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Complex interactions in financial markets

Finger, Karl - 2014

Persistent link: https://www.econbiz.de/10011305495

Relative forecasting performance of volatility models : Monte Carlo evidence

Lux, Thomas; Morales-Arias, Leonardo - 2010

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized Autoregressive Conditional Heteroskedasticity...

Persistent link: https://www.econbiz.de/10003932329

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...

Persistent link: https://www.econbiz.de/10009389845

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

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

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

Modeling and forecasting crude oil price volatility : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015

This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...

Persistent link: https://www.econbiz.de/10010488966

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 core of the global corporate network

Giglio, Ricardo; Lux, Thomas - 2016

We investigate the network topology of a comprehensive data set of the world-wide population of corporate entities. In …

Persistent link: https://www.econbiz.de/10011436477

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