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20092025
most citedAgent based reasoning for the non-linear stochastic models of long-range memory

50 citations · 503 across the 39 of their papers we have counts for

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13 papers · 1 filter

q-fin.ST2019★ 6 cited

Approximation of the first passage time distribution for the birth-death processes

Aleksejus Kononovicius, Vygintas Gontis

We propose a general method to obtain approximation of the first passage time distribution for the birth-death processes. We rely on the general properties of birth-death processes…

q-fin.ST2018★ 17 cited

Order book model with herd behavior exhibiting long-range memory

Aleksejus Kononovicius, Julius Ruseckas

In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book recor…

q-fin.ST2017★ 9 cited

The consentaneous model of the financial markets exhibiting spurious nature of long-range memory

Vygintas Gontis, Aleksejus Kononovicius

It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open pr…

q-fin.ST2017★ 11 cited

Spurious memory in non-equilibrium stochastic models of imitative behavior

Vygintas Gontis, Aleksejus Kononovicius

The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cas…

q-fin.ST2017★ 17 cited

Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets

V. Gontis, A. Kononovicius

We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fra…

q-fin.ST2014★ 17 cited

Nonlinear GARCH model and 1/f noise

Aleksejus Kononovicius, Julius Ruseckas

Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting…