Professoren
Prof. Dr. rer. pol. Thomas Lux

Prof. Dr. rer. pol. Thomas Lux

Editorship of Journals and Monograph Series

Member of Editorial Board of the journal Quantitative Finance (since 2000)

Member of Editorial Board of the Journal of Economic Behavior and Organization (since 2001)

Member of Editorial Board of the journal New Mathematics and Natural Computation (since 2005)

Founding Editor of the Journal of Economic Interaction and Cooperation (starting in 2006)

Co-Editor of monograph series Dynamic Economic Theory/Dynamische Wirtschafttheorie published by Peter Lang Publ.


Editor of Special Issues and Contributed Volumens

Alfarano, S., T.Lux and M. Milakovic (Guest editors), Special issue on "Interdisciplinary Applications of Physics in Economics and Finance" of the European Physical Kournal, in press

Farmer, D. and T. Lux (Guest editors), Special issue on "Statistical Physics Approaches in Economics and Finance" of the Journal of Economic Dynamics and Control, Vol.38, 2008.

Cincotti, S., L. Gardini and T. Lux (Guest editors), Special issue on "New Advances in Financial Economics: Heterogeneity and Simulation" of the journal Computational Economics, Vol. 32, nos. 1 - 2 2008

Lux, T. and M. Marchesi (Guest editors), Special issue on "Heterogeneous Interacting Agents in Financial Markets" of the Journal of Economic Behavior and Organization, Vol. 49, no. 1, 2002.

Lux, T. S. Reitz and E. Samanidou, eds. Nonlinear Dynamics and Heterogeneous Interacting Agents. Lecture Notes in Economics and Mathematical Systems. Berlin: Springer, 2005.

M. Faggini and T. Lux, eds.,"Coping with the Complexity of Economics" Berlin: Springer, 2008.


Articles in Refereed Journals

"Rational Forecasts or Social Opinion Dynamics: Identification of Interaction Effects in a Business Climate Index", Journal of Economic Behavior and Organization 72, 2009, 638 - 655

"Multifractatlity and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components" (with R.Liu and T.di Matteo), Advances in Complex Systems 11, 2008, 1 - 16

"The Markov-Switching Multifractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility", Journal of Business & Economics Statistics 26, 2008, 1 - 16

"Time-Variation of Higher Moments in Financial Markets with Heterogeneous Agents: An Analytical Approach" (with S. Alfarano and F. Wagner), Journal of Economic Dynamics & Control 32, 2008, 101 - 136

"A Noise Trader Model as a Generator of Apparent Power Laws and Long Memory"(with S. Alfarano), Macroeconomic Dynamics 11 (Supplement 1), 2007, 80 - 101

"True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence" (with R. Liu and T. di Matteo), Physica A 383 (2007), 35 - 42

"Forecasting Volatility and Volume in the Tokyo Stock Market: Long-Memory, Fractality and Regime Switching" (with T. Kaizoji), Journal of Economic Dynamics & Control 31 (2007), 1808 - 1843

"Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model" (with S. Alfarano and F. Wagner), European Journal of Physics B 55 (2007), 183 - 187

"Agent-Based Models of Financial Markets" (with E. Samanidou, E. Zschischang and D. Stauffer), Reports on Progress in Physics 70, 2007, 409 - 450

"Estimation of a Simple Agent-Based Model of Financial Markets: An Application to Australian Stock and Foreign Exchange Data" (with S. Alfarano and F. Wagner), Physica A, 2006, 38 - 42

"Forecasting Volatility and Volume in the Tokyo Stock Market: Long-Memory, Fractality and Regime Switching" (with T. Kaizoji),

"Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model" (with S. Alfarano and F. Wagner, Computational Economics 26, 2005, pp. 19 - 49

"Genetic Algorithms as an Explanation of the Stylized Facts of Foreign Exchange Markets" (with S. Schornstein), Journal of Mathematical Economics 41, 2005, 169 - 196

"Detecting Multi-Fractal Properties in Asset Returns: An Assessment of the 'Scaling Estimator'", International Journal of Modern Physics 15, pp. 481-491, 2004

"On Rational Speculative Bubbles and Fat Tails" (with D. Sornette), Journal of Money, Credit and Banking 34, 2002, pp. 589-610

"Turbulence in Financial Markets: The Surprising Explanatory Power of Simple Cascade Models", Quantitative Finance 1, 2000, pp. 632-640

"Power-Laws and Long Memory", Quantitative Finance 1, 2001, pp. 560-562

"Testing for Nonlinear Structure in an 'Artificial' Financial Market" (with S.-H. Chen and M. Marchesi), Journal of Economic Behavior and Organization 46, 2001, pp. 327-342

