50 citations · 503 across the 39 of their papers we have counts for
13 papers · 1 filter
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…
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…
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…
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…
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…
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…