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Financial power laws : empirical evidence, models, and mechanism

Lux, Thomas (contributor) - 2006

Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust...

Persistent link: https://www.econbiz.de/10003392144

An analysis of systematic risk in worldwide econonomic sentiment indices

Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018 - Ver. January 2, 2018

tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information … embedded in the interactions between economic and business sentiment indices around the world. We find that: (i) The dynamics … collapse of the US housing market in 2007, can lead to a homogenization of the expectation structure around the world, as such …

Persistent link: https://www.econbiz.de/10011790790

Structural correlations in the Italian overnight money market : an analysis based on network configuration models

Luu, Duc Thi; Lux, Thomas; Yanovski, Boyan - 2017 - Ver. March 28, 2017

We study the structural correlations in the Italian overnight money market over the period 1999-2010. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and examine whether higher-level characteristics of the...

Persistent link: https://www.econbiz.de/10011627459

On the distribution of links in financial networks : structural heterogeneity and functional form

Lux, Thomas - 2017

We investigate the distribution of links in three large data-sets, one of these covering interbank loans in the electronic trading platform e-MID, the other two covering a large part of the loans of banks to non-financial companies in the Spanish and Japanese economies, respectively. In contrast...

Persistent link: https://www.econbiz.de/10011662620

Inference for nonlinear state space models : a comparison of different methods applied to Markov-switching multifractal models

Lux, Thomas - 2018

Nonlinear, non-Gaussian state space models have found wide applications in many areas. Since such models usually do not allow for an analytical representation of their likelihood function, sequential Monte Carlo or particle filter methods are mostly applied to estimate their parameters. Since...

Persistent link: https://www.econbiz.de/10011891373

The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781206

Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781208

The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2004 - [Elektronische Ressource],rev

Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

Persistent link: https://www.econbiz.de/10002468813

Stochastic behavioral asset pricing models and the stylized facts

Lux, Thomas (contributor) - 2008

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...

Persistent link: https://www.econbiz.de/10003721495

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...

Persistent link: https://www.econbiz.de/10003721498