Thomas Lux : Citation Profile


Are you Thomas Lux?

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

19

H index

23

i10 index

1911

Citations

RESEARCH PRODUCTION:

24

Articles

36

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (1992 - 2010). See details.
   Cites by year: 106
   Journals where Thomas Lux has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 25 (1.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu102
   Updated: 2021-06-12    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 (117)

Westerhoff, Frank (76)

Chiarella, Carl (72)

Hommes, Cars (50)

Alfarano, Simone (48)

Li, Youwei (46)

GUPTA, RANGAN (34)

Di Guilmi, Corrado (28)

Chen, Shu-Heng (22)

Gallegati, Mauro (19)

Reitz, Stefan (19)

Cites to:

Kirman, Alan (18)

Alfarano, Simone (18)

Calvet, Laurent (18)

Granger, Clive (17)

Summers, Lawrence (17)

Solomon, Sorin (16)

Fisher, Adlai (15)

Brock, William (15)

Mandelbrot, Benoît (14)

Hommes, Cars (14)

Shleifer, Andrei (13)

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 (2021 and 2020)


YearTitle of citing document
2020The market nanostructure origin of asset price time reversal asymmetry. (2019). Challet, Damien ; Kassibrakis, Serge ; Cordi, Marcus. In: Papers. RePEc:arx:papers:1901.00834.

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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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2020Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2020Awareness of crash risk improves Kelly strategies in simulated financial time series. (2020). Sornette, Didier ; Kreuser, Jerome ; Gerlach, Jan-Christian. In: Papers. RePEc:arx:papers:2004.09368.

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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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2020The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890.

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2020Self-sustained price bubbles driven by Bitcoin innovations and adaptive behavior. (2020). Timofeyev, Ilya ; Perepelitsa, Misha. In: Papers. RePEc:arx:papers:2012.14860.

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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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2020Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281.

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2020The rationality principle as a universal grammar of economic explanations. (2020). Li, Cheng. In: The Journal of Philosophical Economics. RePEc:bus:jphile:v:13:y:2020:i:2:n:2.

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2020Why is economics not part of a system of scientific ethics? A review essay on Wilfred Dolfsma and Ioana Negru’s The Ethical Formation of Economists. (2020). Yalcintas, Altug. In: The Journal of Philosophical Economics. RePEc:bus:jphile:v:13:y:2020:i:2:n:9.

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2020Have Macroeconomic Models Lost Their Connection with Economic Reality?. (2020). van Veen, Tom. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8256.

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2020Bet against the trend and cash in profits.. (2020). Bassi, Federico ; Lang, Dany ; Ramos, Raquel Almeida . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def090.

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2020A note on power-law cross-correlated processes. (2020). Trinidad, J E ; Casado, M P ; Sanchez-Granero, M A ; Fernandez-Martinez, M. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920303143.

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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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2020Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927.

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2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

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2020Co-existence of trend and value in financial markets: Estimating an extended Chiarella model. (2020). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Majewski, Adam A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301885.

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2020Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257.

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2020A comparison of economic agent-based model calibration methods. (2020). Platt, Donovan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300294.

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2020Coordinated bubbles and crashes. (2020). Zheng, Huanhuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301421.

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2020The rationality of irrationality in times of financial crises. (2020). Mesly, Olivier ; Mavoori, Hareesh ; Huck, Nicolas. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:337-350.

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2020Structural change in a growing open economy: Attitudes and institutions in Latin America and Asia. (2020). Sordi, Serena ; Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:358-385.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Modelling contagion of financial crises. (2020). Chen, Zhenxi ; Huang, Weihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830069x.

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2020Attitudes towards climate policies in a macrodynamic model of the economy. (2020). Sordi, Serena ; Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J. In: Ecological Economics. RePEc:eee:ecolec:v:169:y:2020:i:c:s0921800918315301.

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2020Econ 101—In need of a sustainability transition. (2020). Ropke, Inge. In: Ecological Economics. RePEc:eee:ecolec:v:169:y:2020:i:c:s0921800919309413.

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2020Emergence of New Economics Energy Transition Models: A Review. (2020). Jones, Aled ; Monasterolo, Irene ; Anger-Kraavi, Annela ; Hafner, Sarah. In: Ecological Economics. RePEc:eee:ecolec:v:177:y:2020:i:c:s0921800919307475.

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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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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2020Do short sellers exploit risky business models of banks? Evidence from two banking crises. (2020). Lin, Tse-Chun ; Bui, Dien Giau. In: Journal of Financial Stability. RePEc:eee:finsta:v:46:y:2020:i:c:s1572308919306709.

