Coherence resonance-like and efficiency of financial market

DOI10.1016/J.PHYSA.2019.122327MaRDI QIDQ2163739zbMATH OpenOpenAlexWikidataFDO

Authors Guang-Yan Zhong, Feng He, Jiang-Cheng Li, Dong-Cheng Mei, N. S. Tang

Publication date 10 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.122327

zbMATH Keywords

Bayesian estimationeconophysicsstochastic simulationcoherence resonancecharacteristic correlation time

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian Analysis of Growth Curves Using Mixed Models Defined by Stochastic Differential Equations
• Coherence Resonance in a Noise-Driven Excitable System
• Coherence and anti-coherence resonance of corporation finance
• Different delays-induced regime shifts in a stochastic insect outbreak dynamics
• Escape from a metastable state with fluctuating barrier
• Generalized autoregressive conditional heteroscedasticity
• Introduction to Econophysics
• Multiple cross-correlation noise induced transition in a stochastic bistable system
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Predicting fluctuations-caused regime shifts in a time delayed dynamics of an invading species
• Realized Volatility
• Role of noise in a market model with stochastic volatility
• Sensitivity analysis and model selection for a generalized convolution model for spatial processes
• Spatio-temporal patterns in population dynamics
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS

Cited in

(6)

• Coherence resonance in neural networks: theory and experiments
• Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
• The nonlinear mechanisms underlying the various stochastic dynamics evoked from different bursting patterns in a neuronal model
• Forecasting the crude oil prices based on econophysics and Bayesian approach
• Stochastic resonance as a model for financial market crashes and bubbles
• Forecasting price of financial market crash via a new nonlinear potential GARCH model

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• BSA

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