Topic: “Modelling power-law distribution, 1/f noise and financial markets using stochastic differential equations”
Speaker: habil. dr. Bronislovas Kaulakys
When? 14th of May, 17:00.
Where? VU Faculty of Mathematics and Informatics (Naugarduko g. 24, Vilnius), 400 auditorium.
Organized by: Department of the Mathematical Analysis of the VU MIF.
Previously, approximately 2 years ago, we have written that we published a review of our works 1 in a book by open-access publisher. Recently we discovered that during the recent two and a half years this books was downloaded almost 7000 times (namely 8 times per day). It was downloaded by the people all around the world – with the USA, China, India, Japan, Germany being the most active countries in the process. It is an excellent result!
While being happy with excellent “diffusion” of our ideas via open-access publisher, we would also like to speak about the improving statistics of the Physics of Risk website. In 2012 we expect to be visited 12 thousand times! It is slightly better than in 2011, in which we had 11 thousand visits. Improvement is small, yet promising a bright future. Continue reading “Download rates of our open-access review” »
Topic: “Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance”
Speaker: dr. Vygintas Gontis
Briefly: The talk will be focused on the agent-based and stochastic modelling done by the Department of the Theory of Processes and Structures of the VU ITPA.
When? 6th of November, 17:00.
Where? VU Faculty of Mathematics and Informatics (Naugarduko g. 24, Vilnius), 400 auditorium.
Organized by: Department of the Mathematical Analysis of the VU MIF.
Topic: “Physics is not a risk: Brief introduction into the Physics of Risk”
Speaker: Aleksejus Kononovičius
Briefly: Social sciences have accomplished many different things. Yet it should be evident that there is a place for improvements – to look into the old and new social problems a bit differently. As many of the social problems are strongly non-linear and very complex, the physicists’ point of view is very useful. This, new, point of view is known as Physics of Risk.
When? 18th of October, 17:00.
Where? VU Faculty of Physics (Saulėtekio al. 9, III rūmai, Vilnius), 201 auditorium.
Organized by: VU Faculty of Physics Students Scientific Association.
Facebook event: here.
Slides: download (in Lithuanian).
Previously (ex. while speaking about the multifractality of time series) we have already discussed that fractals are observed in many daily phenomena. Interestingly enough we can eat fractals for our breakfast! Recently we have found an article 1 which studies fractal structures, 1/f-like noise in ham! Continue reading “Fractals in pork!” »
What is white, pink, “brown” and even black? It is around us every day and usually is very useful. Yet from time to time it annoys us and sometimes we even call police to keep it in check? The answer to this quite complex, as it is oriented towards people with physics background, question is unbelievably simple. Noise possesses all of the aforementioned qualities! Continue reading “Colors of Noise” »
Considerable part of stochastic models available on Physics of Risk website (ex., Agent based herding model of financial markets or Long-range memory stochastic model of return) are related to the general class of stochastic differential equations derived by our group 1, 2. The general form of this class is the following stochastic differential equation:
(1)
In our talks at various scientific events and on Physics of Risk itself we frequently say that this equation also encompasses other widely known stochastic processes. Thus further in this text we will show some of the relations between this class and some widely known stochastic processes. Continue reading “Special cases of the stochastic differential equation reproducing 1/f noise” »
There is interesting observations in the music by the great classical composers – statistical properties of their time series appear to be as complex as social phenomena considered here on Physics of Risk. Their music may seem to be both – at certain times easily anticipated and predictable, while at the other times have large unexpected deviations. Their music behaves as a pink or 1/f noise 1, 2! In 1 it was shown that the intensity time series of the music by the classical composers and human speech time series have 1/f region in their spectral densities. While in 2 these ideas are applied towards musical rhythm. To us 2 is especially interesting as this paper considers our own model, 3, 4, as a proper model for the 1/f noise in the spectral density of musical rythm. Continue reading “Music, point processes and 1/f noise” »
In February and Match three very important conference to the econophysicists were held: “Unsolved Problems on Noise”, “Verhandlungen DPG” and “Open Readings” (lt. “Laisvieji skaitymai”). Our B. Kaulakys, V. Gontis, A. Kononovičius, P. Purlys and R. Kazakevičius have given oral and poster presentations at these conference. Presentations were mostly concerned with our newest achievements in the applications of Kirman model and burst statistics. Continue reading “February and March active time for econophysicists” »
In the next Physica A issue (will be made available in February, 2012) our article 1 will be published. The article is on the agent based reasoning for the stochastic models. Basically this article incorporates knowledge obtained while working on the simple models provided on Physics of Risk: Continue reading “Our recent articles on agent based reasoning and the burst statistics” »
2006-2013 Vilnius University Institute of Theorethical Physics and Astronomy.