"The Limiting Extremal Behavior of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange", Applied Financial Economics 11, 2001, pp. 299-315

"Some New Results on the Levy, Levy and Solomon Microscopic Stock Market Model" (with E. Zschischang), Physica A 29, 2001, pp. 563-573

"On Moment Condition Failure in German Stock Returns: An Application of Recent Advances in Extreme Value Statistics", Empirical Economics 25, 2000, pp. 641-652

"Volatiliy Clustering in Financial Markets: A Micro-Simulation of Interacting Agents" (with M. Marchesi), International Journal of Theoretical and Applied Finance 3, 2000, pp. 675-702

"Finite-Size Effects in Monte Carlo Simulations of Two Stock Market Models" (with E. Egenter and D. Stauffer), Physica A 268, 1999, pp. 250-256

"Scaling and Criticality in a Stochastic Multi-Agent-Model of a Financial Market" (with M. Marchesi), Nature 397, 1999, pp. 498-500

"The Socio-Economic Dynamics of Speculative Markets: Interacting Agents, Chaos, and the Fat Tails of Return Distributions" , Journal of Economic Behavior and Organization 33, 1998, pp. 143-165

"Time Variation of Second Moments from a Noise Trader/Infection Model", Journal of Economic Dynamics and Control 22, 1997, pp. 1-38

"The Stable Paretian Hypothesis and the Frequency of Large Returns: An Examination of Major German Stocks", Applied Economics Letters 6, 1996, pp. 463-475

"Long-term Stochastic Dependance in Financial Prices: Evidence from the German Stock Market", Applied Economic Letters 3, 1996, pp. 701-706

"Corridor Stability in the Dendrinos Model of Regional Factor Movements", Geographical Analysis 27, 1995, pp. 360-368

"Herd Behaviour, Bubbles and Crashes", Economic Journal 105, 1995, pp. 881-896

"Adaptive Expectations and Perfect Foresight in a Nonlinear Metzlerian Model of the Inventory Cycle" (with R. Franke), Scandinavian Journal of Economics 95, 1993, pp. 355-363

"A Note of the Stability of Endogeneous Cycles in Diamond's Model of Search and Barter", Journal of Economics 56, 1992, pp. 47-59

"The Sequential Trading Approach to Disequilibrium Dynamics", Jahrbücher für Nationalökonomie und Statistik 209, 1992, pp. 47-59

"Lagerhaltungszyklen aus der Sicht der Neuen Keynesianischen Makroökonomik", Jahrbuch für Sozialwissenschaft 42, 1991, pp. 224-233


Articels in Edited Volumes

"Applications of Statistical Physics to Finance and Economics", chapter 9 in B. Rosser ed.Handbook of Research on Complexity, Cheltenham 2009, 213-258 (Edward Elgar)

"Stochastic Behavioral Asset Pricing Models and the Stylized Facts", chapter 3 in T. Hens and K. Schenl-Hoppé eds.,Handbook of Financial Markets: Dynamics and Evolution. Amsterdam, 161-215 (North-Holland)

"A Simple Model of Herd Behaviour with Realistic Time Series Properties" (with S. Alfarano), in: G. Teysièrre and A. Kirman, eds., Long Memory in Economics, Berlin. 345-361 (Springer)

"Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation" (with S. Alfarano and F. Wagner), in: W. Franz, H. Ramser and M.Stadler, eds., Funktionsfähigkeit und Stabilität von Finanzmärkten. Tübingen 2005, pp. 241-254 (Mohr Siebeck)

"Emergent Statistical Wealth Distributions in Simple Monetary Exchange Models: A Critical Review", in: A. Chatterjee, S. Yarlagadda and B. Chakrabarti, eds., Econophysics of Wealth Distributions. Berlin 2005, pp. 51-60 (Springer)

"Market Fluctuations I: Scaling, Multi-Scaling and Their Possible Origins" (with M. Ausloos), in: A. Bunde, J. Kropp and H.-J. Schellnhuber, eds., Theories of Disaster: Climate Disruptions, Heart Attacks and Market Crashes.Berlin, 2002, pp. 372-409 (Springer)

"On the Role of Financial Factors in the Business Cycle: A Comparative Dynamic Analysis", in: Feichtinger, G., ed., Dynamic Economic Models and Optimal Control. Amsterdam 1992, pp. 547-563 (North-Holland)


Shorter Contributions and Didactical Work

"Mathematics, Methods and Modern Economics:The Dahlem Group on Economic modeling" (with D. Colander, H.Föllmer, A. Haas, K. Juselius, A. Kirman and B. Sloth), in: Real-World Economic Review 50, 2009, 118 - 121

