citing document
2016SOME INSTITUTIONS (SOCIAL NORMS AND CONVENTIONS) OF CONTEMPORARY MAINSTREAM ECONOMICS, MACROECONOMICS, AND FINANCIAL ECONOMICS. (2016). Dequech, David . In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:006.

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Gontis, Vygintas ; Stanley, Eugene H ; Podobnik, Boris ; Kononovicius, Aleksejus ; Havlin, Shlomo . In: Papers. RePEc:arx:papers:1507.05203.

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2016Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton. (2016). ausloos, marcel ; Dhesi, Gurjeet. In: Papers. RePEc:arx:papers:1601.01553.

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2016The invisible hand and the rational agent are behind bubbles and crashes. (2016). Galam, Serge . In: Papers. RePEc:arx:papers:1601.02990.

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2016The noisy voter model on complex networks. (2016). Carro, Adri'an ; san Miguel, Maxi ; Toral, Ra'ul . In: Papers. RePEc:arx:papers:1602.06935.

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2016A new structural stochastic volatility model of asset pricing and its stylized facts. (2016). Pruna, Radu T ; Jennings, Nicholas R ; Polukarov, Maria . In: Papers. RePEc:arx:papers:1604.08824.

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2016Modeling and Simulation of the Economics of Mining in the Bitcoin Market. (2016). Marchesi, Michele ; Cocco, Luisanna . In: Papers. RePEc:arx:papers:1605.01354.

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2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

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2016An agent behavior based model for diffusion price processes with application to phase transition and oscillations. (2016). Henkel, Christof . In: Papers. RePEc:arx:papers:1606.08269.

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2016From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2016). Henkel, Christof . In: Papers. RePEc:arx:papers:1609.05286.

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2016Liquidity induced asset bubbles via flows of ELMMs. (2016). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1611.01440.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Davies, Laurie ; Kramer, Walter . In: Papers. RePEc:arx:papers:1612.05229.

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2016Speculation and Power Law. (2016). Inoua, Sabiou . In: Papers. RePEc:arx:papers:1612.08705.

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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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2017Portfolio Optimization and Model Predictive Control: A Kinetic Approach. (2017). Trimborn, Torsten ; Frank, Martin ; Pareschi, Lorenzo . In: Papers. RePEc:arx:papers:1711.03291.

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2016The Existence of Long Memory Property in OPEC Oil Prices. (2016). Zarra Nezhad, Mansour ; Raoofi, Ali ; Akbarzdeh, Mohammad Hadi ; Zarra-Nezhad, Mansour . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2016:p:142-152.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Krämer, Walter ; Davies, Laurie ; Kraemer, Walter . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5796.

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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 ; GUPTA, RANGAN ; Lau, Chi Keung ; 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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2016The Political Economy of Financial Regulation Policies Following the Global Crisis. (2016). Balseven, Hale . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-33.

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2016Optimal monetary policy in a new Keynesian model with animal spirits and financial markets. (2016). Lengnick, Matthias ; Wohltmann, Hans-Werner . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:64:y:2016:i:c:p:148-165.

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2016Agent based-stock flow consistent macroeconomics: Towards a benchmark model. (2016). Stiglitz, Joseph ; Kinsella, Stephen ; Godin, Antoine ; Gallegati, Mauro ; Caiani, Alessandro ; Caverzasi, Eugenio . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:69:y:2016:i:c:p:375-408.

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2016Direct comparison of agent-based models of herding in financial markets. (2016). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:329-353.

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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 ; Grazzini, Jakob ; Richiardi, Matteo G. 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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2016Heterogeneous expectation, beliefs evolution and house price volatility. (2016). Zhang, Hao ; Yao, Haixiang ; Huang, Yuyuan . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:409-418.

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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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2016Complementary system perspectives in ecological macroeconomics — The example of transition investments during the crisis. (2016). Ropke, Inge . In: Ecological Economics. RePEc:eee:ecolec:v:121:y:2016:i:c:p:237-245.

