Interplay between Endogenous and Exogenous Fluctuations in Financial Markets

• Authors: V. Gontis
• Languages of publication: EN

Abstracts

EN

We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical properties of high volatility return intervals. By exogenous noise we mean information flow or/and order flow fluctuations. Numerical results based on the proposed model reveal that the exogenous fluctuations have to be considered as indispensable part of comprehensive modeling of the financial markets.

Keywords

EN

89.65.Gh; 89.75.Da; 05.10.Gg; 05.40.-a; 05.45.Tp

Discipline

• 05.10.Gg: Stochastic analysis methods (Fokker-Planck, Langevin, etc.)
• 05.45.Tp: Time series analysis
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 89.75.Da: Systems obeying scaling laws
• 05.40.-a: Fluctuation phenomena, random processes, noise, and Brownian motion(for fluctuations in superconductivity, see 74.40.-n; for statistical theory and fluctuations in nuclear reactions, see 24.60.-k; for fluctuations in plasma, see 52.25.Gj; for nonlinear dynamics and chaos, see 05.45.-a)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 5
• Pages: 1023-1031

Dates

published

2016-05

Contributors

author

V. Gontis

• Institute of Theoretical Physics and Astronomy, Vilnius University, Vilnius, LT 01108, Lithuania

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Identifiers

DOI

10.12693/APhysPolA.129.1023