Details about Vygintas Gontis

Access statistics for papers by Vygintas Gontis.

Last updated 2025-09-22. Update your information in the RePEc Author Service.

Short-id: pgo1035

Working Papers

2023

1. Discrete $q$-exponential limit order cancellation time distribution
   Papers, arXiv.org

2021

2. Order flow in the financial markets from the perspective of the Fractional L\'evy stable motion
   Papers, arXiv.org View citations (1)
3. Understanding the nature of the long-range memory phenomenon in socioeconomic systems
   Papers, arXiv.org View citations (4)

2020

4. Long-range memory test by the burst and inter-burst duration distribution
   Papers, arXiv.org View citations (2)

2019

5. Approximation of the first passage time distribution for the birth-death processes
   Papers, arXiv.org View citations (4)
6. Bessel-like birth-death process
   Papers, arXiv.org
   See also Journal Article Bessel-like birth–death process, Physica A: Statistical Mechanics and its Applications, Elsevier (2020) View citations (3) (2020)

2018

7. The consentaneous model of the financial markets exhibiting spurious nature of long-range memory
   Papers, arXiv.org View citations (7)
   See also Journal Article The consentaneous model of the financial markets exhibiting spurious nature of long-range memory, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (7) (2018)

2017

8. Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
   Papers, arXiv.org View citations (10)
   See also Journal Article Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (10) (2017)
9. Spurious memory in non-equilibrium stochastic models of imitative behavior
   Papers, arXiv.org View citations (10)

2016

10. Interplay between endogenous and exogenous fluctuations in financial markets
    Papers, arXiv.org View citations (5)
11. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
    Papers, arXiv.org View citations (25)
    See also Journal Article Stochastic model of financial markets reproducing scaling and memory in volatility return intervals, Physica A: Statistical Mechanics and its Applications, Elsevier (2016) View citations (25) (2016)

2015

12. Herding interactions as an opportunity to prevent extreme events in financial markets
    Papers, arXiv.org View citations (1)
    See also Journal Article Herding interactions as an opportunity to prevent extreme events in financial markets, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2015) View citations (1) (2015)

2014

13. Consentaneous agent-based and stochastic model of the financial markets
    Papers, arXiv.org View citations (28)
    See also Journal Article Consentaneous Agent-Based and Stochastic Model of the Financial Markets, PLOS ONE, Public Library of Science (2014) View citations (28) (2014)
14. Control of the socio-economic systems using herding interactions
    Papers, arXiv.org View citations (5)
    See also Journal Article Control of the socio-economic systems using herding interactions, Physica A: Statistical Mechanics and its Applications, Elsevier (2014) View citations (5) (2014)

2013

15. Fluctuation analysis of the three agent groups herding model
    Papers, arXiv.org
16. Three-state herding model of the financial markets
    Papers, arXiv.org View citations (16)

2012

17. Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance
    Papers, arXiv.org View citations (6)
18. The class of nonlinear stochastic models as a background for the bursty behavior in financial markets
    Papers, arXiv.org View citations (15)
    See also Journal Article THE CLASS OF NONLINEAR STOCHASTIC MODELS AS A BACKGROUND FOR THE BURSTY BEHAVIOR IN FINANCIAL MARKETS, Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (14) (2012)

2011

19. Agent based reasoning for the non-linear stochastic models of long-range memory
    Papers, arXiv.org View citations (1)
    See also Journal Article Agent based reasoning for the non-linear stochastic models of long-range memory, Physica A: Statistical Mechanics and its Applications, Elsevier (2012) View citations (30) (2012)

2010

20. Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
    Papers, arXiv.org
21. Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
    Papers, arXiv.org

2009

22. A long-range memory stochastic model of the return in financial markets
    Papers, arXiv.org
    See also Journal Article A long-range memory stochastic model of the return in financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) View citations (11) (2010)

2007

23. Trading activity as driven Poisson process: comparison with empirical data
    Papers, arXiv.org
    See also Journal Article Trading activity as driven Poisson process: Comparison with empirical data, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (10) (2008)

2006

24. Long-range memory model of trading activity and volatility
    Papers, arXiv.org View citations (10)
25. Modeling long-range memory trading activity by stochastic differential equations
    Papers, arXiv.org
    See also Journal Article Modeling long-range memory trading activity by stochastic differential equations, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (8) (2007)

