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Thomas Lux

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Personal Details

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

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Affiliation

Institut für Volkswirtschaftslehre
Christian-Albrechts-Universität Kiel
Location: Kiel, Germany
Homepage: http://www.bwl.uni-kiel.de/econ/
Email:
Phone: 0431-880 3282
Fax: 0431-880 3150
Postal: D-24098 Kiel,Wilhelm-Seelig-Platz 1
Handle: RePEc:edi:vakiede (more details at EDIRC)

Works

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Working papers

  1. Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff, 2011. "A Markov-switching Multifractal Approach to Forecasting Realized Volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy.
  2. Simone Alfarano & Thomas Lux, 2010. "Extreme Value Theory as a Theoretical Background for Power Law Behavior," Kiel Working Papers 1648, Kiel Institute for the World Economy.
  3. David Colander & Roland Kupers & Thomas Lux & Casey Rothschild, 2010. "Reintegrating the Social Sciences: The Dahlem Group," Middlebury College Working Paper Series 1033, Middlebury College, Department of Economics.
  4. Ruipeng Liu & Thomas Lux, 2010. "Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models," Kiel Working Papers 1594, Kiel Institute for the World Economy.
  5. Thomas Lux & Ulrich Stolzenburg, 2010. "Identification of a Core-Periphery Structure Among Participants of a Business Climate Survey," Kiel Working Papers 1659, Kiel Institute for the World Economy.
  6. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010. "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper 24719, University Library of Munich, Germany.
  7. Albrecht Irle & Jonas Kauschke & Thomas Lux & Mishael Milakovic, 2010. "Switching Rates and the Asymptotic Behavior of Herding Models," Kiel Working Papers 1595, Kiel Institute for the World Economy.
  8. Thomas Lux & Leonardo Morales-Arias, 2009. "Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy.
  9. Jaba Ghonghadze & Thomas Lux, 2009. "Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach," Kiel Working Papers 1487, Kiel Institute for the World Economy.
  10. David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Brigitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Middlebury College Working Paper Series 0901, Middlebury College, Department of Economics.
  11. Thomas Lux, 2009. "Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market," Kiel Working Papers 1514, Kiel Institute for the World Economy.
  12. Cars Hommes & Thomas Lux, 2008. "Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments," Kiel Working Papers 1466, Kiel Institute for the World Economy.
  13. Thomas Lux, 2008. "Sentiment Dynamics and Stock Returns: The Case of the German Stock Market," Kiel Working Papers 1470, Kiel Institute for the World Economy.
  14. Ruipeng Liu & Tiziana Di Matteo & Thomas Lux, 2008. "Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components," Kiel Working Papers 1427, Kiel Institute for the World Economy.
  15. Simone Alfarano & Thomas Lux & Mishael Milakovic, 2008. "The Small Core of the German Corporate Board Network," Kiel Working Papers 1446, Kiel Institute for the World Economy.
  16. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy.
  17. Lux, Thomas, 2007. "Applications of statistical physics in finance and economics," Economics Working Papers 2007,05, Christian-Albrechts-University of Kiel, Department of Economics.
  18. Thomas Lux, 2007. "Collective Opinion Formation in a Business Climate Survey," Working Papers wp07-10, Warwick Business School, Financial Econometrics Research Centre.
  19. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  20. 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.
  21. Thomas Lux & Timur Yusupov, 2007. "The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data," Working Papers wp07-13, Warwick Business School, Financial Econometrics Research Centre.
  22. Thomas Lux, 2007. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Working Papers wp07-11, Warwick Business School, Financial Econometrics Research Centre.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Lux, Thomas, 1999. "Multi-Fractal Processes as Models for Financial Returns: Multi-Fractal Processes as Models for Financial Returns: A First Assessment," Discussion Paper Serie B 465, University of Bonn, Germany.
  40. 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.
  41. Thomas Lux & Didier Sornette, 1999. "On Rational Bubbles and Fat Tails," Discussion Paper Serie B 458, University of Bonn, Germany.
  42. Lux, Thomas, 1999. "Multi-Fractal Processes as Models for Financial Returns: A First Assessment," Discussion Paper Serie B 456, University of Bonn, Germany.
  43. Thomas Lux, 1998. "A Note on the Stochastic Properties of German Stock Returns," Discussion Paper Serie B 444, University of Bonn, Germany.
  44. 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.
  45. 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.
  46. 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. Albrecht Irle & Jonas Kauschke & Thomas Lux & Mishael Milaković, 2011. "Switching Rates And The Asymptotic Behavior Of Herding Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 359-376.
  2. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2676-2692, November.
  3. Lux, Thomas, 2009. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, Elsevier, vol. 72(2), pages 638-655, November.
  4. 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.
  5. 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.
  6. Lux, Thomas, 2008. "The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 194-210, April.
  7. Ruipeng Liu & T. Di Matteo & Thomas Lux, 2008. "Multifractality And Long-Range Dependence Of Asset Returns: The Scaling Behavior Of The Markov-Switching Multifractal Model With Lognormal Volatility Components," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 669-684.
  8. Silvano Cincotti & Laura Gardini & Thomas Lux, 2008. "New Advances in Financial Economics: Heterogeneity and Simulation," Computational Economics, Society for Computational Economics, vol. 32(1), pages 1-2, September.
  9. S. Alfarano & T. Lux & F. Wagner, 2007. "Empirical validation of stochastic models of interacting agents," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 55(2), pages 183-187, 01.
  10. 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.
  11. 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.
  12. Akira Namatame & Thomas Lux & Robert Axtell, 2006. "Welcome to JEIC," Journal of Economic Interaction and Coordination, Springer, vol. 1(1), pages 1-3, May.
  13. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
  14. 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.
  15. 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.
  16. 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.
  17. T. Lux, 2001. "Power laws and long memory," Quantitative Finance, Taylor and Francis Journals, vol. 1(6), pages 560-562.
  18. Thomas Lux, 2001. "The limiting extremal behaviour 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.
  19. 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.
  20. T. Lux, 2001. "Turbulence in financial markets: the surprising explanatory power of simple cascade models," Quantitative Finance, Taylor and Francis Journals, vol. 1(6), pages 632-640.
  21. 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.
  22. 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.
  23. 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.
  24. Thomas Lux, 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 701-706.
  25. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
  26. Franke, Reiner & Lux, Thomas, 1993. " Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 95(3), pages 355-63.
  27. Thomas Lux, 1992. "A note on the stability of endogenous cycles in Diamond's model of search and barter," Journal of Economics, Springer, vol. 56(2), pages 185-196, June.

