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Gontis's pictureGontis's Profile | Submissions (8) | Comments (4) | Blogs (1)
Gontis's pictureGontis said on 06 May 2021

This manuscript analyzes the order flow in the financial markets data from Fractional Levy's stable motion and ARFIMA time series perspective. Though the financial markets provide us with a vast amount of empirical data, the best model selection is still a big challenge for researchers. The widely used long-range memory and self-similarity estimators give varying values of the parameters as these estimators themselves are developed for the specific models of time series. Here we investigate the order disbalance time series constructed from the limit order book data of the financial markets under fractional Levy stable motion assumption. Our results suggest that previous findings of persistence in order flow are related to the assumption of Gaussian noise. Our results give stable estimates of anti-correlation for the 18 randomly selected stocks when Absolute value and Higuchi's estimators are implemented. The burst duration analysis based on the first passage problem of time series and implemented in this research gives different estimates of the Hurst parameter more consistent with the uncorrelated increment cases.

The proposed manuscript is based on the Time-series and signals analysis; discrete, stochastic dynamics; Fractional dynamics. We seek to interpret the general properties of scaling in socio-economic systems that might value the broad interdisciplinary research community.

Gontis's pictureGontis said on 02 October 2020

This paper is published as:  Vygintas Gontis J. Stat. Mech. (2020) 093406, doi:10.1088/1742-5468/abb4db

Gontis's pictureGontis said on 06 January 2017
There is a fundamental problem to empirically establish which of the possible alternatives, fBm or stochastic processes with non-stationary increments, is most well-suited to describe long-range memory in the financial markets. The main idea is to employ the dependence of first passage time PDF on Hurst parameter H for the fBm.
Gontis's pictureGontis said on 27 July 2014

This text follows up our recent article „Consentaneous Agent-Based and Stochastic Model of the Financial Markets“ published in open access interdisciplinary journal PLoS ONE [1]. This article is a result of the ongoing research at the Institute of Theoretical Physics and Astronomy of Vilnius University implementing the ideas of econophysics. Though our research is mostly related to the modelling of return statistics in financial markets implementing ideas from statistical physics, the concepts behind this work and conclusions are related to the much more extensive interdisciplinary understanding of the social and physical sciences. The desire to extend conventional boundaries and achieve more understanding between researchers of physical and social sciences is a strong motivation for us to deal with econophysics.

The price is a key concept in economics as it enables general quantitative description in economy and theoretical economics. Market price plays a central role as it is assumed to precisely reflect the real exchange values. Therefore a belief that market price is the most objective one lies in the background of mainstream economics, based on the rational expectation and efficient market concepts. These concepts lie in the background of huge financial industry (stock exchange, other securities, derivatives, currency exchange, etc.), making a vast impact on the overall health of the global economy. However, periodically emerging local and global economic crises give rise to the alternative views opposing mainstream concepts of economics. More in: