Consentaneous Agent-Based and Stochastic Model of the Financial Markets

Citations

Cited by:

1. T. T. Chen & B. Zheng & Y. Li & X. F. Jiang, 2017. "New approaches in agent-based modeling of complex financial systems," Papers 1703.06840, arXiv.org.
2. Kononovicius, A. & Ruseckas, J., 2015. "Nonlinear GARCH model and 1/f noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 74-81.
3. Yan Li & Bo Zheng & Ting-Ting Chen & Xiong-Fei Jiang, 2017. "Fluctuation-driven price dynamics and investment strategies," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-15, December.
4. Vygintas Gontis & Shlomo Havlin & Aleksejus Kononovicius & Boris Podobnik & H. Eugene Stanley, 2015. "Stochastic model of financial markets reproducing scaling and memory in volatility return intervals," Papers 1507.05203, arXiv.org, revised Oct 2016.
5. Jackson, Antony & Ladley, Daniel, 2016. "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 270-280.
6. Raphael H Heiberger, 2015. "Collective Attention and Stock Prices: Evidence from Google Trends Data on Standard and Poor's 100," PLOS ONE, Public Library of Science, vol. 10(8), pages 1-14, August.
7. Vygintas Gontis & Aleksejus Kononovicius, 2017. "The consentaneous model of the financial markets exhibiting spurious nature of long-range memory," Papers 1712.05121, arXiv.org, revised Feb 2018.
8. Kononovicius, Aleksejus & Kazakevičius, Rytis & Kaulakys, Bronislovas, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
9. V. Gontis & A. Kononovicius, 2017. "Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets," Papers 1701.01255, arXiv.org.
10. Kazuto Sasai & Yukio-Pegio Gunji & Tetsuo Kinoshita, 2017. "Intermittent Behavior Induced By Asynchronous Interactions In A Continuous Double Auction Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(02n03), pages 1-21, March.
11. Aleksejus Kononovicius & Vygintas Gontis, 2014. "Herding interactions as an opportunity to prevent extreme events in financial markets," Papers 1409.8024, arXiv.org, revised May 2015.
12. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
13. Gontis, V. & Havlin, S. & Kononovicius, A. & Podobnik, B. & Stanley, H.E., 2016. "Stochastic model of financial markets reproducing scaling and memory in volatility return intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1091-1102.
14. Aleksejus Kononovicius & Rytis Kazakeviv{c}ius & Bronislovas Kaulakys, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Papers 2205.07563, arXiv.org, revised Jul 2022.
15. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
16. Vygintas Gontis & Aleksejus Kononovicius, 2017. "Spurious memory in non-equilibrium stochastic models of imitative behavior," Papers 1707.09801, arXiv.org.
17. Aleksejus Kononovicius & Julius Ruseckas, 2014. "Nonlinear GARCH model and 1/f noise," Papers 1412.6244, arXiv.org, revised Feb 2015.
18. Gontis, V. & Kononovicius, A., 2018. "The consentaneous model of the financial markets exhibiting spurious nature of long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1075-1083.
19. Maria Elvira Mancino & Maria Cristina Recchioni, 2015. "Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-33, September.
20. Aleksejus Kononovicius, 2017. "Empirical Analysis and Agent-Based Modeling of the Lithuanian Parliamentary Elections," Complexity, Hindawi, vol. 2017, pages 1-15, November.
21. Vygintas Gontis, 2021. "Order flow in the financial markets from the perspective of the Fractional L\'evy stable motion," Papers 2105.02057, arXiv.org, revised Nov 2021.
22. Kononovicius, Aleksejus, 2021. "Supportive interactions in the noisy voter model," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
23. Gontis, V. & Kononovicius, A., 2020. "Bessel-like birth–death process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
24. Zimmermannová Jarmila & Pawliczek Adam & Čermák Petr, 2018. "Public Support of Solar Electricity and its Impact on Households - Prosumers," Organizacija, Sciendo, vol. 51(1), pages 4-19, February.
25. Gontis, V. & Kononovicius, A., 2017. "Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 266-272.
26. Aleksejus Kononovicius & Julius Ruseckas, 2018. "Order book model with herd behavior exhibiting long-range memory," Papers 1809.02772, arXiv.org, revised Apr 2019.
27. Rytis Kazakevicius & Aleksejus Kononovicius & Bronislovas Kaulakys & Vygintas Gontis, 2021. "Understanding the nature of the long-range memory phenomenon in socioeconomic systems," Papers 2108.02506, arXiv.org, revised Aug 2021.
28. Chen, Ting-Ting & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2018. "Information driving force and its application in agent-based modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 593-601.