Stochastic model of financial markets reproducing scaling and memory in volatility return intervals

Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.

doi:10.1016/j.physa.2016.06.143

Title: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals

Authors:: Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.

Publication Date:: Tue Nov 01 00:00:00 EDT 2016

Sponsoring Org.:: USDOE

OSTI Identifier:: 1359737

Grant/Contract Number:: AC07-05Id14517

Resource Type:: Publisher's Accepted Manuscript

Journal Name:: Physica. A

Additional Journal Information:: Journal Name: Physica. A Journal Volume: 462 Journal Issue: C; Journal ID: ISSN 0378-4371

Publisher:: Elsevier

Country of Publication:: Netherlands

Language:: English

Citation Formats


                    Gontis, V., Havlin, S., Kononovicius, A., Podobnik, B., and Stanley, H. E. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals.  Netherlands: N. p., 2016. 
Web.  doi:10.1016/j.physa.2016.06.143.

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                    Gontis, V., Havlin, S., Kononovicius, A., Podobnik, B., & Stanley, H. E. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals.  Netherlands.  https://doi.org/10.1016/j.physa.2016.06.143

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                    Gontis, V., Havlin, S., Kononovicius, A., Podobnik, B., and Stanley, H. E. Tue .  
"Stochastic model of financial markets reproducing scaling and memory in volatility return intervals".  Netherlands.  https://doi.org/10.1016/j.physa.2016.06.143.

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@article{osti_1359737,

  title        = {Stochastic model of financial markets reproducing scaling and memory in volatility return intervals},

  author       = {Gontis, V. and Havlin, S. and Kononovicius, A. and Podobnik, B. and Stanley, H. E.},

  abstractNote = {},

  doi          = {10.1016/j.physa.2016.06.143},

  journal      = {Physica. A},

  number       = C,

  volume       = 462,

  place        = {Netherlands},

  year         = {Tue Nov 01 00:00:00 EDT 2016},

  month        = {Tue Nov 01 00:00:00 EDT 2016}

}

Copy to clipboard

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https://doi.org/10.1016/j.physa.2016.06.143

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Title: Stochastic model of financial markets reproducing scaling and memory in volatility return intervals

Citation Formats

What really causes large price changes? journal, August 2004

A complex systems approach to constructing better models for managing financial markets and the economy journal, November 2012

An empirical examination of heterogeneity and switching in foreign exchange markets journal, November 2014

Institutional Investors and Stock Market Volatility journal, May 2006

Stock Returns Versus Trading Volume: Is the Correspondence More General? journal, January 2013

Estimation of an agent-based model of investor sentiment formation in financial markets journal, August 2012

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation journal, July 1982

Herding, a-synchronous updating and heterogeneity in memory in a CBS journal, April 2005

Universal behaviour of interoccurrence times between losses in financial markets: An analytical description journal, September 2011

Modelling the persistence of conditional variances journal, January 1986

Universal behavior of the interoccurrence times between losses in financial markets: Independence of the time resolution journal, December 2014

Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton journal, July 2016

Ants, Rationality, and Recruitment journal, February 1993

Cross-correlations between volume change and price change journal, December 2009

Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model journal, August 2005

Linking agent-based models and stochastic models of financial markets journal, May 2012

Testing of a market fraction model and power-law behaviour in the DAX 30 journal, March 2015

Generalized autoregressive conditional heteroskedasticity journal, April 1986

Discrete Choice with Social Interactions journal, April 2001

Nonlinear GARCH model and 1/f noise journal, June 2015

A Class of Nonlinear Arch Models journal, February 1992

Identification of Social Interaction Effects in Financial Data journal, December 2013

New Advances in Financial Economics: Heterogeneity and Simulation journal, April 2008

Indication of multiscaling in the volatility return intervals of stock markets journal, January 2008

Agent-based models of financial markets journal, February 2007

Agent based reasoning for the non-linear stochastic models of long-range memory journal, February 2012

The Adaptive Markets Hypothesis journal, January 2004

Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach journal, January 2008

Point process model of 1 ∕ f noise vs a sum of Lorentzians journal, May 2005

The invisible hand and the rational agent are behind bubbles and crashes journal, July 2016

