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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: http://gontis.eu/en/2014/07/rinkos-kaina-ekonomine-ar-sociologine-savoka/