50 citations · 503 across the 39 of their papers we have counts for
3 papers · 1 filter
Three-state herding model of the financial markets
Aleksejus Kononovicius, Vygintas Gontis
We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this age…
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…
The class of nonlinear stochastic models as a background for the bursty behavior in financial markets
Vygintas Gontis, Aleksejus Kononovicius, Stefan Reimann
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear s…