Browsing Departament: Economia by Author "6f905ad1-b0a8-417d-bf36-b6b8f29de917"
Now showing items 1-20 of 28
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A model of the topology of the bank – firm credit network and its role as channel of contagion
Lux, Thomas; Lux, Thomas Elsevier (2016-05)This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number ... -
Advances in the agent-based modeling of economic and social behavior
Steinbacher, Mitja; Raddant, Matthias; Karimi, Fariba; Camacho Cuena, Eva; Alfarano, Simone; Iori, Giulia; Lux, Thomas Springer (2021)In this review we discuss advances in the agent-based modeling of economic and social systems. We show the state of the art of the heuristic design of agents and how behavioral economics and laboratory experiments have ... -
Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas Elsevier (2016)We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this ... -
Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
Montagna, Mattia; Lux, Thomas Taylor & Francis (2016)One lesson of the financial crisis erupting in 2008 has been that domino effects constitute a serious threat to the stability of the financial sector, i.e. the failure of one node in the interbank network might entail ... -
Core–Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform
Fricke, Daniel; Lux, Thomas Springer US (2015-03)We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the ... -
Correlations and dependencies in the global finantial village
Kenett, Dror Y.; Raddant, Matthias; Zatlavi, Lior; Lux, Thomas; Ben-Jacob, Eshel World Scientific Publishing (2012)The high degree of coupling between global financial markets has made the financial village prone to systemic collapses. Here we present a new methodology to assess and quantify inter-market relations. The approach is based ... -
Der dichte Kern des Netzwerks deutscher Aufsichtsräte und Unternehmensvorstände
Milakovic, Mishael; Alfarano, Simone; Lux, Thomas Springer-Verlag (2012-11)In a previous study the authors have identified a small core of directors who are both highly central to the entire network of German corporate boards as well as closely connected among themselves. In this note the authors ... -
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Lux, Thomas Elsevier (2015-03)This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing ... -
Estimation of an agent-based model of investor sentiment formation in financial markets
Lux, Thomas Elsevier (2012)We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion formation governed by social interactions. The bivariate nature of our data ... -
Estimation of regime-switching diffusions via Fourier transforms
Lux, Thomas Springer (2024)In this article, an algorithm for maximum-likelihood estimation of regime-switching diffusions is proposed. The proposed approach uses a Fourier transform to numerically solve the system of Fokker–Planck or forward ... -
Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach
Chen, Zhenxi; Lux, Thomas Springer (2018-10)We take the model of Alfarano et al. (J Econ Dyn Control 32:101–136, 2008) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental ... -
Evolvement of uniformity and volatility in the stressed global financial village
Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; Ben-Jacob, Eshel Public Library of Science (2012)Background: In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep throughout the entire village. Methodology/Principal ... -
Extreme value theory as a theoretical background for power law behavior
Alfarano, Simone; Lux, Thomas Kiel Institute for the World Economy (2010)Power law behavior has been recognized to be a pervasive feature of many phenomena in natural and social sciences. While immense research efforts have been devoted to the analysis of behavioral mechanisms responsible for ... -
Financial power laws: Empirical evidence, models, and mechanisms
Lux, Thomas; Alfarano, Simone Elsevier (2016-07)Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power ... -
Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan Elsevier (2016)This paper adopts the Markov-switching multifractal (MSM) model and a battery of generalized autoregressive conditional heteroscedasticity (GARCH)-type models to model and forecast oil price volatility. Extending previous ... -
Forecasting Daily variations of Stock Index Returns with a Multifractal Model of Realized Volatility
Lux, Thomas; Morales Arias, Leonardo; Sattarhoff, Cristina John Wiley & Sons (2014-09)Multifractal models have recently been introduced as a new type of data-generating process for asset returns and other financial data. Here we propose an adaptation of this model for realized volatility. We estimate this ... -
Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
Ben Nasr, Adnen; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, Rangan Elsevier (2016)The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at ... -
Individual Expectations and Aggregate Behavior in Learning-to-Forecast Experiments
Hommes, Cars; Lux, Thomas Cambridge University Press (2013)Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The ... -
Interdisciplinary Applications of Physics in Economics and Finance
Alfarano, Simone; Lux, Thomas; Milakovic, Mishael Springer-Verlag (2010) -
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan Elsevier (2017)The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of emissions ...