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2016Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility. (2016). Lux, Thomas ; Ghonghadze, Jaba . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:1-19.

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2016Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. (2016). GUPTA, RANGAN ; Lux, Thomas ; Segnon, Mawuli . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:117-133.

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

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2016Breaking down the barriers between econophysics and financial economics. (2016). Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:256-266.

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2016On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

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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). Bensaida, Ahmed . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:121-132.

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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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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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2016Using time-stamped survey responses to measure expectations at a daily frequency. (2016). Mokinski, Frieder. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:271-282.

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2016Microfoundations for switching behavior in heterogeneous agent models: An experiment. (2016). Tuinstra, Jan ; Bao, Te ; Anufriev, Mikhail . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:129:y:2016:i:c:p:74-99.

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2016Volatility clustering: A nonlinear theoretical approach. (2016). He, Xuezhong ; Wang, Chuncheng ; Li, Kai . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:274-297.

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2016Trading heterogeneity under information uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:64-80.

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2016Investor mood, herding and the Ramadan effect. (2016). Gavriilidis, Konstantinos ; Tsalavoutas, Ioannis ; Kallinterakis, Vasileios . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:132:y:2016:i:s:p:23-38.

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2017The dynamics of leverage in a demand-driven model with heterogeneous firms. (2017). Carvalho, Laura ; di Guilmi, Corrado. 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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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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2016Using Rényi parameter to improve the predictive power of singular value decomposition entropy on stock market. (2016). Jiang, Jiaqi ; Gu, Rongbao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:448:y:2016:i:c:p:254-264.

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2016Option pricing beyond Black–Scholes based on double-fractional diffusion. (2016). Korbel, J ; Kleinert, H. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:200-214.

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2016Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority. (2016). Zhang, Yu-Xia ; Ho, Chi ; Shang, Ming-Sheng ; Medo, Matus ; Liao, Hao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:450:y:2016:i:c:p:486-496.

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2016Multifractal Value at Risk model. (2016). Lee, Ho Jin ; Chang, Woojin ; Song, Jae Wook . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:113-122.

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2016Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Podobnik, B ; Havlin, S ; Kononovicius, A ; Stanley, H E ; Gontis, V. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1091-1102.

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2016Binomial Markov-Switching Multifractal model with Skewed t innovations and applications to Chinese SSEC Index. (2016). Liu, Yufang ; Fu, Junhui ; Zhang, Weiguo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:56-66.

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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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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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2016Incremental information of stock indicators. (2016). Vortelinos, Dimitrios I. In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97.

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2016Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching. (2016). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:559-571.

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2016Herding and excessive risk in the American stock market: A sectoral analysis. (2016). Bouraoui, Omar ; Litimi, Houda ; Bensaida, Ahmed . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:6-21.

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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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2016Peer effects in the diffusion of innovations: Theory and simulation. (2016). Payne, Diane ; Kinsella, Stephen ; Xiong, Hang . In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:63:y:2016:i:c:p:1-13.

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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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2016Uncertainty, rationality and complexity in a multi sectoral dynamic model: the Dynamic Stochastic Generalized Aggregation approach. (2016). Di Guilmi, Corrado ; Catalano, Michele. In: CAMA Working Papers. RePEc:een:camaaa:2016-16.

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2016Macroeconomic policy in DGSE and agent based models redux : new developments and challenges ahead. (2016). Roventini, Andrea ; Fagiolo, Giorgio. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:16011.

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2016Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob . In: Documents de Travail de l'OFCE. RePEc:fce:doctra:16012.

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2017A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators. (2017). Heberle, Jochen ; Sattarhoff, Cristina . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:9-:d:88731.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01499344.

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2016A Basic Model of Real-Financial Market Interactions with Heterogeneous Opinion Dynamics. (2016). Veneziani, Roberto ; Charpe, Matthieu ; Flaschel, Peter . In: Working Papers. RePEc:iee:wpaper:wp0104.

