Stochastic behavioral asset pricing models and the stylized facts

By Thomas Lux. 2008

206 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/803f456dccead6266889af4c8e210b64a7a93d34

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Citations in the corpus

The bull and bear market model of Huang and Day : Some extensions and new results (2013, unknown): “For surveys of this burgeoning research field see, for instance, Chiarella et al. (2009), Hommes and Wagener (2009), Lux (2009), and Westerhoff (2009).”
THE FINANCIAL CRISIS AND THE SYSTEMIC FAILURE OF THE ECONOMICS PROFESSION (2009, unknown): “If one accepts that the dispersed economic activity of many economic agents could be described by statistical laws, one might even take stock of methods from statistical physics to model dynamic economic systems (e.g., Aoki and Yoshikawa 2007; Lux 2009).”
Behavioral & Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach (2018, background): “decisions are called learning-to-optimize (LtO) experiments in the literature (Marimon et al. (1993)).”
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).”
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010, background): “…versions of these models aim at matching the stylized facts of financial markets – several interesting contributions are presented in LeBaron (2006); Lux (2009) and Chen et al. (2010)1 – other studies focus on deterministic setups to improve our basic knowledge of what drives prices in financial…”
The Financial Crisis and the Systemic Failure of Academic Economics (2009, background): “If one accepts that the dispersed economic activity of many economic agents could be described by statistical laws, one might even take stock of methods from statistical physics to model dynamic economic systems (cf. Aoki and Yoshikawa, 2007; Lux, 2009, for examples).”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “This literature is surveyed in Hommes (2006) and Chiarella (2007); see also Lux (2009), who discusses in detail how well models with interacting agents match important stylized facts such as fat tails in the returns distribution and long memory.”