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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 10: Financial Markets and Risk Management II

SOE 10.2: Vortrag

Dienstag, 13. März 2018, 11:45–12:00, MA 001

Intrinsic and spurious long-range memory in financial markets and ABMs through the lense of first passage times — •Aleksejus Kononovicius and Vygintas Gontis — Vilnius University, Institute of Theoretical Physics and Astronomy, Vilnius, Lithuania

We aim to explain the phenomenon of long-range memory in socio-economic systems by proposing a simple agent-based model (ABM). From the simple ABM we derive non-linear stochastic differential equations (NSDEs), which are related to a general class of NSDEs reproducing power-law statistics [1]. We have shown that the model is able to reproduce empirical PDF and PSD of high-frequency absolut return [2]. This model also well captures another set of statistical properties (collectively known as bursting statistics) [3,4], which may put an end to discussion whether long-range memory in financial market is intrinsic or spurious.

[1] A. Kononovicius, V. Gontis, PhysA 391, 1309-1314 (2012). doi: 10.1016/j.physa.2011.08.061.

[2] V. Gontis, A. Kononovicius, PLoS ONE 9, e102201 (2014). doi: 10.1371/journal.pone.0102201.

[3] V. Gontis, A. Kononovicius, S. Reimann, ACS 15, 1250071 (2012). doi: 10.1142/S0219525912500713.

[4] V. Gontis, S. Havlin, A. Kononovicius, B. Podobnik, H. E. Stanley, PhysA 462, 1091-1102 (2016). doi: 10.1016/j.physa.2016.06.143.