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...

Changes in load and distributed generation in low voltage distribution systems (LVDS) have made the individual consumer offtake highly uncertain for the system operator. In order to accurately determine hosting capacity of such systems, congestion related stochastic indices, e.g. probability of...

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...