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2016How banks’ strategies influence financial cycles: An approach to identifying micro behavior. (2016). Tedeschi, Gabriele ; Berardi, Simone . In: Working Papers. RePEc:jau:wpaper:2016/24.

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2017Long-run expectations in a Learning-to-Forecast Experiment: A Simulation Approach. (2017). Gallegati, Mauro ; Colasante, Annarita ; Alfarano, Simone ; Camacho-Cuena, Eva . In: Working Papers. RePEc:jau:wpaper:2017/03.

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2016Interbank Exposure Networks. (2016). Soramäki, Kimmo ; Langfield, Sam ; Soramaki, Kimmo. In: Computational Economics. RePEc:kap:compec:v:47:y:2016:i:1:d:10.1007_s10614-014-9443-x.

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2016Interbank Exposure Networks. (2016). Soramäki, Kimmo ; Langfield, Sam ; Soramaki, Kimmo. In: Computational Economics. RePEc:kap:compec:v:47:y:2016:i:1:p:3-17.

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2017Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model. (2017). Makarewicz, Tomasz . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9607-y.

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2017Cowboying Stock Market Herds with Robot Traders. (2017). Galimberti, Jaqueson ; Silva, Sergio ; Suhadolnik, Nicolas . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9591-2.

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2016Evolving views on monetary policy in the thought of Hayek, Friedman, and Buchanan. (2016). Smith, Daniel ; Boettke, Peter J. In: The Review of Austrian Economics. RePEc:kap:revaec:v:29:y:2016:i:4:d:10.1007_s11138-015-0334-8.

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2017Towards a New Austrian Macroeconomics. (2017). White, Lawrence ; Veetil, Vipin P. In: The Review of Austrian Economics. RePEc:kap:revaec:v:30:y:2017:i:1:d:10.1007_s11138-016-0354-z.

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2017Dynamic coordinating non-equilibrium. (2017). Gangotena, Santiago J. In: The Review of Austrian Economics. RePEc:kap:revaec:v:30:y:2017:i:1:d:10.1007_s11138-016-0355-y.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2016Expected utility for nonstochastic risk. (2016). Ivanenko, Victor ; Pasichnichenko, Illia . In: MPRA Paper. RePEc:pra:mprapa:70433.

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2016Cowboying Stock Market Herds with Robot Traders. (2016). Suhadolnik, Nicolas ; Galimberti, Jaqueson ; Da Silva, Sergio. In: MPRA Paper. RePEc:pra:mprapa:71758.

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2016What Explains Herd Behavior in the Chinese Stock Market?. (2016). CHONG, Terence Tai Leung ; Zhu, Chenqi ; Liu, Xiaojin . In: MPRA Paper. RePEc:pra:mprapa:72100.

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2016Evolution of Cooperation in Public Good Game. (2016). Colasante, Annarita. In: MPRA Paper. RePEc:pra:mprapa:72577.

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2016Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning. (2016). Cajueiro, Daniel ; Lucchetti, Alexandre Henrique ; Alves, Joaquim Ignacio ; Barroso, Ricardo Vieira . In: MPRA Paper. RePEc:pra:mprapa:73308.

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2016Economic Crisis, Economic Methodology and the Scientific Ideal of Physics. (2016). Drakopoulos, Stavros. In: MPRA Paper. RePEc:pra:mprapa:74306.

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2017Long-run expectations in a Learning-to-Forecast-Experiment: a simulation approach. (2017). Colasante, Annarita ; Alfarano, Simone ; Gallegati, Mauro ; Cuena, Eva Camacho . In: MPRA Paper. RePEc:pra:mprapa:77618.

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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; GUPTA, RANGAN ; Lau, Chi Keung ; Segnon, Mawuli . In: Working Papers. RePEc:pre:wpaper:201739.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir . In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n.

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2016Macroeconomic Policy in DGSE and Agent-Based Models Redux: New Developments and Challenges Ahead. (2016). Roventini, Andrea ; Fagiolo, Giorgio. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f.

