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...

In this study, we present a combinatory chaos analysis of daily wavelet-filtered (denoised) S&P 500 returns (2000–2020) compared with respective surrogate datasets, Brownian motion returns and a Lorenz system realisation. We show that the dynamics of the S&P 500 return series consist of an...

As a preliminary study of the effect of return and sampling on chaos and stochastic data pattern, this research tests chaos pattern by using Henon attractor as a sample of two-dimensional discrete chaos data with an assumption that economic and finance data are generated by low dimensional chaos...

Recent empirical studies have shown that the chaotic behaviour and excess volatility of financial series are the result of interactions between heterogeneous investors. In our article, we propose verifying this hypothesis. Thus, we use the Chen, Lux, and Marchesi (2000) model to show that the...

Die empirische Kapitalmarktforschung beobachtet in den Volatilitäten von Aktienkursrenditen immer wieder eine lang anhaltende Abhängigkeitsstruktur, ein so genanntes langes Gedächtnis. Dieses hat weit reichende Konsequenzen. Beispielsweise verkompliziert ein tatsächlich vorliegendes langes...