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q-fin.GN2015★ 30 cited
Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
Vygintas Gontis, Shlomo Havlin, Aleksejus Kononovicius +2
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead…
q-fin.GN2012★ 3 cited
Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance
Aleksejus Kononovicius, Vygintas Gontis, Valentas Daniunas
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have micr…