Bronislovas Kaulakys

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To be published in Phys. Rev. E (2005). We present a simple point process model of 1/f β noise, covering different values of the exponent β. The signal of the model consists of pulses or events. The interpulse, interevent, interarrival, recurrence or waiting times of the signal are described by the general Langevin equation with the multiplicative noise and(More)
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ∝ 1/f β , scaled as power of frequency for various values of β between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law(More)
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