Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins
By Thomas Lux, Marcel Ausloos. 2002
144 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1ce7f66b3fdc30388d7809fdb8e7c1976134f38a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Frank H. Westerhoff
- R. Franke
- Thomas Lux
- Roberto Dieci
- Friedrich Wagner
- Simone Alfarano
- Cars H. Hommes
- Laura Gardini
In Finance
- Frank H. Westerhoff
- Thomas Lux
- R. Franke
- Friedrich Wagner
- Simone Alfarano
- Roberto Dieci
- Cars H. Hommes
- Jakob Grazzini
Citations in the corpus
- Financial power laws: Empirical evidence, models, and mechanism (2016, methodology): “1 provides an example for the typical behavior of financial data, using a large series of daily observations for the New York Stock Exchange Composite Index.”
- Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005, background): “Starting with the former, the non-Gaussian character of the unconditional distribution of returns is a well-known ubiquitous finding in the literature (Mandelbrot, 1963; Lux and Ausloos, 2002; de Vries, 1994).”
- Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012, background): “We view it as being sufficiently well represented by the six coefficients for the 3 Detailed descriptions of the statistical properties of asset prices can be found in Cont (2001), Lux and Ausloos (2002), or Lux (2009).”
- The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach (2006, background): “According to Cont (2001), Lux and Ausloos (2002) and Johansen and Sornette (2003), speculative markets are characterized by five universal features: (1) prices are distorted in the form of bubbles and crashes, (2) price volatility is higher than warranted by fundamentals, (3) the distribution of…”
- Stochastic behavioral asset pricing models and the stylized facts (2008, methodology): “Similarly, research on temporal dependence has also used more re ned methods from stochastics (cf. Lux and Ausloos, 2002, for a comparison of the tools used by physicists and nancial econometricians).”