Berlin 2012 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 15: Poster Session

SOE 15.2: Poster

Mittwoch, 28. März 2012, 16:50–17:50, Poster F

Bursting behavior of non-linear stochastic model and empirical high-frequency return — •Aleksejus Kononovicius, Vygintas Gontis, Julius Ruseckas, and Bronislovas Kaulakys — Institute of Theoretical Physics and Astronomy, Vilnius University, A. Gostauto 12, 01108 Vilnius, Lithuania

Recently we have proposed a nonlinear stochastic model reproducing power law probability density and power spectral density of absolute return in financial markets [1,2]. The proposed model and its generalizations also exhibit power law bursting behavior (see [3] for numerical evidence). We show that bursting behavior reproduced by the proposed model and observed in the financial markets are similar.

[1] V. Gontis, J. Ruseckas and A. Kononovicius (2010): A Non-linear Stochastic Model of Return in Financial Markets, in: Stochastic Control, ed. C. Myers, Scyio.

[2] V. Gontis, J. Ruseckas and A. Kononovicius (2010): A long-range memory stochastic model of the return in financial markets, Physica A 389.

[3] B. Kaulakys, M. Alaburda and V. Gontis (2009): Modeling scaled processes and clustering of events by the nonlinear stochastic differential equations, AIP Conf. Proc. 1129.