Effects of time delay on stochastic resonance of the stock prices in financial system
作者： Jiang-Cheng Li , Chun Li , Dong-Cheng Mei
DOI: 10.1016/J.PHYSLETA.2014.05.036
关键词: Computer simulation 、 Stock (geology) 、 Physics 、 Volatility (finance) 、 Control theory 、 Delay time 、 Critical value 、 Heston model 、 Stock price 、 Cross correlation coefficient
摘要: Abstract The effect of time delay on stochastic resonance the stock prices in finance system was investigated. is introduced into Heston model driven by extrinsic and intrinsic periodic information for price. signal power amplification (SPA) calculated numerical simulation. results indicate that an optimal critical value maximally enhances reverse-resonance behaviors SPA as a function long-run variance volatility or cross correlation coefficient between noises both cases information. Moreover, cases, being time, when takes below value, increases with increasing, however, above decrease increasing.
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