Similar Search Results

On rational bubbles and fat tails

Lux, Thomas; Sornette, Didier - 1999

Persistent link: https://www.econbiz.de/10001454330

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

A minimal noise trader model with realistic time series properties

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

Persistent link: https://www.econbiz.de/10001781210

On rational bubbles and fat tails

Lux, Thomas; Sornette, Didier - In: Journal of money, credit and banking : JMCB 34 (2002) 3,1, pp. 589-610

Persistent link: https://www.econbiz.de/10001698113

Endogenous noise in speculative markets

Lux, Thomas - 1994

Persistent link: https://www.econbiz.de/10000417899

Special issue: heterogeneous interacting agents in financial markets

Lux, Thomas (contributor) - 2002

Persistent link: https://www.econbiz.de/10001702969

Micro-simulations of financial markets and the stylized facts

Lux, Thomas; Heitger, Florian - In: Empirical science of financial fluctuations : the …, (pp. [123]-134). 2002

Persistent link: https://www.econbiz.de/10001679476

Covar

Adrian, Tobias - 2011

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being under distress and the...

Persistent link: https://www.econbiz.de/10013119814