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Information about:
Thomas Lux

Personal Details | Affiliation | Works
This is information that was supplied by Thomas Lux in registering through RePEc. If you are Thomas Lux , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Thomas
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Last Name: Lux
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RePEc Short-ID: plu102

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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  2. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  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!]
    Other versions:

  3. 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!]
    Other versions:
    Published as:

  4. 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!]
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  5. 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!]

  6. 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!]
    Other versions:
    Published as:

  7. 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!]

  8. 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!]
    Published as:

  9. 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!]

  10. 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.

  11. 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!]

  12. 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.
    Other versions:

  13. 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!]
    Other versions:

  14. 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!]
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    Published as:

  15. 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.

  16. 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.

  17. 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.

  18. 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.

  19. 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.
    Published as:

  20. Thomas Lux & Didier Sornette, 1999. "On Rational Bubbles and Fat Tails," Discussion Paper Serie B 458, University of Bonn, Germany. [Downloadable!]
    Published as:

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

  22. 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.
    Published as:

  23. Lux, T. & 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.

  24. Lux, T. & 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.

Articles

  1. 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)
    Other versions:

  2. 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)

  3. 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, November. [Downloadable!]
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  4. 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)
    Other versions:

  5. 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)

  6. 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)
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  7. 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.
    Other versions:

  8. 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)

  9. 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)
    Other versions:

  10. 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)
    Other versions:

  11. 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)

  12. 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)

  13. 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)

  14. 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)

  15. 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)

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

  17. 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.

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2006-08-05 2007-01-23
  2. NEP-ECM: Econometrics (4) 2001-05-02 2007-01-14 2007-01-14 2007-05-12 Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2007-01-14 2007-01-14 2007-05-12 Author is listed
  4. NEP-FIN: Finance (3) 2001-02-14 2001-05-02 2006-08-05 Author is listed
  5. NEP-FMK: Financial Markets (5) 2001-02-14 2001-05-02 2006-08-05 2007-01-14 2007-01-14 Author is listed
  6. NEP-FOR: Forecasting (2) 2007-01-14 2007-01-14
  7. NEP-IFN: International Finance (2) 2001-05-02 2007-01-14
  8. NEP-MST: Market Microstructure (2) 2006-08-05 2007-01-23
  9. NEP-RMG: Risk Management (1) 2007-01-14
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This page was last updated on 2009-11-9.

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