Aleksejus Kononovicius

Aleksejus Kononovicius
Vilnius University · Institute of Theoretical Physics and Astronomy

PhD

About

47
Publications
6,537
Reads
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452
Citations
Introduction
Currently I work as a senior researcher at Vilnius University, Institute of Theoretical Physics and Astronomy. Complex systems, statistical physics, stochastic, agent-based modeling and network theory are my main research interests. I'm also contributor to Physics of Risk website.
Additional affiliations
September 2021 - present
Vilnius University
Position
  • Senior Researcher
September 2016 - August 2021
Vilnius University
Position
  • Researcher
Education
October 2011 - December 2015
Vilnius University
Field of study
  • Physics

Publications

Publications (47)
Article
Full-text available
Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting models. Furthermore ARCH models still are attracting an interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear...
Article
Full-text available
In this contribution we analyze vote share distribution across the polling stations during Lithuanian parliamentary elections of 1992, 2008 and 2012. We find that the vote share distributions are rather well fitted by the Beta distributions. To reproduce this empirical observation we propose a multi-state agent-based model in which all agents choos...
Article
Full-text available
Numerous models in opinion dynamics focus on the temporal dynamics within a single electoral unit (e.g. country). The empirical observations, on the other hand, are often made across multiple electoral units (e.g. polling stations) at a single point in time (e.g. elections). Aggregates of these observations, while quite useful in many applications,...
Article
Full-text available
Voter models are well known in the interdisciplinary community, yet they have not been studied from the perspective of anomalous diffusion. In this paper, we show that the original voter model exhibits a ballistic regime. Nonlinear transformations of the observation variable and time scale allow us to observe other regimes of anomalous diffusion as...
Article
Full-text available
We examine parliamentary presence data of the 2008-2012 and the 2012-2016 legislatures of Lithuanian parliament. We consider cumulative presence series of each individual representative in the data set. These series exhibit superdiffusive behavior. We propose a modified noisy voter model as a model for the parliamentary presence. We provide detaile...
Preprint
Full-text available
We analyze the statistical properties of a temporal point process driven by a confined fractional Brownian motion. The event count distribution and power spectral density of this non-Markovian point process exhibit power-law scaling. We show that a nonlinear Markovian point process can reproduce the same scaling behavior. This result indicates a po...
Article
Full-text available
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has shown that the long-range memory phenomenon can be reproduced using various Markov processes, such as point proce...
Preprint
Full-text available
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has shown that the long-range memory phenomenon can be reproduced using various Markov processes, such as point proce...
Article
Full-text available
Latane social impact theory predicts recruitment and supportive interactions being responsible for opinion formation. So far only recruitment interactions were considered in the voter models. Here we consider a noisy voter model with supportive interactions, which make voters less likely to change their opinions. This is similar to the voter models...
Preprint
Full-text available
Voter models are well known in the interdisciplinary community, yet they haven't been studied from the perspective of anomalous diffusion. In this paper we show that the original voter model exhibits ballistic regime. Non-linear transformations of the observation variable and time scale allows us to observe other regimes of anomalous diffusion as w...
Article
Full-text available
We consider models of the population or opinion dynamics which result in the non-linear stochastic differential equations (SDEs) exhibiting the spurious long-range memory. In this context, the correspondence between the description of the birth-death processes as the continuous-time Markov chains and the continuous SDEs is of high importance for th...
Preprint
Full-text available
We consider a previously unexplored noisy voter model with supportive interactions. The agents in this model encourage other agents in the same state to keep their current state. We examine two different ways in which the support could be implemented: support deterring imitation as well as independence, support deterring imitation only. Both assump...
Preprint
Full-text available
We examine parliamentary presence data of the 2008-2012 and the 2012-2016 legislatures of Lithuanian parliament. We consider cumulative presence series of each individual representative in the data set. These series exhibit superdiffusive behavior. We propose a modified noisy voter model as a model for the parliamentary presence. We provide detaile...
Article
Full-text available
We propose a general method to obtain approximation of the first passage time distribution for the birth–death processes. We rely on the general properties of birth–death processes, Keilson's theorem and the concept of Riemann sum to obtain closed-form expressions. We apply the method to the three selected birth–death processes and the sophisticate...
Article
Full-text available
In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and financial herd behavior model. Combining these approaches allows us to propose a model that replicates the long-r...
Article
Full-text available
The coefficient of determination, known as R2, is commonly used as a goodness-of-fit criterion for fitting linear models. R2 is somewhat controversial when fitting nonlinear models, although it may be generalised on a case-by-case basis to deal with specific models such as the logistic model. Assume we are fitting a parametric distribution to a dat...
Preprint
Full-text available
Numerous models in opinion dynamics focus on the temporal dynamics within a single spatial unit (e.g., country). While the opinions are often observed across multiple spatial units (e.g., polling stations) at a single point in time (e.g., elections). Aggregates of these observations, while quite useful in many applications, neglect the underlying s...
Preprint
Full-text available
We do consider models of the population or opinion dynamics which result in non-linear stochastic differential equations (SDEs) exhibiting spurious long-range memory. In this context, the correspondence between the description of birth-death processes as continuous-time Markov chains and continuous SDEs is of high importance for the alternatives of...
Article
Full-text available
Among the sports fans beliefs about "hot hands" and "winning streaks" are widely spread, while the scientific debate about these effects is still ongoing. Recently in a paper by P.Ferreira [Physica A 500: 92-96] detrended fluctuation analysis was applied to the NBA teams' win records. It was shown that 28 considered NBA teams exhibit persistence in...
Preprint
Full-text available
We propose a general method to obtain approximation of the first passage time distribution for the birth-death processes. We rely on the general properties of birth-death processes, Keilson's theorem and the concept of Riemann sum to obtain closed-form expressions. We apply the method to the three selected birth-death processes and the sophisticate...
