Prof. Thomas Lux
- Current Position: Professor of Monetary Economics and International Finance, Department of Economics, University of Kiel, Germany.
- Address:
Office: Department of Economics, University of Kiel
Olshausenstr. 40, 24118 Kiel, Germany
Tel: 49-431-880-3661, Fax: 49-431-880-4383 - Education:
Habilitation Department of Economics, University of Bamberg, 1996
Ph.D. Department of Economics, University of Wuerzburg, 1990
Diploma in Economics Department of Economics, University of Wuerzburg, 1987
The group's research covers a wide range of topics, with particular emphasis on financial economics, money and banking, econophysics, the application of agent-based models, networks, and multifractal models in the fields of economics and finance.
“Peer Effects in Professional Analysts’ Choice of their Portfolio of Companies” (with L. Honvehlmann and V.
Fang), Quantitative Finance (in press). https://doi.org/10.1080/14697688.2022.2119881
“Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized
Volatility” (with C. Sattarhoff), International Journal of Forecasting (in press). https://doi.org/10.1016/j.ijforecast.2022.08.009
“Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-
Switching Multifractal Models”, Econometrics and Statistics 21, 2022, 69–95. https://doi.org/10.1016/j.ecosta.2020.03.001
“Multilayer Overlaps and Correlations in the Bank-Firm Credit Network of Spain” (with D. Luu), Quantitative
Finance 19, 2019, 1953–1974. https://doi.org/10.1080/14697688.2019.1620318
“Estimation of Agent-Based Models using Sequential Monte Carlo Methods”, Journal of Economic Dynamics
& Control 91, 2018, 391–408. https://doi.org/10.1016/j.jedc.2018.01.021