Editor

  1. Journal of Economic Interaction and Coordination, Springer.

NEP Fields

35 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2010-03-13
  2. NEP-BEC: Business Economics (1) 2008-09-29
  3. NEP-CBA: Central Banking (2) 2008-12-07 2009-07-28
  4. NEP-CBE: Cognitive & Behavioural Economics (5) 2008-12-07 2009-03-22 2009-05-16 2010-03-13 2010-11-06. Author is listed
  5. NEP-CMP: Computational Economics (5) 2006-08-05 2007-01-23 2008-12-07 2010-03-13 2010-09-11. Author is listed
  6. NEP-ECM: Econometrics (10) 2001-05-02 2007-01-14 2007-01-14 2007-05-12 2008-06-21 2008-09-20 2009-07-28 2010-03-13 2010-09-11 2011-11-07. Author is listed
  7. NEP-ENV: Environmental Economics (1) 2008-06-21
  8. NEP-ETS: Econometric Time Series (6) 2007-01-14 2007-01-14 2007-05-12 2009-07-28 2010-03-13 2011-11-07. Author is listed
  9. NEP-EVO: Evolutionary Economics (1) 2010-03-13
  10. NEP-EXP: Experimental Economics (1) 2008-12-07
  11. NEP-FIN: Finance (3) 2001-02-14 2001-05-02 2006-08-05
  12. NEP-FMK: Financial Markets (7) 2001-02-14 2001-05-02 2006-08-05 2007-01-14 2007-01-14 2008-06-21 2008-07-20. Author is listed
  13. NEP-FOR: Forecasting (6) 2007-01-14 2007-01-14 2008-12-07 2009-03-14 2009-07-28 2011-11-07. Author is listed
  14. NEP-HPE: History & Philosophy of Economics (5) 2008-06-21 2009-03-14 2010-09-11 2010-10-02 2010-11-06. Author is listed
  15. NEP-IFN: International Finance (2) 2001-05-02 2007-01-14
  16. NEP-MAC: Macroeconomics (4) 2008-06-21 2008-07-20 2008-12-07 2009-03-14
  17. NEP-MST: Market Microstructure (3) 2006-08-05 2007-01-23 2011-11-07
  18. NEP-NET: Network Economics (1) 2008-09-29
  19. NEP-ORE: Operations Research (3) 2008-07-20 2010-03-13 2011-11-07
  20. NEP-PKE: Post Keynesian Economics (3) 2009-03-14 2009-03-22 2010-11-06
  21. NEP-RMG: Risk Management (2) 2007-01-14 2010-03-13
  22. NEP-SOC: Social Norms & Social Capital (2) 2008-07-20 2009-05-16
  23. NEP-SOG: Sociology of Economics (2) 2009-03-14 2009-03-22

Statistics

This author is among the top 5% authors according to these criteria:
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  7. h-index
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  12. Betweenness measure in co-authorship network
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