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2020Wisdom of crowds before the 2007–2009 global financial crisis. (2020). Lin, Chih-Yung ; Chau, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:48:y:2020:i:c:s157230892030019x.

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2020Bitcoin: Speculative asset or innovative technology?. (2020). Lee, Adrian ; Zheng, Huanhuan ; Li, Mengling . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300937.

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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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2020Beta uncertainty. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011.

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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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2020Market impact and performance of arbitrageurs of financial bubbles in an agent-based model. (2020). Sornette, Didier ; Westphal, Rebecca. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:1-23.

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2020An analytical solution for network models with heterogeneous and interacting agents. (2020). Stiglitz, Joseph ; Gallegati, Mauro ; Di Guilmi, Corrado ; Landini, S. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:189-220.

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2020Big fish in a small pond: Locally dominant firms and the business cycle. (2020). Kumar, Alok ; Korniotis, George ; Jannati, Sima. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:219-240.

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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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2020Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Ho, Kin-Yip ; Gao, Guangyuan ; Shi, Yanlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

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2020Bessel-like birth–death process. (2020). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317595.

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2020Ordering dynamics in the voter model with aging. (2020). Khalil, Nagi ; Peralta, Antonio F ; Toral, Raul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:552:y:2020:i:c:s0378437119314219.

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2020Market-crash forecasting based on the dynamics of the alpha-stable distribution. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Molina-Muoz, Jesus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304532.

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2020Predicting foreign currency exchange rates using the numerical solution of the incompressible Navier–Stokes equations. (2020). Febriyanti, Marina ; Kartono, Agus ; Wahyudi, Setyanto Tri. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120306221.

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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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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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2020News-Driven Expectations and Volatility Clustering. (2020). Inoua, Sabiou. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:17-:d:310875.

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2020Bet against the trend and cash in profits. (2020). Bassi, Federico ; Lang, Dany ; Ramos, Raquel. In: CEPN Working Papers. RePEc:hal:cepnwp:halshs-02956879.

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2020Transitions among States behind Interactive Agent Model. (2020). Cheng, Po-Keng. In: Working Papers. RePEc:hal:wpaper:hal-02463620.

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2020Non-Value-Added Tax to Improve Market Fairness. (2020). Jonath, Arthur ; Veryzhenko, Iryna ; Harb, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-02881064.

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2020Bet against the trend and cash in profits. (2020). Bassi, Federico ; Lang, Dany ; Ramos, Raquel. In: Working Papers. RePEc:hal:wpaper:halshs-02956879.

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2020Macroeconomic Equilibriums, Crises and Fiscal Policy. (2020). , Fredrik. In: Working Papers. RePEc:hhs:lunewp:2020_021.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2020SABCEMM: A Simulator for Agent-Based Computational Economic Market Models. (2020). Frank, Martin ; Pabich, Emma ; Beikirch, Maximilian ; Cramer, Simon ; Otte, Philipp ; Trimborn, Torsten. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09910-1.

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2020Multifractal Analysis of Realized Volatilities in Chinese Stock Market. (2020). Liu, Yufang ; Wu, Xiang ; Fu, Junhui ; Zhang, Weiguo. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09920-z.

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2020Heuristic Switching Model and Exploration-Exploitation Algorithm to Describe Long-Run Expectations in LtFEs: a Comparison. (2020). Colasante, Annarita ; Camacho Cuena, Eva ; Alfarano, Simone ; Camacho-Cuena, Eva. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:3:d:10.1007_s10614-019-09951-6.

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2021High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; Segnon, Mawuli ; Gupta, Rangan ; Lesame, Keagile. 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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2020Methodological confusions and the science wars in economics. (2020). Kroencke, John ; Lemke, Jayme. In: The Review of Austrian Economics. RePEc:kap:revaec:v:33:y:2020:i:1:d:10.1007_s11138-019-00466-9.

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2020Investor sentiment and trading behavior. (2020). Campisi, Giovanni ; Muzzioli, Silvia. In: Department of Economics. RePEc:mod:depeco:0163.

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2020Fundamentalists heterogeneity and the role of the sentiment indicator. (2020). Campisi, Giovanni ; Muzzioli, Silvia. In: Department of Economics. RePEc:mod:depeco:0167.

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2020Social Transmission Bias and Cultural Evolution in Financial Markets. (2020). Hirshleifer, David ; Akcay, Erol. In: NBER Working Papers. RePEc:nbr:nberwo:27745.

