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Applications of statistical physics in finance and economics
Lux, Thomas - 2008
economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … the recent inception of new strands of research on this topic, both within econophysics and the neoclassical economics …
Persistent link: https://www.econbiz.de/10010273110
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 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/10010273169
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 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/10010295122
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Applications of statistical physics in finance and economics
Lux, Thomas - 2007
economics and nance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … the recent inception of new strands of research on this topic both within econophysics and the neoclassical economics …
Persistent link: https://www.econbiz.de/10010295154
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Worrying trends in econophysics
Gallegatti, Mauro; Keen, Steve; Lux, Thomas; Ormerod, Paul - Universita Politecnica delle Marche; University of …; … - 2006
Econophysics has already made a number of important empirical contributions to our understanding of the social and … amount of reasonably well-defined data. More recently, Econophysics has also begun to tackle other areas of economics where …
Persistent link: https://www.econbiz.de/10009482163
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Worrying trends in econophysics
Gallegati, Mauro; Keen, Steve; Lux, Thomas; Ormerod, Paul - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 1-6
Econophysics has already made a number of important empirical contributions to our understanding of the social and …
Persistent link: https://www.econbiz.de/10010591788
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Applications of Statistical Physics in Finance and Economics
Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008
economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … the recent inception of new strands of research on this topic, both within econophysics and the neoclassical economics …
Persistent link: https://www.econbiz.de/10005566184
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A Markov-switching multifractal approach to forecasting realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10009314521
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
Persistent link: https://www.econbiz.de/10008856295
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695