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Coherence and anti-coherence resonance of corporation finance

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  • Zhong, Guang-Yan
  • Li, Hai-Feng
  • Li, Jiang-Cheng
  • Mei, Dong-Cheng
  • Tang, Nian-Sheng
  • Long, Chao

Abstract

We investigate coherence resonance of corporate finance in a stochastic predator-prey model for creditors and producers. The stochastic predator-prey model with only considering financial risk and the Integral method of an improvement parameter estimation are proposed. Then the coefficient of variation (CV) of the interspike intervals is used to measure the phenomenon of coherence resonance. The simulating and empirical results indicate that (i) the phenomenon peak death is induced by higher noise strength and system parameters; (ii) the phenomenons of coherence and anti-coherence resonance are observed in the function of CV vs. noise strength; (iii) the critical phenomenon of resonance enhancement and inhibition is induced by some values of system parameters. In addition, a good agreement can be found between theoretical results and real financial data of Chinese companies.

Suggested Citation

  • Zhong, Guang-Yan & Li, Hai-Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng & Long, Chao, 2019. "Coherence and anti-coherence resonance of corporation finance," Chaos, Solitons & Fractals, Elsevier, vol. 118(C), pages 376-385.
    • Handle: RePEc:eee:chsofr:v:118:y:2019:i:c:p:376-385
    DOI: 10.1016/j.chaos.2018.12.008
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    Cited by:

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    2. Dong, Yang & Wen, Shu-hui & Hu, Xiao-bing & Li, Jiang-Cheng, 2020. "Stochastic resonance of drawdown risk in energy market prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. D’Onofrio, Giuseppe & Lansky, Petr & Tamborrino, Massimiliano, 2019. "Inhibition enhances the coherence in the Jacobi neuronal model," Chaos, Solitons & Fractals, Elsevier, vol. 128(C), pages 108-113.
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    6. Tao, Chen & Zhong, Guang-Yan & Li, Jiang-Cheng, 2023. "Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 614(C).

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