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2020Iluzii financiare, Partea întâi. (2020). Stefanescu, Rzvan ; Dumitriu, Ramona. In: MPRA Paper. RePEc:pra:mprapa:101201.

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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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2020Long memory and fractality among global equity markets: A multivariate wavelet approach. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:99653.

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2020Investors Uncertainty and Forecasting Stock Market Volatility. (2020). GUPTA, RANGAN ; Liu, Rui Peng. In: Working Papers. RePEc:pre:wpaper:202090.

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2020The COVID-19 Pandemic and Herding Behaviour: Evidence from India’s Stock Market. (2020). Singh, Bhanwar ; Dhall, Rosy. In: Millennial Asia. RePEc:sae:millen:v:11:y:2020:i:3:p:366-390.

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

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2020Complexity, Power Laws and a Humean Argument in Risk Management: The Fundamental Inadequacy of Probability Theory as a Foundation for Modeling Complex Risk in Banking. (2020). Djordjevic, Charles ; Hoffmann, Christian Hugo. In: Homo Oeconomicus: Journal of Behavioral and Institutional Economics. RePEc:spr:homoec:v:37:y:2020:i:3:d:10.1007_s41412-020-00101-0.

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2020An agent-based early warning indicator for financial market instability. (2020). Vidal-Tomás, David ; Alfarano, Simone ; Vidal-Tomas, David. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00272-3.

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2020Taming financial systemic risk: models, instruments and early warning indicators. (2020). Tedeschi, Gabriele ; Recchioni, Maria Cristina ; Caccioli, Fabio. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00278-x.

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2020Network calibration and metamodeling of a financial accelerator agent based model. (2020). Russo, Alberto ; Riccetti, Luca ; Gallegati, Mauro ; Bargigli, Leonardo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-018-0217-8.

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2020Interbank rules during economic declines: Can banks safeguard capital base?. (2020). Steinbacher, Mitja ; Jagri, Timotej. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-018-0228-5.

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2020Arbitrage, speculation and futures price fluctuations with boundedly rational and heterogeneous agents. (2020). Yang, Zhe ; Gong, Qingbin. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:4:d:10.1007_s11403-019-00262-5.

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2020Does a ‘financial transaction tax’ drive out information mirages? An experimental analysis. (2020). Morone, Piergiuseppe ; Nuzzo, Simone ; Falcone, Pasquale Marcello. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:4:d:10.1007_s11403-019-00271-4.

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2020Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions. (2020). Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J ; Sordi, Serena. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:4:d:10.1007_s11403-019-00279-w.

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2021A model of market making with heterogeneous speculators. (2021). Bargigli, Leonardo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00283-5.

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2021Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors. (2021). Challet, Damien ; Primicerio, Kevin ; Gualdi, Stanislao. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00288-0.

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2021Bayesian estimation and likelihood-based comparison of agent-based volatility models. (2021). Mozzhorin, Iurii ; Bertschinger, Nils. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00289-z.

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2020Long-run expectations in a learning-to-forecast experiment: a simulation approach. (2020). Gallegati, Mauro ; Colasante, Annarita ; Alfarano, Simone ; Camacho-Cuena, Eva. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:30:y:2020:i:1:d:10.1007_s00191-018-0585-1.

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2020Scaling and discontinuities in the global economy. (2020). Angeler, David G ; Allen, Craig R ; Sundstrom, Shana M. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:30:y:2020:i:2:d:10.1007_s00191-019-00650-x.

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2021.

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2020Loss aversion in an agent-based asset pricing model. (2020). Jennings, Nicholas R ; Polukarov, Maria ; Pruna, Radu T. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:275-290.

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2020Trade clustering and power laws in financial markets. (2020). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: Theoretical Economics. RePEc:the:publsh:3523.

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2020(Ir)rational explorers in the financial jungle: modelling Minsky with heterogeneous agents. (2020). Dávila-Fernández, Marwil ; Sordi, Serena ; Cafferata, Alessia ; Davila-Fernandez, Marwil J. In: Department of Economics University of Siena. RePEc:usi:wpaper:819.

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2020The Self According to Others: Explaining Social Preferences with Social Approbation. (2020). Ruiz, Oswin Kruger. In: Economic Thought. RePEc:wea:econth:v:9:y:2020:i:2:p:38.

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2020Big data tools for Islamic financial analysis. (2020). Hassan, M. Kabir ; Mouakhar, Khaireddine ; Jarboui, Anis ; Mnif, Emna. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:27:y:2020:i:1:p:10-21.

