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Lux, Thomas
Roventini, Andrea
132
Kleijnen, Jack P. C.
128
Dosi, Giovanni
86
Sutherland, Holly
80
Gallegati, Mauro
77
Creedy, John
73
Napoletano, Mauro
72
Peichl, Andreas
63
Ketter, Wolfgang
45
Merz, Joachim
45
Immervoll, Herwig
43
O'Donoghue, Cathal
42
Dawid, Herbert
41
Delli Gatti, Domenico
41
Chen, Shu-Heng
40
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39
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38
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38
Lamperti, Francesco
38
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37
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37
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37
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36
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34
Pyka, Andreas
33
Stevenson, Mark A.
33
Renna, Paolo
31
Kotlikoff, Laurence J.
30
Teglio, Andrea
30
Ludwig, Alexander
29
Tesfatsion, Leigh
29
Richiardi, Matteo
28
Virgillito, Maria Enrica
28
Balmann, Alfons
27
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27
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26
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26
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26
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Christian-Albrechts-Universität zu Kiel
3
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9
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2
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2
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Handbook of computational economics : Volume 4: Heterogeneous agent modeling
1
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1
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1
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ECONIS (ZBW)
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Applications of agent-based models and nonlinear econometrics in finance
Demary, Markus
-
2010
This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...
Persistent link: https://www.econbiz.de/10008664302
Saved in:
2
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/10003392155
Saved in:
3
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:
4
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:
5
Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Lux, Thomas
-
2020
Over the last decade, agent-based models in economics have reached a state of maturity that brought the tasks of statistical inference and goodness-of-fit of such models on the agenda of the research community. While most available papers have pursued a frequentist approach adopting either...
Persistent link: https://www.econbiz.de/10012164264
Saved in:
6
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:
7
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:
8
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
9
Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Lux, Thomas
- In:
Computational economics
60
(
2022
)
2
,
pp. 451-477
Persistent link: https://www.econbiz.de/10013380785
Saved in:
10
Three-state sentiment dynamics
Penner, Veronika
-
2020
Persistent link: https://www.econbiz.de/10012174106
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