中国物理B ›› 2002, Vol. 11 ›› Issue (11): 1106-1110.doi: 10.1088/1009-1963/11/11/303

• GENERAL • 上一篇    下一篇

Stochastic resonance in a financial model

毛晓明, 孙锴, 欧阳颀   

  1. State Key Laboratory for Artificial Microstructure and Mesoscopic Physics, Department of Physics, Peking University, Beijing 100871, China
  • 收稿日期:2002-04-03 修回日期:2002-07-17 出版日期:2005-06-12 发布日期:2005-06-12
  • 基金资助:
    Project supported by the National Natural Science Foundation of China (Grant No 19725519) and by the Chun-Tsung Foundation of Peking University.

Stochastic resonance in a financial model

Mao Xiao-Ming (毛晓明), Sun Kai (孙锴), Ouyang Qi (欧阳颀)   

  1. State Key Laboratory for Artificial Microstructure and Mesoscopic Physics, Department of Physics, Peking University, Beijing 100871, China
  • Received:2002-04-03 Revised:2002-07-17 Online:2005-06-12 Published:2005-06-12
  • Supported by:
    Project supported by the National Natural Science Foundation of China (Grant No 19725519) and by the Chun-Tsung Foundation of Peking University.

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摘要： We report on our model study of stochastic resonance in the stock market using numerical simulation and analysis. In the model, we take the interest rate as the external signal, the randomness of traders' behaviour as the noise, and the stock price as the output. With computer simulations, we find that the system demonstrates a characteristic of stochastic resonance as noise intensity varies. An analytical explanation is proposed.

Abstract: We report on our model study of stochastic resonance in the stock market using numerical simulation and analysis. In the model, we take the interest rate as the external signal, the randomness of traders' behaviour as the noise, and the stock price as the output. With computer simulations, we find that the system demonstrates a characteristic of stochastic resonance as noise intensity varies. An analytical explanation is proposed.

Key words: stochastic resonance, financial market, stochastic process, decision theory

中图分类号:  (Economics; econophysics, financial markets, business and management)

  • 89.65.Gh
02.50.Le (Decision theory and game theory) 02.50.Ey (Stochastic processes)