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The epistemology of simulation...
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22
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Lux, Thomas
Kleijnen, Jack P. C.
128
Sutherland, Holly
79
Creedy, John
73
Peichl, Andreas
63
Merz, Joachim
45
Immervoll, Herwig
43
O'Donoghue, Cathal
42
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38
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
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25
McAleer, Michael
25
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24
Geweke, John
24
Choudhury, Masudul Alam
23
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23
Kalb, Guyonne
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
Heifetz, Aviad
20
Levy, Horacio
20
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20
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3
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2
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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
Special Issue: New advances in financial economics : heterogeneity and
simulation
Cincotti, Silvano
(
contributor
);
Lux, Thomas
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003755510
Saved in:
3
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:
4
Flexible and robust modelling of volatility comovements : a comparison of two multifractal models
Liu, Ruipeng
;
Lux, Thomas
-
2010
via both maximum likelihood and
simulation
based inference approaches. In order to explore its practical performance, we … models ;
simulation
based inference ; value-at-risk ; expected shortfall …
Persistent link: https://www.econbiz.de/10003932609
Saved in:
5
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:
6
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:
7
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:
8
Evolutionary learning in auctions
Richter, Konrad
-
2005
Persistent link: https://www.econbiz.de/10003087546
Saved in:
9
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:
10
Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas
;
Marchesi, Michele
- In:
International journal of theoretical and applied finance
3
(
2000
)
4
,
pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
Saved in:
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