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2020Social distancing and contagion in a discrete choice model of COVID-19. (2020). Di Guilmi, Corrado ; Galanis, Giorgos ; Baskozos, Giorgos. In: CRETA Online Discussion Paper Series. RePEc:wrk:wcreta:57.

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2020A Behavioural SIR Model and its Implications for Physical Distancing. (2020). Di Guilmi, Corrado ; Galanis, Giorgos ; Baskozos, Giorgos. In: CRETA Online Discussion Paper Series. RePEc:wrk:wcreta:58.

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2020Heterogeneous speculators and stock market dynamics: A simple agent-based computational model. (2020). Westerhoff, Frank ; Schwartz, Ivonne ; Schmitt, Noemi. In: BERG Working Paper Series. RePEc:zbw:bamber:160.

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2020Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo. (2020). Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:202001.

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2020Can heterogeneous agent models explain the alleged mispricing of the S&P 500?. (2020). Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:202003.

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2020Wirtschaftswissenschaftliche Politikberatung in Deutschland: Stärken, Schwächen, Optimierungspotenziale. (2020). Haucap, Justus. In: DICE Ordnungspolitische Perspektiven. RePEc:zbw:diceop:106.

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2020Stock price related financial fragility and growth patterns. (2020). Assmuth, Pascal. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:202010.

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2020Bubbles in history. (2020). Turner, John D ; Quinn, William. In: QUCEH Working Paper Series. RePEc:zbw:qucehw:202007.

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2020Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257.

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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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paper0
2009Individual Expectations and Aggregate Behavior in Learning to Forcast Experiments In: CeNDEF Working Papers.
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paper21
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: Economics Working Papers.
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paper
2001Microscopic Models of Financial Markets In: Papers.
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paper1
2006Microscopic models of financial markets.(2006) In: Economics Working Papers.
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This paper has another version. Agregated cites: 1
paper
1999On Rational Bubbles and Fat Tails In: Papers.
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paper50
2002On Rational Bubbles and Fat Tails..(2002) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 50
article
2007Agent-based Models of Financial Markets In: Papers.
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paper41
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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article53
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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paper
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
2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY In: Macroeconomic Dynamics.
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article46
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: 46
paper
1995Herd Behaviour, Bubbles and Crashes. In: Economic Journal.
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article428
2010Forecasting volatility under fractality, regime-switching, long memory and student-t innovations In: Computational Statistics & Data Analysis.
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article24
1997Time variation of second moments from a noise trader/infection model In: Journal of Economic Dynamics and Control.
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article81
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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article52
2006Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching.(2006) In: Economics Working Papers.
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paper
2008Introduction to special issue on `Applications of Statistical Physics in Economics and Finance In: Journal of Economic Dynamics and Control.
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article8
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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article98
2005Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach.(2005) In: Economics Working Papers.
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This paper has another version. Agregated cites: 98
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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This paper has another version. Agregated cites: 98
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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article281
2001Testing for non-linear structure in an artificial financial market In: Journal of Economic Behavior & Organization.
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article61
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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article3
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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article50
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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article48
2002Genetic learning as an explanation of stylized facts of foreign exchange markets.(2002) In: Discussion Paper Series 1: Economic Studies.
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paper
2003Genetic learning as an explanation of stylized facts of foreign exchange markets.(2003) In: Economics Working Papers.
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This paper has another version. Agregated cites: 48
paper
2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model In: Computational Economics.
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article212
2008New Advances in Financial Economics: Heterogeneity and Simulation In: Computational Economics.
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article4
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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paper160
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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paper0
2010Extreme Value Theory as a Theoretical Background for Power Law Behavior In: MPRA Paper.
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paper5
2010Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation In: MPRA Paper.
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paper7
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]
paper13
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: 13
paper
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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article19
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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article16
2001The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange In: Applied Financial Economics.
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article28
2001Power laws and long memory In: Quantitative Finance.
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article3
2001Turbulence in financial markets: the surprising explanatory power of simple cascade models In: Quantitative Finance.
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article18
2003Detecting multi-fractal properties in asset returns: The failure of the scaling estimator In: Economics Working Papers.
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paper2
2003A minimal noise trader model with realistic time series properties In: Economics Working Papers.
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paper6
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: 6
paper
2004Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models In: Economics Working Papers.
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paper1
2006Financial power laws: Empirical evidence, models, and mechanism In: Economics Working Papers.
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paper12
2007Applications of statistical physics in finance and economics In: Economics Working Papers.
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paper6
2008Stochastic behavioral asset pricing models and the stylized facts In: Economics Working Papers.
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paper3
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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paper8

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