2004

26. Modelling financial markets by the multiplicative sequence of trades
    Papers, arXiv.org View citations (2)
    See also Journal Article Modeling financial markets by the multiplicative sequence of trades, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (6) (2004)
27. Multiplicative point process as a model of trading activity
    Papers, arXiv.org View citations (8)
    See also Journal Article Multiplicative point process as a model of trading activity, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (8) (2004)

2002

28. Modelling share volume traded in financial markets
    Papers, arXiv.org View citations (1)
29. Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets
    Papers, arXiv.org View citations (1)

Journal Articles

2020

1. Bessel-like birth–death process
   Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) View citations (3)
   See also Working Paper Bessel-like birth-death process, Papers (2019) (2019)

2018

2. The consentaneous model of the financial markets exhibiting spurious nature of long-range memory
   Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 1075-1083 View citations (7)
   See also Working Paper The consentaneous model of the financial markets exhibiting spurious nature of long-range memory, Papers (2018) View citations (7) (2018)

2017

3. Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets
   Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 266-272 View citations (10)
   See also Working Paper Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets, Papers (2017) View citations (10) (2017)

2016

4. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
   Physica A: Statistical Mechanics and its Applications, 2016, 462, (C), 1091-1102 View citations (25)
   See also Working Paper Stochastic model of financial markets reproducing scaling and memory in volatility return intervals, Papers (2016) View citations (25) (2016)

2015

5. Herding interactions as an opportunity to prevent extreme events in financial markets
   The European Physical Journal B: Condensed Matter and Complex Systems, 2015, 88, (7), 1-6 View citations (1)
   See also Working Paper Herding interactions as an opportunity to prevent extreme events in financial markets, Papers (2015) View citations (1) (2015)

2014

6. Consentaneous Agent-Based and Stochastic Model of the Financial Markets
   PLOS ONE, 2014, 9, (7), 1-12 View citations (28)
   See also Working Paper Consentaneous agent-based and stochastic model of the financial markets, Papers (2014) View citations (28) (2014)
7. Control of the socio-economic systems using herding interactions
   Physica A: Statistical Mechanics and its Applications, 2014, 405, (C), 80-84 View citations (5)
   See also Working Paper Control of the socio-economic systems using herding interactions, Papers (2014) View citations (5) (2014)

2012

8. Agent based reasoning for the non-linear stochastic models of long-range memory
   Physica A: Statistical Mechanics and its Applications, 2012, 391, (4), 1309-1314 View citations (30)
   See also Working Paper Agent based reasoning for the non-linear stochastic models of long-range memory, Papers (2011) View citations (1) (2011)
9. NONEXTENSIVE STATISTICAL MECHANICS DISTRIBUTIONS AND DYNAMICS OF FINANCIAL OBSERVABLES FROM THE NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
   Advances in Complex Systems (ACS), 2012, 15, (supp0), 1-13 View citations (5)
10. THE CLASS OF NONLINEAR STOCHASTIC MODELS AS A BACKGROUND FOR THE BURSTY BEHAVIOR IN FINANCIAL MARKETS
    Advances in Complex Systems (ACS), 2012, 15, (supp0), 1-13 View citations (14)
    See also Working Paper The class of nonlinear stochastic models as a background for the bursty behavior in financial markets, Papers (2012) View citations (15) (2012)

2011

11. Interplay between positive feedbacks in the generalized CEV process
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (8), 1393-1401 View citations (2)

2010

12. A long-range memory stochastic model of the return in financial markets
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (1), 100-106 View citations (11)
    See also Working Paper A long-range memory stochastic model of the return in financial markets, Papers (2009) (2009)

2008

13. Trading activity as driven Poisson process: Comparison with empirical data
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3891-3896 View citations (10)
    See also Working Paper Trading activity as driven Poisson process: comparison with empirical data, Papers (2007) (2007)

2007

14. Modeling long-range memory trading activity by stochastic differential equations
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 114-120 View citations (8)
    See also Working Paper Modeling long-range memory trading activity by stochastic differential equations, Papers (2006) (2006)

2006

15. Nonlinear stochastic models of 1/f noise and power-law distributions
    Physica A: Statistical Mechanics and its Applications, 2006, 365, (1), 217-221 View citations (9)

2004

16. Modeling financial markets by the multiplicative sequence of trades
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 128-133 View citations (6)
    See also Working Paper Modelling financial markets by the multiplicative sequence of trades, Papers (2004) View citations (2) (2004)
17. Multiplicative point process as a model of trading activity
    Physica A: Statistical Mechanics and its Applications, 2004, 343, (C), 505-514 View citations (8)
    See also Working Paper Multiplicative point process as a model of trading activity, Papers (2004) View citations (8) (2004)