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 emphasizes… (More)
We present a simple model reproducing the long-range autocorrelations and the power spectrum of the web traffic. The model assumes the traffic as Poisson flow of files with size distributed according to the power-law. In this model the long-range autocorrelations are independent of the network properties as well as of inter-packet time distribution.
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)