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59 Results

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  • Topics

    • Financial Markets (2)
    • Fiscal Policy & National Budgets (2)
  • Publication Type

    • Working Paper (33)
    • Journal Article (26)
  • Research

    • Macroeconomic Research (59)
    • International Macroeconomics (57)
  • Experts

    • Thomas Lux (59)
    • Daniel Fricke (8)
    • Mishael Milakovic (6)
    • Simone Alfarano (6)
    • Karl Finger (4)
    • Leonardo Morales-Arias (4)
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    • Armin Haas (3)
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    • David Colander (3)
    • Katarina Juselius (3)
    • Ruipeng Liu (3)
    • Albrecht Irle (2)
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  • Publication Series

    • Kiel Working Papers (32)
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  • Experts: Thomas Lux
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  1. Journal Article

    Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform

    Computational Economics
    03/2015
    Thomas Lux, Daniel Fricke

    We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999...

  2. Journal Article

    Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes

    Computational Management Science
    01/2013
    Karl Finger, Daniel Fricke, Thomas Lux

    In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that...

  3. Working Paper

    Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform

    Kiel Working Papers
    03/2012
    Download
    Thomas Lux, Daniel Fricke

    We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999...

  4. Working Paper

    Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market

    Kiel Working Papers
    04/2014
    Download
    Thomas Lux

    This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system...

  5. Journal Article

    Time Variation of Higher Moments in Financial Markets with Heterogeneous Agents: An Analytical Approach

    Journal of Economic Dynamics and Control
    01/2008
    Simone Alfarano, Thomas Lux, Friedrich Wagner

    A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of...

  6. Working Paper

    The Small Core of the German Corporate Board Network: New Evidence from 2010

    Kiel Working Papers
    11/2011
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    Mishael Milakovic, Simone Alfarano, Thomas Lux

    Milaković, Alfarano and Lux (2010) have identified a small core of directors who are both highly central to the entire ...

  7. Working Paper

    The Small Core of the German Corporate Board Network

    Kiel Working Papers
    09/2008
    Download
    Mishael Milakovic, Simone Alfarano, Thomas Lux

    We consider the current bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire...

  8. Journal Article

    The Small Core of the German Corporate Board Network

    Computational & Mathematical Organization Theory
    08/2010
    Mishael Milakovic, Simone Alfarano, Thomas Lux

    We consider the bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network...

  9. Journal Article

    The Markov-Switching Multifractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility

    Journal of Business and Economic Statistics
    04/2008
    Thomas Lux

    Multifractal processes have recently been proposed as a new formalism for modeling the time series of returns in finance. The major attraction...

  10. Working Paper

    The Financial Crisis and the Systemic Failure of Academic Economics

    Kiel Working Papers
    02/2009
    Download
    David Colander, Hans Föllmer, Armin Haas ...

    The economics profession appears to have been unaware of the long build-up to the current worldwide financial crisis and to have significantly...

  11. Journal Article

    The Financial Crisis and the Systemic Failure of Academic Economics

    Critical Review
    08/2009
    Download
    David Colander, Hans Föllmer, Armin Haas ...

    The economics profession appears to have been unaware of the long build-up to the current worldwide financial crisis and to have significantly...

  12. Working Paper

    The Effects of a Financial Transaction Tax in an Artificial Financial Market

    Kiel Working Papers
    08/2013
    Download
    Daniel Fricke, Thomas Lux

    We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit...

  13. Working Paper

    Switching Rates and the Asymptotic Behavior of Herding Models

    Kiel Working Papers
    02/2010
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    Albrecht Irle, Jonas Kauschke, Thomas Lux ...

    Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the...

  14. Journal Article

    Switching Rates and the Asymptotic Behavior of Herding Models

    Advances in Complex Systems
    06/2011
    Albrecht Irle, Jonas Kauschke, Thomas Lux ...

    Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the...

  15. Working Paper

    Stochastic Behavioral Asset Pricing Models and the Stylized Facts

    Kiel Working Papers
    06/2008
    Download
    Thomas Lux

    High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While...

  16. Journal Article

    Stochastic Behavioral Asset Pricing Models and the Stylized Facts

    Handbook on Financial Markets
    01/2009
    Download
    Thomas Lux

    High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While...

  17. Journal Article

    Introduction to special issue on "Applications of Statistical Physics in Economics and Finance"

    Journal of Economic Dynamics and Control
    01/2008
    J. Doyne Farmer, Thomas Lux

  18. Working Paper

    Sentiment Dynamics and Stock Returns: The Case of the German Stock Market

    Kiel Working Papers
    12/2008
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    Thomas Lux

    We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between...

  19. Journal Article

    Sentiment Dynamics and Stock Returns: The Case of the German Stock Market

    Empirical Economics
    11/2011
    Thomas Lux

    We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between...

  20. Working Paper

    Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information

    Kiel Working Papers
    07/2014
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    Mattia Montagna, Thomas Lux

    Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased...

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