IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v194y2022icp348-364.html
   My bibliography  Save this article

Chaos, Hopf bifurcation and control of a fractional-order delay financial system

Author

Listed:
  • Shi, Jianping
  • He, Ke
  • Fang, Hui

Abstract

The evolution of financial system depends not only on the current state, but also on the previous state. Due to “long-term memory” and “non-locality” of the fractional derivative, fractional-order model can effectively characterize the dynamic features of financial process. An incommensurate fractional-order delay financial system (FDFS) is considered in this paper. Based on linearization and Laplace transformation, the characteristic equation of linearized system of FDFS is obtained. The critical value of the time delay for the occurrence of Hopf bifurcation is determined through the discussions of the eigenvalues of the characteristic equation and the transversality condition. A periodic pulse delay feedback controller is added to the FDFS to control the Hopf bifurcation and to regulate the stability domain of the system. Two illustrative examples are provided to validate our theoretical results. Moreover, numerical simulations demonstrate that the increase of the fractional-order can induce chaos in FDFS, which is detected by 0−1 test for chaos. This paper contributes to a better understanding of the dynamic behavior of financial market, forecasting financial risk and implementing effective financial regulation.

Suggested Citation

  • Shi, Jianping & He, Ke & Fang, Hui, 2022. "Chaos, Hopf bifurcation and control of a fractional-order delay financial system," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 194(C), pages 348-364.
    • Handle: RePEc:eee:matcom:v:194:y:2022:i:c:p:348-364
    DOI: 10.1016/j.matcom.2021.12.009
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378475421004432
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.matcom.2021.12.009?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.

