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Role of Noise in a Market Model with Stochastic Volatility

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Cited by:

  1. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.
  2. 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.
  3. Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  4. Ping, Zhu, 2023. "Analytical equivalent transformation method for nonlinear stochastic dynamics with multiple noises in high dimensions," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  5. Li, Jiang-Cheng & Tao, Chen & Li, Hai-Feng, 2022. "Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  6. Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
  7. Zhou, Wei & Zhong, Guang-Yan & Li, Jiang-Cheng, 2022. "Stability of financial market driven by information delay and liquidity in delay agent-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  8. Han, Cheng & Wang, Yan & Jiang, Daqing, 2023. "Dynamics analysis of a stochastic HIV model with non-cytolytic cure and Ornstein–Uhlenbeck process," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
  9. Kim, Jeong-Hoon & Park, Chang-Rae, 2017. "A multiscale extension of the Margrabe formula under stochastic volatility," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 59-65.
  10. Zhong, Guang-Yan & He, Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng, 2019. "Coherence resonance-like and efficiency of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  11. Jin, Yanfei & Wang, Haotian & Xu, Pengfei, 2023. "Noise-induced enhancement of stability and resonance in a tri-stable system with time-delayed feedback," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
  12. Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  13. Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
  14. Mondal, Chirodeep & Kesh, Dipak & Mukherjee, Debasis, 2023. "Global stability and bifurcation analysis of an infochemical induced three species discrete-time phytoplankton–zooplankton model," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  15. Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
  16. Batra, Luckshay & Taneja, H.C., 2021. "Approximate-Analytical solution to the information measure’s based quanto option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  17. Wu, Jianjun & Xia, Lu, 2024. "Double well stochastic resonance for a class of three-dimensional financial systems," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
  18. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  19. 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).
  20. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  21. Li, Jiangcheng & Zhang, Chunmin & Liu, Jifa & Li, Zhen & Yang, Xuan, 2018. "An application of Mean Escape Time and metapopulation on forestry catastrophe insurance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 312-323.
  22. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
  23. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  24. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
  25. Lin, Lifeng & Lin, Tianzhen & Zhang, Ruoqi & Wang, Huiqi, 2023. "Generalized stochastic resonance in a time-delay fractional oscillator with damping fluctuation and signal-modulated noise," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
  26. Zhang, Ruoqi & Meng, Lin & Yu, Lei & Shi, Sihong & Wang, Huiqi, 2024. "Collective dynamics of fluctuating–damping coupled oscillators in network structures: Stability, synchronism, and resonant behaviors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 638(C).
  27. Yu, Xingwang & Ma, Yuanlin, 2023. "Noise-induced bistability and noise-enhanced stability of a stochastic model for resource production–consumption under crowding effect and sigmoidal consumption pattern," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  28. Mi, Li-Na & Guo, Yong-Feng & Zhang, Meng & Zhuo, Xiao-Jing, 2023. "Stochastic resonance in gene transcriptional regulatory system driven by Gaussian noise and Lévy noise," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
  29. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.
  30. Kim, Geonwoo & Koo, Eunho, 2016. "Closed-form pricing formula for exchange option with credit risk," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 221-227.
  31. Rao, Feng & Kang, Yun, 2023. "Dynamics of a stochastic prey–predator system with prey refuge, predation fear and its carry-over effects," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
  32. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
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