27 citations · 78 across the 8 of their papers we have counts for
6 papers · 1 filter
Nonlinear stochastic models of 1/f noise and power-law distributions
Bronislovas Kaulakys, Julius Ruseckas, Vygintas Gontis +1
Starting from the developed generalized point process model of noise (B. Kaulakys et al, Phys. Rev. E 71 (2005) 051105; cond-mat/0504025) we derive the nonlinear stochastic d…
Modelling financial markets by the multiplicative sequence of trades
Vygintas Gontis, Bronislovas Kaulakys
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta,…
Stochastic nonlinear differential equation generating 1/f noise
B. Kaulakys, J. Ruseckas
Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of…
On the intrinsic origin of 1/f noise
B. Kaulakys
The problem of the intrinsic origin of 1/f noise is considered. Currents and signals consisting of a sequence of pulses are analysed. It is shown that intrinsic origin of 1/f noise…
Models for generation 1/f noise
B. Kaulakys, T. Meskauskas
Simple analytically solvable models are proposed exhibiting 1/f spectrum in wide range of frequency. The signals of the models consist of pulses (point process) which interevent ti…
Multiplicative point process as a model of trading activity
Vygintas Gontis, Bronislovas Kaulakys
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the puls…