英文标题：
《Interplay between endogenous and exogenous fluctuations in financial
markets》
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作者：
Vygintas Gontis
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
我们将金融市场的微观、基于代理的和宏观、随机的建模和外部噪声相结合。代理的内生动力学和外部噪声之间的相互作用是导致观察到的长期依赖性和高波动收益区间统计特性的主要机制。外部噪声指的是信息流或/和订单流波动。基于该模型的数值结果表明，外部波动必须被视为金融市场综合建模不可或缺的一部分。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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