Cite this article:
Mao Xiao-Ming, Sun Kai, Ouyang Qi. Stochastic resonance in a financial modelJ. Chin. Phys. B, 2002, 11(11): 1106-1110.
| Mao Xiao-Ming, Sun Kai, Ouyang Qi. Stochastic resonance in a financial modelJ. Chin. Phys. B, 2002, 11(11): 1106-1110. |
Stochastic resonance in a financial model
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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. -
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