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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.
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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.
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2006Microscopic models of financial markets.(2006) In: Economics Working Papers.
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1999On Rational Bubbles and Fat Tails In: Papers.
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1999On Rational Bubbles and Fat Tails.(1999) In: Discussion Paper Serie B.
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2002On Rational Bubbles and Fat Tails..(2002) In: Journal of Money, Credit and Banking.
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article
2007Agent-based Models of Financial Markets In: Papers.
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paper28
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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article38
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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paper
1993 Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle. In: Scandinavian Journal of Economics.
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article13
1998The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange In: Discussion Paper Serie B.
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paper23
2001The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange.(2001) In: Applied Financial Economics.
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article
1998Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents In: Discussion Paper Serie B.
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paper89
1998Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market In: Discussion Paper Serie B.
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paper84
1998A Note on the Stochastic Properties of German Stock Returns In: Discussion Paper Serie B.
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paper0
1999Testing for Non-Linear Structure in an Artificial Financial Market In: Discussion Paper Serie B.
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paper58
2001Testing for non-linear structure in an artificial financial market.(2001) In: Journal of Economic Behavior & Organization.
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article
1999Multi-Fractal Processes as Models for Financial Returns: A First Assessment In: Discussion Paper Serie B.
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paper1
1999Multi-Fractal Processes as Models for Financial Returns: Multi-Fractal Processes as Models for Financial Returns: A First Assessment In: Discussion Paper Serie B.
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paper0
2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY In: Macroeconomic Dynamics.
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article35
2005A noise trader model as a generator of apparent financial power laws and long memory.(2005) In: Economics Working Papers.
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paper
1995Herd Behaviour, Bubbles and Crashes. In: Economic Journal.
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article265
2010Forecasting volatility under fractality, regime-switching, long memory and student-t innovations In: Computational Statistics & Data Analysis.
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article16
1997Time variation of second moments from a noise trader/infection model In: Journal of Economic Dynamics and Control.
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article73
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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article41
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.
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article6
2008Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach In: Journal of Economic Dynamics and Control.
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article64
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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paper
2006Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach.(2006) In: Economics Working Papers.
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paper
1998The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions In: Journal of Economic Behavior & Organization.
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article208
2002Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets In: Journal of Economic Behavior & Organization.
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article2
2009Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey In: Journal of Economic Behavior & Organization.
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article37
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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paper
2005Genetic learning as an explanation of stylized facts of foreign exchange markets In: Journal of Mathematical Economics.
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article42
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.
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article144
2008New Advances in Financial Economics: Heterogeneity and Simulation In: Computational Economics.
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article3
1992A note on the stability of endogenous cycles in Diamonds model of search and barter In: Journal of Economics.
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article2
2009The Financial Crisis and the Systemic Failure of Academic Economics In: Discussion Papers.
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paper74
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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paper2
2010Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation In: MPRA Paper.
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2001The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation In: Computing in Economics and Finance 2001.
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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]
paper3
2003The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting In: Computing in Economics and Finance 2003.
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paper8
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.
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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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article0
2007Empirical validation of stochastic models of interacting agents In: The European Physical Journal B: Condensed Matter and Complex Systems.
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article14
2006Welcome to JEIC In: Journal of Economic Interaction and Coordination.
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article1
1996Long-term stochastic dependence in financial prices: evidence from the German stock market In: Applied Economics Letters.
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article12
2001Power laws and long memory In: Quantitative Finance.
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article2
2001Turbulence in financial markets: the surprising explanatory power of simple cascade models In: Quantitative Finance.
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article14
2007Application of Statistical Physics in Finance and Economics In: Working Papers.
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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.
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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.
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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
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2004Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models In: Economics Working Papers.
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2006Financial power laws: Empirical evidence, models, and mechanism In: Economics Working Papers.
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paper12
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.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2017. Contact: CitEc Team