IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v188y2024ics0960077924011512.html
   My bibliography  Save this article

Dynamics and function projection synchronization for the fractional-order financial risk system

Author

Listed:
  • Xu, Zhao
  • Sun, Kehui
  • Wang, Huihai

Abstract

The real financial market has long-term memory and complexity characteristics. To describe a more realistic financial risk management process, this paper introduces Caputo fractional derivative to construct a fractional-order financial risk system (FFRS). Adomian decomposition method is applied to get numerical solutions of the FFRS. The effects of order and parameters on system dynamics are investigated through bifurcation diagrams, Lyapunov exponents spectrum and spectral entropy complexity. The results show the range of chaotic state is smaller or the largest Lyapunov exponent is reduced at suitable order and parameters. The dynamic results are explained by real financial risk management process. In addition, state transition phenomenon of the FFRS is discussed. To control and predict the system in chaotic state, the function projection synchronization is applied. Dynamics and synchronization of the system have reference significance for financial risk management.

Suggested Citation

  • Xu, Zhao & Sun, Kehui & Wang, Huihai, 2024. "Dynamics and function projection synchronization for the fractional-order financial risk system," Chaos, Solitons & Fractals, Elsevier, vol. 188(C).
    • Handle: RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924011512
    DOI: 10.1016/j.chaos.2024.115599
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077924011512
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2024.115599?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924011512. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.