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~person:"Lux, Thomas"
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22
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Lux, Thomas
Kleijnen, Jack P. C.
128
Sutherland, Holly
79
Creedy, John
72
Peichl, Andreas
63
Merz, Joachim
45
Immervoll, Herwig
43
Kleijnen, Jack P.C.
42
O'Donoghue, Cathal
42
Nelson, Barry L.
38
Thürer, Matthias
37
Figari, Francesco
35
Stevenson, Mark A.
33
Kotlikoff, Laurence J.
30
Börsch-Supan, Axel
26
Roson, Roberto
26
Colombino, Ugo
25
Gharbi, Ali
25
Ludwig, Alexander
25
McAleer, Michael
25
Renna, Paolo
25
Christl, Michael
24
Geweke, John
24
Stachurski, John
23
Winker, Peter
23
Kalb, Guyonne
22
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22
West, Kenneth D.
22
Breuss, Fritz
21
De Poli, Silvia
21
Klepper, Gernot
21
Koopman, Siem Jan
21
Land, Martin J.
21
Pyka, Andreas
21
Bargain, Olivier
20
Beers, Wim C. M. van
20
Dixon, Peter B.
20
Levy, Horacio
20
Peterson, Sonja
20
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20
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Computational economics
3
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3
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3
Discussion paper / Sonderforschungsbereich 303, "Information und die Koordination Wirtschaftlicher Aktivitäten", Projektbereich B
2
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1
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1
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1
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1
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1
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1
Microscopic models of financial markets
Samanidou, Egle
;
Zschischang, Elmar
;
Stauffer, Dietrich
; …
-
2006
-Sneppen and Solomon-Levy-Huang. After an overview of
simulation
approaches in financial economics, we first give a summary of the …
Persistent link: https://www.econbiz.de/10010295005
Saved in:
2
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
Saved in:
3
Volatility clustering in financial markets : a micro-
simulation
of interacting agents
Lux, Thomas
;
Marchesi, Michele
-
1998
Persistent link: https://www.econbiz.de/10001372570
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Non-homogeneous volatility correlations in the bivariate multifractal model
Liu, Ruipeng
;
Lux, Thomas
- In:
The European journal of finance
21
(
2015
)
10/12
,
pp. 971-991
Persistent link: https://www.econbiz.de/10011301954
Saved in:
8
Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas
-
2017
resorted to
simulation
-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however …
Persistent link: https://www.econbiz.de/10011748807
Saved in:
9
Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas
- In:
Journal of economic dynamics & control
91
(
2018
),
pp. 391-408
Persistent link: https://www.econbiz.de/10011974212
Saved in:
10
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
Saved in:
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