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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

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

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

Microscopic models of financial markets

Samanidou, Egle; Zschischang, Elmar; Stauffer, Dietrich; … - 2006

This review deals with several microscopic models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of...

Persistent link: https://www.econbiz.de/10010295005

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

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

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

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