27 citations · 89 across the 9 of their papers we have counts for
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physics.soc-ph2006★ 27 cited
Modeling long-range memory trading activity by stochastic differential equations
V. Gontis, B. Kaulakys
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial m…
physics.soc-ph2006★ 19 cited
Long-range memory model of trading activity and volatility
V. Gontis, B. Kaulakys
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequen…
physics.soc-ph2005
Modeling of flows with the power-law spectral densities and power-law distributions of flow's intensities
Bronislovas Kaulakys, Miglius Alaburda, Vygintas Gontis +2
We present analytical and numerical results of modeling of flows represented as the correlated non-Poissonian point process and as the Poissonian sequence of pulses of the differen…