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Publications

by members of

Institut für Betriebwirtschaftslehre
Christian-Albrechts-Universität
Kiel, Germany

(Department of Management, )

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

    2007

  1. Lux, Thomas, 2007. "Applications of Statistical Physics in Finance and Economics," Economics working papers 2007,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  2. Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2007. "True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence," Economics working papers 2007,06, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]

    2006

  1. Lux, Thomas, 2006. "The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility," Economics working papers 2006,17, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  2. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach," Economics working papers 2006,16, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  3. Samanidou, Egle & Zschischang, Elmar & Stauffer, Dietrich & Lux, Thomas, 2006. "Microscopic Models of Financial Markets," Economics working papers 2006,15, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  4. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics working papers 2006,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  5. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics working papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  6. Lux, Thomas, 2006. "Financial power laws : empirical evidence, models, and mechanism," Economics working papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]

    2005

  1. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005. "Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach," Economics working papers 2005,14, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  2. Alfarano, Simone & Lux, Thomas, 2005. "A Noise Trader Model as a Generator of Apparent Financial Power Laws and Long Memory," Economics working papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]

    2004

  1. Taisei Kaizoji & Thomas Lux, 2004. "Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models," Computing in Economics and Finance 2004 158, Society for Computational Economics.
  2. Lux, Thomas, 2004. "The Markov-Switching Multi-Fractal Model of Asset Returns : GMM Estimation and Linear Forecasting of Volatility," Economics working papers 2004,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  3. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting Volatility and Volume in the Tokyo Stock Market : The Advantage of Long Memory Models," Economics working papers 2004,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]

    2003

  1. Thomas Lux, 2003. "The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting," Computing in Economics and Finance 2003 14, Society for Computational Economics.
  2. Alfarano, Simone & Lux, Thomas, 2003. "A Minimal Noise Trader Model with Realistic Time Series Properties," Economics working papers 2003,15, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  3. Lux, Thomas, 2003. "The Multi-Fractal Model of Asset Returns: Its Estimation via GMM and Its Use for Volatility Forecasting," Economics working papers 2003,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  4. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets," Economics working papers 2003,12, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  5. Lux, Thomas, 2003. "Detecting multi-fractal properties in asset returns: The failure of the ‘scaling estimator’," Economics working papers 2003,14, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]

    2002

  1. Simone Alfarano & Thomas Lux, 2002. "A minimal noise trader model with realistic time series," Computing in Economics and Finance 2002 317, Society for Computational Economics.
  2. Thomas Lux & Sascha Schornstein, 2002. "Genetic Learning and the Stylized Facts of Foreign Exchange Markets," Computing in Economics and Finance 2002 22, Society for Computational Economics.
  3. Lux, Thomas & Schornstein, Sascha, 2002. "Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets," Discussion Paper Series 1: Economic Studies 2002,29, Deutsche Bundesbank, Research Centre. [Downloadable!]

    2001

  1. Thomas Lux, 2001. "The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation," Computing in Economics and Finance 2001 62, Society for Computational Economics.
  2. Taisei Kaizoji & Thomas Lux, 2001. "On Dynamics in An Asset Pricing Model with Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 2A.3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

    1999

  1. Shu-Heng Chen & Thomas Lux & Michele Marchesi, 1999. "Testing for Non-Linear Structure in an Artificial Financial Market," Discussion Paper Serie B 447, University of Bonn, Germany.
  2. Thomas Lux and Didier Sornette, 1999. "On Rational Bubbles and Fat Tails," Discussion Paper Serie B 458, University of Bonn, Germany. [Downloadable!]

    1998

  1. Thomas Lux, 1998. "A Note on the Stochastic Properties of German Stock Returns," Discussion Paper Serie B 444, University of Bonn, Germany.

    Undated

  1. Lux, T., and M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
  2. Lux, T. and M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
  3. Lux, T., . "The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange," Discussion Paper Serie B 436, University of Bonn, Germany, revised Jul 1998.

Journal articles

    2008

  1. Farmer, J. Doyne & Lux, Thomas, 2008. "Introduction to special issue on `Applications of Statistical Physics in Economics and Finance'," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 1-6, January. [Downloadable!] (restricted)
  2. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008. "Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 101-136, January. [Downloadable!] (restricted)

    2007

  1. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, July. [Downloadable!]
  2. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June. [Downloadable!] (restricted)

    2005

  1. Lux, Thomas & Schornstein, Sascha, 2005. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 169-196, February. [Downloadable!] (restricted)
  2. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer, vol. 26(1), pages 19-49, August. [Downloadable!] (restricted)

    2002

  1. Lux, Thomas & Marchesi, Michele, 2002. "Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 143-147, October. [Downloadable!] (restricted)
  2. Lux, Thomas & Sornette, Didier, 2002. "On Rational Bubbles and Fat Tails," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 589-610, August.

    2001

  1. Lux, Thomas, 2001. "The Limiting Extremal Behavior of Speculative Returns: An Analysis of Intra-daily Data from the Frankfurt Stock Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 11(3), pages 299-315, June. [Downloadable!] (restricted)
  2. Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November. [Downloadable!] (restricted)

    2000

  1. Thomas Lux, 2000. "On moment condition failure in German stock returns: an application of recent advances in extreme value statistics," Empirical Economics, Springer, vol. 25(4), pages 641-652. [Downloadable!] (restricted)

    1998

  1. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January. [Downloadable!] (restricted)

    1997

  1. Lux, Thomas, 1997. "Time variation of second moments from a noise trader/infection model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 1-38, November. [Downloadable!] (restricted)

    1996

  1. Lux, Thomas, 1996. "Long-Term Stochastic Dependence in Financial Prices: Evidence from the German Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 3(11), pages 701-06, November. [Downloadable!] (restricted)
  2. Lux, Thomas, 1996. "The Stable Paretian Hypothesis and the Frequency of Large Returns: An Examination of Major German Stocks," Applied Financial Economics, Taylor and Francis Journals, vol. 6(6), pages 463-75, December. [Downloadable!] (restricted)

    1995

  1. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July. [Downloadable!] (restricted)

    1993

  1. Franke, Reiner & Lux, Thomas, 1993. " Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle," Scandinavian Journal of Economics, Blackwell Publishing, vol. 95(3), pages 355-63.
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