Access Statistics for Thomas Lux

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Minimal Noise Trader Model with Realistic Time Series Properties 2 8 18 27 2 23 48 87
A Noise Trader Model as a Generator of Apparent Financial Power Laws and Long Memory 5 11 28 71 6 21 73 188
A Note on the Stochastic Properties of German Stock Returns 0 0 0 0 0 3 16 501
A minimal noise trader model with realistic time series 0 0 0 0 0 2 17 169
A minimal noise trader model with realistic time series properties 3 9 27 42 7 27 78 125
Applications of Statistical Physics in Finance and Economics 6 25 107 131 7 51 204 243
Detecting multi-fractal properties in asset returns: The failure of the ‘scaling estimator’ 4 7 26 50 5 12 48 98
Financial power laws: empirical evidence, models, and mechanism 2 9 30 46 8 21 58 83
Forecasting Volatility and Volume in the Tokyo Stock Market: The Advantage of Long Memory Models 2 4 27 118 7 24 89 311
Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models 0 0 2 2 4 16 90 326
Forecasting volatility and volume in the Tokyo stock market: long memory, fractality and regime switching 7 23 55 102 17 48 126 207
Genetic Learning and the Stylized Facts of Foreign Exchange Markets 0 0 0 0 0 0 20 166
Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets 2 4 9 16 6 15 45 75
Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets 2 4 12 40 5 10 46 116
Microscopic Models of Financial Markets 3 11 40 80 7 23 90 149
On Dynamics in An Asset Pricing Model with Heterogeneous Expectations 0 0 1 185 3 9 51 445
On Rational Bubbles and Fat Tails 4 9 44 511 10 25 94 1,413
Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market 0 0 5 5 39 152 442 1,351
Testing for Non-Linear Structure in an Artificial Financial Market 0 0 1 1 9 20 60 1,030
The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange 0 0 1 1 2 8 31 687
The Markov-Switching Multi-Fractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility 2 5 30 85 9 22 85 223
The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility 5 17 50 102 9 36 120 216
The Multi-Fractal Model of Asset Returns: Its Estimation via GMM and Its Use for Volatility Forecasting 9 27 80 162 16 54 159 334
The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation 0 0 0 241 2 7 79 908
The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting 0 0 1 3 3 12 36 181
Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach 1 2 10 36 2 8 36 124
Time-variation of higher moments in a financial market with heterogeneous agents: an analytical approach 2 14 25 30 6 21 47 54
True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence 1 6 21 32 2 13 48 57
Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents 0 0 7 8 23 72 281 1,494
Total Working Papers 62 195 657 2,127 216 755 2,617 11,361


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY 6 10 16 16 9 34 58 58
Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle 0 0 0 0 0 3 17 52
Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model 1 3 9 38 2 11 34 124
Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching 1 1 11 16 6 21 55 65
Genetic learning as an explanation of stylized facts of foreign exchange markets 0 1 8 38 0 8 33 101
Herd Behaviour, Bubbles and Crashes 14 30 122 626 38 77 274 1,289
Introduction to special issue on `Applications of Statistical Physics in Economics and Finance' 0 3 16 16 0 6 38 38
Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets 0 3 15 57 2 11 43 163
Long-Term Stochastic Dependence in Financial Prices: Evidence from the German Stock Market 2 3 9 32 5 9 26 90
On Rational Bubbles and Fat Tails 0 0 0 0 2 9 39 323
On moment condition failure in German stock returns: an application of recent advances in extreme value statistics 0 0 2 66 0 2 11 217
Testing for non-linear structure in an artificial financial market 3 6 28 80 4 10 43 131
The Limiting Extremal Behavior of Speculative Returns: An Analysis of Intra-daily Data from the Frankfurt Stock Exchange 0 1 9 59 1 2 19 281
The Stable Paretian Hypothesis and the Frequency of Large Returns: An Examination of Major German Stocks 0 5 35 128 7 17 87 288
The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions 3 9 37 159 7 21 68 285
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach 3 8 12 12 7 17 28 28
Time variation of second moments from a noise trader/infection model 0 3 15 68 1 8 36 195
Total Journal Articles 33 86 344 1,411 91 266 909 3,728


Statistics updated 2008-09-04