Teorinės fizikos ir astronomijos institutas Teorinės fizikos ir astronomijos institutas

Kompleksinių fizinių ir socialinių sistemų grupė » Darbuotojai

dr. Aleksejus Kononovičius

mokslo darbuotojas

Kab. Saulėtekio al. 3 A433 kab.
Tel. 
El. p. 
http://kononovicius.lt
 
  1. V. Gontis, S. Havlin, A. Kononovicius, B. Podobnik, H.E. Stanley. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. Physica A 462, 2016, p. 1091–1102. doi: 10.1016/j.physa.2016.06.143. arXiv: 1507.05203 [q-fin.GN].
  2. A. Kononovicius, J. Ruseckas. Stochastic dynamics of N correlated binary variables and non-extensive statistical mechanics. Physics Letters A 380, 2016, pp. 1582-1588. doi: 10.1016/j.physleta.2016.03.006. arXiv: 1601.06968 [cond-mat.stat-mech].
  3. A. Kononovicius, J. Ruseckas. Nonlinear GARCH model and 1/f noise. Physica A 427, 2015, pp. 74-81. doi: 10.1016/j.physa.2015.02.040. arXiv: 1412.6244 [q-fin.ST].
  4. A. Kononovicius, V. Gontis. Herding interactions as an opportunity to prevent extreme events in financial markets. European Physical Journal B 88 (7), 2015, p. 189. doi: 10.1140/epjb/e2015-60160-0. arXiv: 1409.8024 [q-fin.ST].
  5. A. Kononovicius, J. Ruseckas. Continuous transition from the extensive to the non-extensive statistics in an agent-based herding model. European Physics Journal B 87 (8), 2014, p. 169. doi: 10.1140/epjb/e2014-50349-0. arXiv: 1404.0856 [physics.soc-ph].
  6. V. Gontis, A. Kononovicius. Consentaneous agent-based and stochastic model of the financial markets. PLoS ONE 9 (7), 2014, p. e102201. doi: 10.1371/journal.pone.0102201. arXiv: 1403.1574 [q-fin.ST].
  7. A. Kononovicius, V. Gontis. Control of the socio-economic systems using herding interactions. Physica A 405, 2014, pp. 80-84. doi: 10.1016/j.physa.2014.03.003. arXiv: 1309.6105 [physics.soc-ph].
  8. V. Gontis, A. Kononovicius. Fluctuation analysis of the three agent groups herding model. Noise and Fluctuations (ICNF), 2013 22nd International Conference on, pp. 1-4. Montpeiler, France, 2013. doi: 10.1109/ICNF.2013.6578896. arXiv: 1305.5958 [q-fin.ST].
  9. A. Kononovicius, V. Gontis. Three state herding model of the financial markets. EPL 101, 2013, p. 28001. doi: 10.1209/0295-5075/101/28001. arXiv: 1210.1838 [q-fin.ST].
  10. V. Gontis, A. Kononovicius, S. Reimann. The class of nonlinear stochastic models as a background for the bursty behavior in financial markets. Advances in Complex Systems 15 (supp01), 2012, p. 1250071. doi: 10.1142/S0219525912500713. arXiv: 1201.3083 [q-fin.ST].
  11. A. Kononovicius, V. Gontis. Agent based reasoning for the non-linear stochastic models of long-range memory. Physica A 391 (4), 2012, pp. 1309-1314. doi: 10.1016/j.physa.2011.08.061. arXiv: 1106.2685 [q-fin.ST].
  12. V. Gontis, J. Ruseckas, A. Kononovicius. A long-range memory stochastic model of the return in financial markets. Physica A 389 (1), 2010, pp. 100-106. doi: 10.1016/j.physa.2009.09.011. arXiv: 0901.0903 [q-fin.ST].
Apie TFAI svetainę
Teorinės fizikos ir astronomijos institutas, Saulėtekio al. 3, 10257 Vilnius, LIETUVA, tel. +370 5 2234636, faks. +370 5 2234637, tfai@tfai.vu.lt