    References listed on IDEAS

    as
    1. Inés Tejado & Emiliano Pérez & Duarte Valério, 2020. "Fractional Derivatives for Economic Growth Modelling of the Group of Twenty: Application to Prediction," Mathematics, MDPI, vol. 8(1), pages 1-21, January.
    2. Hameed Ur Rehman & Maslina Darus & Jamal Salah, 2018. "A Note on Caputo’s Derivative Operator Interpretation in Economy," Journal of Applied Mathematics, Hindawi, vol. 2018, pages 1-7, October.
    3. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
    4. Wang, Shaojie & He, Shaobo & Yousefpour, Amin & Jahanshahi, Hadi & Repnik, Robert & Perc, Matjaž, 2020. "Chaos and complexity in a fractional-order financial system with time delays," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    5. Laskin, Nick, 2000. "Fractional market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 482-492.
    6. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Economic interpretation of fractional derivatives," Papers 1712.09575, arXiv.org.
    7. Xuebing Zhang & Honglan Zhu, 2019. "Hopf Bifurcation and Chaos of a Delayed Finance System," Complexity, Hindawi, vol. 2019, pages 1-18, January.
    8. Chen, Wei-Ching, 2008. "Dynamics and control of a financial system with time-delayed feedbacks," Chaos, Solitons & Fractals, Elsevier, vol. 37(4), pages 1198-1207.
    9. Chen, Wei-Ching, 2008. "Nonlinear dynamics and chaos in a fractional-order financial system," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1305-1314.
    10. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
    11. David, S.A. & Machado, J.A.T. & Quintino, D.D. & Balthazar, J.M., 2016. "Partial chaos suppression in a fractional order macroeconomic model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 55-68.
    12. Yiding Yue & Lei He & Guanchun Liu, 2013. "Modeling and Application of a New Nonlinear Fractional Financial Model," Journal of Applied Mathematics, Hindawi, vol. 2013, pages 1-9, November.
    13. Mahmoud, Gamal M. & Arafa, Ayman A. & Abed-Elhameed, Tarek M. & Mahmoud, Emad E., 2017. "Chaos control of integer and fractional orders of chaotic Burke–Shaw system using time delayed feedback control," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 680-692.
    14. Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
    15. Dadras, Sara & Momeni, Hamid Reza, 2010. "Control of a fractional-order economical system via sliding mode," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(12), pages 2434-2442.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Peiluan & Gao, Rong & Xu, Changjin & Ahmad, Shabir & Li, Ying & Akgül, Ali, 2023. "Bifurcation behavior and PDγ control mechanism of a fractional delayed genetic regulatory model," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    2. Fang Wu & Junhai Ma, 2023. "Research Trend, Logical Structure and Outlook on Complex Economic Game," Mathematics, MDPI, vol. 11(5), pages 1-16, February.
    3. Irshad Ahmad & Saeed Ahmad & Ghaus ur Rahman & Shabir Ahmad & Manuel De la Sen, 2022. "Controllability and Observability Results of an Implicit Type Fractional Order Delay Dynamical System," Mathematics, MDPI, vol. 10(23), pages 1-24, November.
    4. Çalış, Yasemin & Demirci, Ali & Özemir, Cihangir, 2022. "Hopf bifurcation of a financial dynamical system with delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 201(C), pages 343-361.
    5. Aghayan, Zahra Sadat & Alfi, Alireza & Mousavi, Yashar & Kucukdemiral, Ibrahim Beklan & Fekih, Afef, 2022. "Guaranteed cost robust output feedback control design for fractional-order uncertain neutral delay systems," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
    2. Hajipour, Ahamad & Hajipour, Mojtaba & Baleanu, Dumitru, 2018. "On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 139-153.
    3. Bazán Navarro, Ciro Eduardo & Benazic Tomé, Renato Mario, 2024. "Qualitative behavior in a fractional order IS-LM-AS macroeconomic model with stability analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 217(C), pages 425-443.
    4. Jajarmi, Amin & Hajipour, Mojtaba & Baleanu, Dumitru, 2017. "New aspects of the adaptive synchronization and hyperchaos suppression of a financial model," Chaos, Solitons & Fractals, Elsevier, vol. 99(C), pages 285-296.
    5. Inés Tejado & Emiliano Pérez & Duarte Valério, 2020. "Fractional Derivatives for Economic Growth Modelling of the Group of Twenty: Application to Prediction," Mathematics, MDPI, vol. 8(1), pages 1-21, January.
    6. Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Fractional Dynamics of Natural Growth and Memory Effect in Economics," Papers 1612.09060, arXiv.org, revised Jan 2017.
    7. David, S.A. & Machado, J.A.T. & Quintino, D.D. & Balthazar, J.M., 2016. "Partial chaos suppression in a fractional order macroeconomic model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 55-68.
    8. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Logistic map with memory from economic model," Papers 1712.09092, arXiv.org.
    9. Tarasova, Valentina V. & Tarasov, Vasily E., 2017. "Logistic map with memory from economic model," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 84-91.
    10. Tarasov, Vasily E. & Tarasova, Valentina V., 2018. "Macroeconomic models with long dynamic memory: Fractional calculus approach," Applied Mathematics and Computation, Elsevier, vol. 338(C), pages 466-486.
    11. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Dynamic intersectoral models with power-law memory," Papers 1712.09087, arXiv.org.
    12. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Concept of dynamic memory in economics," Papers 1712.09088, arXiv.org.
    13. He, Ke & Shi, Jianping & Fang, Hui, 2024. "Bifurcation and chaos analysis of a fractional-order delay financial risk system using dynamic system approach and persistent homology," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 223(C), pages 253-274.
    14. Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Economic Accelerator with Memory: Discrete Time Approach," Papers 1612.07913, arXiv.org, revised Jul 2017.
    15. G. Fern'andez-Anaya & L. A. Quezada-T'ellez & B. Nu~nez-Zavala & D. Brun-Battistini, 2019. "Katugampola Generalized Conformal Derivative Approach to Inada Conditions and Solow-Swan Economic Growth Model," Papers 1907.00130, arXiv.org.
    16. Ali Balcı, Mehmet, 2017. "Time fractional capital-induced labor migration model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 91-98.
    17. Çalış, Yasemin & Demirci, Ali & Özemir, Cihangir, 2022. "Hopf bifurcation of a financial dynamical system with delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 201(C), pages 343-361.
    18. Chu, Yu-Ming & Bekiros, Stelios & Zambrano-Serrano, Ernesto & Orozco-López, Onofre & Lahmiri, Salim & Jahanshahi, Hadi & Aly, Ayman A., 2021. "Artificial macro-economics: A chaotic discrete-time fractional-order laboratory model," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
    19. Tarasov, Vasily E., 2020. "Fractional econophysics: Market price dynamics with memory effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    20. Vasily E. Tarasov & Valentina V. Tarasova, 2019. "Dynamic Keynesian Model of Economic Growth with Memory and Lag," Mathematics, MDPI, vol. 7(2), pages 1-17, February.

    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:matcom:v:194:y:2022:i:c:p:348-364. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    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.