IDEAS home Printed from https://ideas.repec.org/a/wly/jnljam/v2013y2013i1n325050.html
   My bibliography  Save this article

Modeling and Application of a New Nonlinear Fractional Financial Model

Author

Listed:
  • Yiding Yue
  • Lei He
  • Guanchun Liu

Abstract

The paper proposes a new nonlinear dynamic econometric model with fractional derivative. The fractional derivative is defined in the Jumarie type. The corresponding discrete financial system is considered by removing the limit operation in Jumarie derivative’s. We estimate the coefficients and parameters of the model by using the least squared principle. The new approach to financial system modeling is illustrated by an application to model the behavior of Japanese national financial system which consists of interest rate, investment, and inflation. The empirical results with different time step sizes of discretization are shown, and a comparison of the actual data against the data estimated by empirical model is illustrated. We find that our discrete financial model can describe the actual data that include interest rate, investment, and inflation accurately.

Suggested Citation

  • Yiding Yue & Lei He & Guanchun Liu, 2013. "Modeling and Application of a New Nonlinear Fractional Financial Model," Journal of Applied Mathematics, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnljam:v:2013:y:2013:i:1:n:325050
    DOI: 10.1155/2013/325050
    as

    Download full text from publisher

    File URL: https://doi.org/10.1155/2013/325050
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2013/325050?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
    ---><---

    More about this item

    Statistics

    Access and download statistics

    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:wly:jnljam:v:2013:y:2013:i:1:n:325050. 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: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1155/4058 .

    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.