50 citations · 503 across the 39 of their papers we have counts for
4 papers · 1 filter
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…
Herding interactions as an opportunity to prevent extreme events in financial markets
Aleksejus Kononovicius, Vygintas Gontis
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-or…
Continuous transition from the extensive to the non-extensive statistics in an agent-based herding model
Aleksejus Kononovicius, Julius Ruseckas
Systems with long-range interactions often exhibit power-law distributions and can by described by the non-extensive statistical mechanics framework proposed by Tsallis. In this co…
Consentaneous agent-based and stochastic model of the financial markets
V. Gontis, A. Kononovicius
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological mod…