Power Laws in Economics and Finance journal, September 2009

Financial Knudsen number: Breakdown of continuous price dynamics and asymmetric buy-and-sell structures confirmed by high-precision order-book information journal, October 2015

Scaling and criticality in a stochastic multi-agent model of a financial market journal, February 1999

Speculative Asset Prices journal, June 2014

Econophysics review: I. Empirical facts journal, March 2011

Structural stochastic volatility in asset pricing dynamics: Estimation and model contest journal, August 2012

Three-state herding model of the financial markets journal, January 2013

1 / f noise from nonlinear stochastic differential equations journal, March 2010

Consentaneous Agent-Based and Stochastic Model of the Financial Markets journal, July 2014

Universal features of correlated bursty behaviour journal, May 2012

A theory of power-law distributions in financial market fluctuations journal, May 2003

Effect of Nonlinear Correlations on the Statistics of Return Intervals in Multifractal Data Sets journal, December 2007

Long memory processes and fractional integration in econometrics journal, July 1996

Scaling and memory in volatility return intervals in financial markets journal, June 2005

Modeling long-range memory trading activity by stochastic differential equations journal, August 2007

What really causes large price changes?
journal, August 2004

A complex systems approach to constructing better models for managing financial markets and the economy
journal, November 2012

An empirical examination of heterogeneity and switching in foreign exchange markets
journal, November 2014

Institutional Investors and Stock Market Volatility
journal, May 2006

Stock Returns Versus Trading Volume: Is the Correspondence More General?
journal, January 2013

Estimation of an agent-based model of investor sentiment formation in financial markets
journal, August 2012

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
journal, July 1982

Herding, a-synchronous updating and heterogeneity in memory in a CBS
journal, April 2005

Universal behaviour of interoccurrence times between losses in financial markets: An analytical description
journal, September 2011

Modelling the persistence of conditional variances
journal, January 1986

Universal behavior of the interoccurrence times between losses in financial markets: Independence of the time resolution
journal, December 2014

Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton
journal, July 2016

Ants, Rationality, and Recruitment
journal, February 1993

Cross-correlations between volume change and price change
journal, December 2009

Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
journal, August 2005

Linking agent-based models and stochastic models of financial markets
journal, May 2012

Testing of a market fraction model and power-law behaviour in the DAX 30
journal, March 2015

Generalized autoregressive conditional heteroskedasticity
journal, April 1986

Discrete Choice with Social Interactions
journal, April 2001

Nonlinear GARCH model and 1/f noise
journal, June 2015

A Class of Nonlinear Arch Models
journal, February 1992

Identification of Social Interaction Effects in Financial Data
journal, December 2013

New Advances in Financial Economics: Heterogeneity and Simulation
journal, April 2008

Indication of multiscaling in the volatility return intervals of stock markets
journal, January 2008

Agent-based models of financial markets
journal, February 2007

Agent based reasoning for the non-linear stochastic models of long-range memory
journal, February 2012

The Adaptive Markets Hypothesis
journal, January 2004

Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
journal, January 2008

Point process model of $1 ∕ f$ noise vs a sum of Lorentzians
journal, May 2005

The invisible hand and the rational agent are behind bubbles and crashes
journal, July 2016

Power Laws in Economics and Finance
journal, September 2009

Financial Knudsen number: Breakdown of continuous price dynamics and asymmetric buy-and-sell structures confirmed by high-precision order-book information
journal, October 2015

Scaling and criticality in a stochastic multi-agent model of a financial market
journal, February 1999

Speculative Asset Prices
journal, June 2014

Econophysics review: I. Empirical facts
journal, March 2011

Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
journal, August 2012

Three-state herding model of the financial markets
journal, January 2013

$1 / f$ noise from nonlinear stochastic differential equations
journal, March 2010

Consentaneous Agent-Based and Stochastic Model of the Financial Markets
journal, July 2014

Universal features of correlated bursty behaviour
journal, May 2012

A theory of power-law distributions in financial market fluctuations
journal, May 2003

Effect of Nonlinear Correlations on the Statistics of Return Intervals in Multifractal Data Sets
journal, December 2007

Long memory processes and fractional integration in econometrics
journal, July 1996

Scaling and memory in volatility return intervals in financial markets
journal, June 2005

Modeling long-range memory trading activity by stochastic differential equations
journal, August 2007