Browsing ECO_Articles by Author "6f905ad1-b0a8-417d-bf36-b6b8f29de917"
Now showing items 21-28 of 28
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Network Approaches to Interbank Markets: Foreword (Editorial)
Alfarano, Simone; Fricke, Daniel; Lux, Thomas; Raddant, Matthias Springer US (2016-06) -
Non-homogeneous volatility correlations in the bivariate multifractal model
Liu, Ruipeng; Lux, Thomas Taylor & Francis (2015)In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. “Volatility Comovement: A Multifrequency Approach.” Journal of Econometrics ... -
On the distribution of links in the interbank network: evidence from the e-MID overnight money market
Fricke, Daniel; Lux, Thomas Springer Berlin Heidelberg (2015)Previous literature on statistical properties of interbank networks has reported various power-laws, particularly for the degree distribution (i.e., the distribution of credit links between institutions). In this paper, ... -
Parameter estimation and forecasting for multiplicative log-normal cascades
Leövey, Andrés E.; Lux, Thomas American Physical Society (2012) -
The effects of a financial transaction tax in an artificial financial market
Fricke, Daniel; Lux, Thomas Springer (2015-04)We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the ... -
The small core of the German corporate board network
Milakovic, Mishael; Alfarano, Simone; Lux, Thomas Springer US (2010)We consider the bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network while being densely connected among themselves. To identify the core, we compare ... -
The Small Core of the German Corporate Board Network
Alfarano, Simone; Milakovic, Mishael; Lux, Thomas Institut für Weltwirstach (2008)We consider the current bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network while being densely connected among themselves. To identify the core, ... -
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich Elsevier (2008-01)A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation ...