The present paper expands on recent attempts at estimating the parameters of simple interacting-agent models of financial markets [S. Alfarano, T. Lux, F. Wagner, Computational Economics <Emphasis Type="Bold">26, 19 (2005); S. Alfarano, T. Lux, F. Wagner, in Funktionsfähigkeit und Stabilität von...</emphasis>

The microscopic market models of Kim–Markowitz and of Lux–Marchesi are simulated for varying number of investors. If this number goes to infinity, in some quantities nearly periodic oscillations occur.

This review deals with several microscopic (``agent-based'') 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...

Thomas Lux comments on the paper by Blake LeBaron, on page 621 of this issue, by recalling related findings of spurious scaling properties and questions whether we can distinguish between true and spurious scaling laws in finite data series.

Price changes in financial markets have been found to share many of the features characterizing turbulent flows. In particular, a number of recent contributions have highlighted that time series from both stock and foreign exchange markets possess multifractal statistics, i.e. the scaling...

This paper provides a statistical analysis of high-frequency recordings of the German share price index DAX. The data set extends from November 1988 to the end of the year 1995 and includes all minute-to-minute changes during trading hours at the Frankfurt Stock Exchange. The focus of this study...