93 citations · 718 across the 43 of their papers we have counts for
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physics.data-an2009★ 1 cited
Multifractality of the multiplicative autoregressive point processes
B. Kaulakys, M. Alaburda, V. Gontis +1
Multiplicative processes and multifractals have earned increased popularity in applications ranging from hydrodynamic turbulence to computer network traffic, from image processing…
q-fin.ST2009★ 44 cited
A long-range memory stochastic model of the return in financial markets
V. Gontis, J. Ruseckas, A. Kononovicius
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in fin…