کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974130 1480137 2015 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Roles of capital flow on the stability of a market system
ترجمه فارسی عنوان
نقش جریان سرمایه در ثبات یک سیستم بازار
کلمات کلیدی
زمان تاخیر، مدل هیستون، بازارهای مالی، میانگین زمان فرار، نویز بازیافت شده
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• We model the capital flow in financial markets based on the Heston model and recycled noises.
• Good agreements between the new model and real data have been found.
• The mean escape time (MET) has been analyzed in capital inflow and outflow, respectively.
• The non-monotonic behaviors have been observed in the behaviors of MET versus delay time or rate of capital flow.

The roles of capital flow in an ensemble composed of sub-markets are investigated. A modified Heston model and recycled noises are employed to describe the dynamics of stock price and capital flow in the ensemble, respectively. The mean escape times of two sub-markets with a cubic nonlinearity are calculated by using numerical simulation. The results evidence that (i) there is a worst delay time or rate of capital inflow concerning the minimal stability of stock price and an optimal delay time or rate of capital outflow concerning the maximal stability of stock price when λ≤0λ≤0 (λλ denotes strength of correlation between two Wiener processes of the stock price and the volatility); (ii) when λ>0λ>0, the stability of stock price is maximally enhanced by an optimal delay time or rate of capital inflow and reduced by a worst rate of capital outflow, but monotonously strengthened by delay time of capital outflow.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 436, 15 October 2015, Pages 14–24
نویسندگان
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