Thomas Lux

Economics and Econometrics · 2002–2016

A researcher in the Science corpus: 14 papers; trusts 63 researchers and is trusted by 14 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 117 citations into it; #4,629 of 23,481 by trust here, #3,694 by citations
• Finance — 79 citations into it; #2,459 of 10,518 by trust here, #1,605 by citations
• Statistical and Nonlinear Physics — 23 citations into it; #6,434 of 10,127 by trust here, #6,421 by citations
• Statistics and Probability — 13 citations into it
• Condensed Matter Physics — 10 citations into it; #775 of 1,948 by trust here, #1,363 by citations
• Artificial Intelligence — 7 citations into it
• Accounting — 6 citations into it
• Management Science and Operations Research — 6 citations into it

Whom Thomas Lux trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Laurent E. Calvet
2. Gilles Zumbach
3. Adlai J. Fisher
4. Lars Peter Hansen
5. Abhijit Banerjee
6. Sydney C. Ludvigson
7. Nicholas S. Souleles
8. Jan Beran
9. Peter J. Brockwell
10. Benoit B. Mandelbrot

Who trusts Thomas Lux overall

1. Cars H. Hommes
2. Frank H. Westerhoff
3. T. Di Matteo
4. R. Franke
5. Jean-Philippe Bouchaud
6. Wei‐Xing Zhou
7. Adnen Ben Nasr
8. Fabio Tramontana
9. Rémy Chicheportiche
10. Anne-Caroline Hüser

Papers from Thomas Lux's perspective

Ordered by how strongly the researchers Thomas Lux trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
4. The Pricing of Options and Corporate Liabilities
5. Statistics for long-memory processes
6. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
7. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
8. Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
9. What moves stock prices?
10. Stock price volatility and equity premium

Their papers

• The Markov-Switching Multifractal Model of Asset Returns (2008) — 176 citations
• Stochastic behavioral asset pricing models and the stylized facts (2008) — 206 citations
• THE FINANCIAL CRISIS AND THE SYSTEMIC FAILURE OF THE ECONOMICS PROFESSION (2009) — 407 citations
• Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005) — 360 citations
• The Financial Crisis and the Systemic Failure of Academic Economics (2009) — 328 citations
• Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey (2009) — 111 citations
• DETECTING MULTIFRACTAL PROPERTIES IN ASSET RETURNS: THE FAILURE OF THE "SCALING ESTIMATOR" (2004) — 82 citations
• Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002) — 144 citations
• Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform (2015) — 332 citations
• Worrying trends in econophysics (2006) — 222 citations
• Financial power laws: Empirical evidence, models, and mechanism (2016) — 144 citations
• Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach (2008) — 191 citations
• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching (2007) — 107 citations
• The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting (2003) — 56 citations