Berlin 2012 – wissenschaftliches Programm
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 21: Economic Models and Evolutionary Game Theory II
SOE 21.4: Vortrag
Donnerstag, 29. März 2012, 16:15–16:30, H 0110
Microscopic herding model leading to long-range processes and 1/f noise with application to absolute return in financial markets — •Bronislovas Kaulakys, Vygintas Gontis, Aleksejus Kononovicius, and Julius Ruseckas — Institute of Theoretical Physics and Astronomy, Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania
Starting from agent-based Kirman’s herding model we obtain and analyze the nonlinear stochastic differential equations (NSDE) for the ratio of number of agents [1]. We provide evidence that for some value of the parameters the strong herding behavior yields NSDE of the form of Refs. [2] for the long-range processes with the 1/fβ noise. The nonlinear terms in the transition probabilities are crucial for the herding dynamics and for appearance of the long-range power-law correlations and distributions with the diverging variance [2]. Application of the model for description of the absolute return in financial markets [3] will be presented.
[1] J. Ruseckas, B. Kaulakys and V. Gontis, EPL, Herding model and 1/f noise (Accepted).
[2] B. Kaulakys and M. Alaburda, J. Stat. Mech. P02051 (2009); J. Ruseckas and B. Kaulakys, Phys. Rev. E 84, 051125 (2011).
[3] A. Kononovicius and V. Gontis, Physica A 391, dx.doi.org/10.1016/j.physa.2011.08.061 (2012).