Regensburg 2013 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 25: Poster session

SOE 25.12: Poster

Thursday, March 14, 2013, 17:15–19:00, Poster C

Inter-burst times of the empirical high-frequency financial market data and non-linear stochastic models — •Aleksejus Kononovicius and Vygintas Gontis — Institute of Theoretical Physics, Vilnius University, Vilnius, Lithuania

Recently we have proposed a non-linear stochastic model of return and trading activity in financial markets reproducing power law probability and spectral densities [1]. The reproduced statistical properties are in agreement with the high frequency empirical data. The proposed class of nonlinear stochastic differential equations is also known to exhibit power law bursting behavior [2,3], while similar behavior is also observed in the empirical data of financial markets [3]. In this contribution we will extend our previous approaches to the burst statistics by considerably more detailed analyses of the modelic and empirical inter-burst time durations.

[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, Intech.

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

[3] V. Gontis, A. Kononovicius and S. Reimann (2012): The class of nonlinear stochastic models as a background for the bursty behavior in financial markets, Advances in Complex Systems 15 (supp01).