"Die Welt als Modell und Vorstellung" Süddeutsche Zeitung, 22 August 2009

"The Financial Crisis and the Systemic Failure of the Economics Profession" (with D. Colander, A. Haas, M. Goldberg, K. Juselius, A. Kirman and B. Sloth), in: Critical Review 21, 2009, 249 - 267

"Economics Crisis" (with F. Westerhoff), in: Nature Physics 5, 2009, 2-3

"Worrying Trends in Econophysics" (with M. Gallegatti, S. Keen and P. Ormerod), in: Physica A 370 (2006), 1-6

"Micro-Simulations of Financial Markets and the Stylized Facts" (with F. Heitger), in: Takayasu, H., ed. Empirical Science of Financial Fluctuations: The Advent of Econophysics. Berlin, 2002, pp. 123-134

"Kuenstliches Wirtschaftsleben im Computer: Mikro-Simulationen virtueller Finanzmaerkte", in: Die Sparkasse 11, pp. 517-523

"A Master Equation Approach to the Modelling of Financial Markets Microstructure", in: Vlacic, L., T. Nguyen and D. Cecez-Kecmanovic, eds., Modelling and Control of National and Regional Economies 1995. Oxford 1996, pp. 409-414 (Pergamon)

"Integration von Wertpapiermarkt und Geldmarkt im Keynesschen Makromodell: Ein Kommentar", in: Jahrbuecher fuer Nationaloekonomie und Statistik 214 (1995), pp. 238-241

Head words "Deppelkeildiagramme" and "Neue Makrooekonomie", in: Geigant, F. et al., eds., Lexikon der Volkswirtschaft, 6th ed., Landsberg 1994

"Komparativ-statische Analyse eines 'rekonstruierten' klassischen Makromodells", in: Ernst, M. and J. Kopf, eds., Elemente volkswirtschaftlicher Forschung und Lehre. Berlin 1993, pp. 53-64 (Dunker & Humblot)

"On the Role of Financial Factors in the Business Cycle: A Comparative Dynamic Analysis" (Extended Abstract) in: Gritzmann, P. et al., eds. Operations Research '91. Heidelberg 1992, pp. 427-429

"Cobweb-Theorem und Tatonnement-Prozess", in: WiSt, Wirschaftswissenschaftliches Studium H.5, 1991, pp. 245-248

"Aussenhandel im Grundmodell der Ungleichgewichtstheorie" (with S. Klatt and M. Ernst), in: WISU, Das Wirtschaftsstudium, H.12, 1989, pp. 706-711

"Oekomomische Analyse von Verkehrsstaus" (with P. Knauth), in: WiSt, Wirtschaftswissenschaftliches Studium, H.11, 1989, pp. 583-586

"Das Grundmodell der Ungleichgewichtstheorie" (with S. Klatt and M. Ernst), in: WISU, Das Wirtschaftsstudium, H.8/9, pp. 506-514


Published Consulting Work

"Eckpunkte einer nachhaltigen Antwort auf die Wachstumskrise", Report to the German Federal Ministry for the Environment, Nature Concervation and Nuclear Savety (with C. Jaeger and G. Horn under collaboration of S. Fürst, W. Lass, L. Lin, A. Mandel, F. Meißner, C. Prelle, H. Prietzel and H. Schreiber), August 2009, 45 pages (available at Link)


Recent Unpublished Papers

Ghonghadze, J., Lux, T. (2009). Modelling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach. Kiel Working Paper, 1487, Institut für Weltwirtschaft, Kiel, 39pp.

Lux, T., Morales-Arias, L. (2009). Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations. Kiel Working Paper, 1532, Institute for teh World Economy, Kiel, 35pp.

Lux, T., (2009). Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market. Kiel Working Paper, 1514, Institut für Weltwirtschaft, Kiel, 42pp.

Hommes, C., Lux, T., (2008). Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments. Kiel Working Paper, 1466, Institut für Weltwirtschaft, Kiel, 40pp.

Lux, T., (2008). Sentiment Dynamics and Stock Returns: The Case of the German Stock Market. Kiel Working Paper, 1470, Institut für Weltwirtschaft, Kiel, 28pp.

Milakovic, M., Alfarano, S., Lux, T., (2008). The Small Core of the German Corporate Board Network. Kiel Working Paper, 1446, Institut für Weltwirtschaft, Kiel, 19pp.


Book Review

J. Frankel, G. Gallo and A. Giovannini, eds., "The Microstructure of Foreign Exchange Markets". Chicago 1996, in: Kredit und Kapital H. 1/1999, pp. 146-153

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