Preprint
Full-text available
Among the sports fans beliefs about "hot hands" and "winning streaks" are widely spread, while the scientific debate about these effects is still ongoing. Recently in a paper by P.Ferreira [Physica A 500: 92-96] detrended fluctuation analysis was applied to the NBA teams' win records. It was shown that 28 considered NBA teams exhibit persistence in...
Preprint
Full-text available
Among the sports fans beliefs about "hot hands" and "winning streaks" are widely spread, while the scientific debate about these effects is still ongoing. Recently in a paper by P.Ferreira [Physica A 500: 92-96] detrended fluctuation analysis was applied to the NBA teams' win records. It was shown that 28 considered NBA teams exhibit persistence in...
Preprint
Full-text available
The coefficient of determination, known as $R^2$, is commonly used as a goodness-of-fit criterion for fitting linear models. $R^2$ is somewhat controversial when fitting nonlinear models, although it may be generalised on a case-by-case basis to deal with specific models such as the logistic model. Assume we are fitting a parametric distribution to...
Preprint
Full-text available
In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] as well as financial herd behavior model. Combining these approaches allows us to create a more plausible financial m...
Article
Full-text available
It is widely accepted that there is strong persistence in financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect. Earlier we have proposed the consentaneous model of the financial markets based on the non-linear stochastic differential equat...
Article
Full-text available
Competition between varying ideas, people and institutions fuels the dynamics of socio-economic systems. Numerous analyses of the empirical data extracted from different financial markets have established a consistent set of stylized facts describing statistical signatures of the competition in the financial markets. Having an established and consi...
Article
Full-text available
The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example of Markov processes with spurious memory is stochastic process driven by a non-linear stochastic differential...
Article
Full-text available
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic differential equations. In this contribution we address this problem by analyzing empirical return and trading ac...
Article
Full-text available
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to re...
Article
Full-text available
The non-extensive statistical mechanics has been applied to describe a variety of complex systems with inherent correlations and feedback loops. Here we present a dynamical model based on previously proposed static model exhibiting in the thermodynamic limit the extensivity of the Tsallis entropy with as well as a q-Gaussian distribution. The dynam...
Article
Full-text available
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social cooperation) and undesirable (e.g. mass panic, financial “bubbles” or “crashes”). Abundance of the empirical data as...
Article
Full-text available
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social cooperation) and undesirable (e.g. mass panic, financial "bubbles" or "crashes"). Abundance of the empirical data as...
Article
Full-text available
Systems with long-range interactions often exhibit power-law distributions and can by described by the non-extensive statistical mechanics framework proposed by Tsallis. In this contribution we consider a simple model reproducing continuous transition from the extensive to the non-extensive statistics. The considered model is composed of agents int...
Article
Full-text available
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous em...
Article
Full-text available
Collective behavior of the complex socio-economic systems is heavily influenced by the herding, group, behavior of individuals. The importance of the herding behavior may enable the control of the collective behavior of the individuals. In this contribution we consider a simple agent-based herding model modified to include agents with controlled st...
Article
Full-text available
Purpose – The focus of this contribution is the correspondence between collective behavior and inter-individual interactions in the complex socio-economic systems. Currently there is a wide selection of papers proposing various models for the both collective behavior and inter-individual interactions in the complex socio-economic systems. Yet the p...
Article
Full-text available
We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar composition of the agents. We demonstrate how the sophisticated statistical features of the absolute return in the fi...
Article
Full-text available
We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description exhibiting sophisticated statistical features. Along with power-law probability density function of the absolu...
Article
Full-text available
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in behavior. Microscopic and macroscopic versions of herding model proposed by Kirman and Bass diffusion of new p...
Article
Full-text available
We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the nonlinear stochastic models of long-range memory in financial markets. The agent based mode...
Article
Full-text available
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time statistics. Using these results we derive PDF of burst duration...
Conference Paper
Full-text available
Many complex systems exhibit quiet periods separated by events of rapid evolution. Such systems often produce noise with the power-law characteristics, which can be modeled in terms of avalanches. The universal nature of the power-law behavior suggests that it does not arise as a consequence of particular interaction but it is a characteristic sign...
Article
Full-text available
Simulation serves as a third way of doing science, in contrast to both induction and deduction. The web based modeling may considerably facilitate the execution of simulations by other people. We present examples of agent-based and stochastic models of competition and business processes in economics. We start from as simple as possible models, whic...
Chapter
Full-text available
In the last sections we introduced a double stochastic process driven by the nonlinear scaled SDE ((49)) reproducing the main statistical properties of the absolute return, observed in the financial markets. Seven parameters of the model enable us to adjust it to the sophisticated power-law statistics of various stocks including long-range behavior....
Article
Full-text available
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
Article
Full-text available
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market volatility is considered in the proposed model as a long-range memory stochastic variable. The SDE is obtained from...
Conference Paper
We present generalization of the point process models for the Poissonian-like processes with slowly diffusing mean interevent time and adjust the parameters of the model to the empirical data of trading activity and volatility in the financial markets, reproducing the probability density function (PDF) and the power spectral density (PSD).

Projects

Project (1)
Project
To demonstrate by examples of models for social systems, by equations of their macroscopic behavior and by the empirical analysis of data that frequently observed long-range memory phenomenon in real social systems could arise as non-linear properties of Markov processes.