| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1866962 | Physics Letters A | 2013 | 8 Pages |
The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.
► The effects of delay time and initial position on the risks and returns of stock investment are investigated. ► The delay time can reduce the risks of stock investment for strong elasticity of demand of stocks (EDS) and enhances that for weak EDS. ► The increment of initial position recedes the risks of stock investment and strengthens the average stock price returns.
