312 citations · 540 across the 5 of their papers we have counts for
5 papers
True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence
Ruipeng Liu, T. Di Matteo, Thomas Lux
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties…
Agent-based Models of Financial Markets
E. Samanidou, E. Zschischang, D. Stauffer +1
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, L…
Emergent Statistical Wealth Distributions in Simple Monetary Exchange Models: A Critical Review
Thomas Lux
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensatio…
Microscopic Models of Financial Markets
E. Samanidou, E. Zschischang, D. Stauffer +1
Submitted to F. Schweitzer (ed.), Microscopic Models for Economic Dynamics, Lecture notes in physics, Springer, Berlin-Heidelberg 2002.kiel.tex
On Rational Bubbles and Fat Tails
Thomas Lux, D. Sornette
This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has re…