Thomas Lux

Economics, Econometrics and Finance · Social Sciences

23h-index2.1kcitations108works0.22yr avg
OpenAlex↗ORCID↗Google Scholar↗

Accepting Students?

No reports yet. Know if this professor is taking students?

Research Topics

Complex Systems and Time Series Analysis(59), Financial Risk and Volatility Modeling(42), Market Dynamics and Volatility(23), Banking stability, regulation, efficiency(13), Financial Markets and Investment Strategies(8)

Publications107 total

Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants
Quantitative Finance·2025
Remark on Algorithm 1012: Computing Projections with Large Datasets
ACM Transactions on Mathematical Software·2024Open Access
Estimation of regime-switching diffusions via Fourier transforms
Statistics and Computing·2024· 1 citedOpen Access
Multilayer Interdependencies in the Banking System of Japan: Correlation Dynamics and Determinants
SSRN Electronic Journal·2024Open Access
Sequential Monte Carlo Squared for Agent-Based Models
Understanding complex systems·2023· 1 cited
Algorithm 1031: MQSI—Monotone Quintic Spline Interpolation
ACM Transactions on Mathematical Software·2022· 2 citedOpen Access
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
International Journal of Forecasting·2022· 6 cited
Approximate Bayesian inference for agent-based models in economics: a case study
Studies in Nonlinear Dynamics and Econometrics·2022· 6 cited
Algorithm 1028: VTMOP: Solver for Blackbox Multiobjective Optimization Problems
ACM Transactions on Mathematical Software·2022· 8 citedOpen Access
Smarter Warehouse
2022· 1 cited
Design strategies and approximation methods for high-performance computing variability management
Journal of Quality Technology·2022· 6 cited
Design Strategies and Approximation Methods for High-Performance Computing Variability Management
arXiv (Cornell University)·2022· 1 citedOpen Access
Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
Computational Economics·2021· 8 citedOpen Access
Prediction of high-performance computing input/output variability and its application to optimization for system configurations
Quality Engineering·2021· 15 cited
Prediction of high-performance computing input/output variability and its application to optimization for system configurations
Figshare·2021Open Access
Prediction of High-Performance Computing Input/Output Variability and Its Application to Optimization for System Configurations
arXiv (Cornell University)·2020Open Access
Interpolation of sparse high-dimensional data
Numerical Algorithms·2020· 14 cited
Algorithm 1012
ACM Transactions on Mathematical Software·2020· 14 citedOpen Access
Interpolants, Error Bounds, and Mathematical Software for Modeling and Predicting Variability in Computer Systems
VTechWorks (Virginia Tech)·2020Open Access
Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models
Econometrics and Statistics·2020· 3 citedOpen Access
page 1 of 6Next →

Frequent Co-authors

Layne T. Watson(10), Tyler H. Chang(10), Yili Hong(9), Kirk W. Cameron(8), Li Xu(7), Ruipeng Liu(5), Ali R. Butt(5), Rangan Gupta(4), Leonardo Morales‐Arias(4), Jon Bernard(4), Rangan Gupta(3), Cristina Sattarhoff(3), Yueyao Wang(3), Remco C. J. Zwinkels(2), Karl Finger(2), Mattia Montagna(2), Tiziana Di Matteo(2), Bo Li(2), Danfeng Yao(2), David Colander(1)