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.
Received: 03 April 2002
Revised: 17 July 2002
Accepted manuscript online:
PACS:
89.65.Gh
(Economics; econophysics, financial markets, business and management)
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