Coherence and anti-coherence resonance of corporation finance

Zhong, Guang-Yan; Li, Haifeng; Li, Jiang-Cheng; Mei, Dong-Cheng; Tang, Niansheng; Long, Chao

doi:10.1016/j.chaos.2018.12.008

Cited by 18 publications

(6 citation statements)

References 39 publications

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“…The stability of systems is a frequent concern for complex natural systems [35] and economic and financial systems [13,34,36,37]. From the statistical-physical point of view, mean first passage (escape) time (MFPT) is one of the commonly used methods to measure the stability of systems, such as noiseenhanced stability [4,38], mean escape time of stochastic volatility [11], etc.…”

Section: Methods -mentioning

confidence: 99%

“…On the one hand, the mean first passage time (MFPT) of return or mean first hitting time can be used to characterize the stability of financial markets based on the approach of refs. [4,34]. From the literature [4,34], it is known that the set of events with firstpass time T is (r 0 > CV, .…”

Section: Methods -mentioning

confidence: 99%

“…[4,34]. From the literature [4,34], it is known that the set of events with firstpass time T is (r 0 > CV, . .…”

Section: Methods -mentioning

confidence: 99%

“…2) We propose a delay stochastic monostable potential model based on the nonlinear potential GARCH model of econophysics [15], combined with the GARCH and ARCH effects of volatility. 3) We measure financial market stability by the mean escape time [4,34]. Combining with the actual return data, we can obtain the mean escape time of the actual data and then carry out theoretical simulations and empirical comparative studies.…”

mentioning

confidence: 99%

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Roles of GARCH and ARCH effects on the stability in stock market crash

Li¹,

Xing²,

Huang³

et al. 2021

EPL

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We theoretically stochastic simulate and empirically analyze the escape process of stock market price nonequilibrium dynamics under the influence of GARCH and ARCH effects, and explore the impact of ARCH and GARCH effects on stock market stability. Based on the nonlinear GARCH model of econophysics, and combined with GARCH and ARCH effects of volatility, we propose a delay stochastic monostable potential model. We use the mean escape time, or mean hitting time, as an indicator for measuring price stability, as first introduced in Ref. [1]. Based on the comparative analysis of actual Chinese A-share data, the theoretical and empirical findings of this paper are as follows} (1) The theoretical simulation results and actual data are consistent. (2) There exist optimal GARCH and ARCH effects maximally enhancing stock market stability.

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Section: Methods -mentioning

confidence: 99%

Section: Methods -mentioning

confidence: 99%

“…[4,34]. From the literature [4,34], it is known that the set of events with firstpass time T is (r 0 > CV, . .…”

Section: Methods -mentioning

confidence: 99%

mentioning

confidence: 99%

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Roles of GARCH and ARCH effects on the stability in stock market crash

Li¹,

Xing²,

Huang³

et al. 2021

EPL

Self Cite

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“…The quantity (CV) 2 is equal to the Fano factor [41,42,43] (also called index of dispersion) for the renewal process. Its value is often used as an exclusive sign of coherence resonance [13,44,45]. In addition to these quantities, we recall the definition of the (effective) diffusion coefficient of the spike count, D ef f , [41].…”

Section: Methods For Coherence Quantificationmentioning

confidence: 99%

Inhibition enhances the coherence in the Jacobi neuronal model

D’Onofrio

Lánský

Tamborrino

2019

Chaos, Solitons & Fractals

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The output signal is examined for the Jacobi neuronal model which is characterized by input-dependent multiplicative noise. The dependence of the noise on the rate of inhibition turns out to be of primary importance to observe maxima both in the output firing rate and in the diffusion coefficient of the spike count and, simultaneously, a minimum in the coefficient of variation (Fano factor). Moreover, we observe that an increment of the rate of inhibition can increase the degree of coherence computed from the power spectrum. This means that inhibition can enhance the coherence and thus the information transmission between the input and the output in this neuronal model. Finally, we stress that the firing rate, the coefficient of variation and the diffusion coefficient of the spike count cannot be used as the only indicator of coherence resonance without considering the power spectrum.

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Safe marginal time of crude oil price via escape problem of econophysics

Leng

Zhong

et al. 2020

Chaos, Solitons & Fractals

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Coherence and anti-coherence resonance of corporation finance

Cited by 18 publications

References 39 publications

Roles of GARCH and ARCH effects on the stability in stock market crash

Roles of GARCH and ARCH effects on the stability in stock market crash

Inhibition enhances the coherence in the Jacobi neuronal model

Safe marginal time of crude oil price via escape problem of econophysics

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