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Volatility clustering in financial markets : a micro-simulation of interactive agents

Lux, Thomas - 1997

Persistent link: https://www.econbiz.de/10013399182

Scaling and criticality in a stochastic multi-agent model of a financial market

Lux, Thomas; Marchesi, Michele - 1998

Persistent link: https://www.econbiz.de/10001372561

Volatility clustering in financial markets : a micro-simulation of interacting agents

Lux, Thomas; Marchesi, Michele - 1998

Persistent link: https://www.econbiz.de/10001372570

Testing for non-linear structure in an artificial financial market

Chen, Shu-Heng; Lux, Thomas; Marchesi, Michele - 1999

Persistent link: https://www.econbiz.de/10001372680

The effects of a financial transaction tax in an artificial financial market

Fricke, Daniel; Lux, Thomas - In: Journal of economic interaction and coordination : JEIC 10 (2015) 1, pp. 119-150

Persistent link: https://www.econbiz.de/10011378750

Estimation of sentiment effects in financial markets : a simulated method of moments approach

Chen, Zhenxi; Lux, Thomas - In: Computational economics 52 (2018) 3, pp. 711-744

Persistent link: https://www.econbiz.de/10012053041

Modelling and analysis of financial network dynamics

Braack, Alexandrina - 2017

Persistent link: https://www.econbiz.de/10011639333

Estimation of sentiment effects in financial markets : a simulated method of moments approach

Chen, Zhenxi; Lux, Thomas - 2015

We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...

Persistent link: https://www.econbiz.de/10010501936

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

Persistent link: https://www.econbiz.de/10011299266

Testing for non-linear structure in an artificial financial market

Chen, Shu-Heng; Lux, Thomas; Marchesi, Michele - In: Journal of economic behavior & organization : JEBO 46 (2001) 3, pp. 327-342

Persistent link: https://www.econbiz.de/10001649219