Stochastic resonance in a financial model

• 来源期刊: 中国物理（英文版）
• 学科: 物理学
• 关键词: stochastic resonance financial market stochastic process decision theory
• 年，卷（期）: 2002,（11）
• 页码范围: 1106-1110
• 页数: 5页
• 分类号: O4
• 语种: 英文

摘要

We report on our model study of stochastic resonance in the stock market using numerical simulation and analysis.In the model, we take the interest rate as the external signal, the randomness of traders' behaviour as the noise, andthe stock price as the output. With computer simulations, we find that the system demonstrates a characteristic ofstochastic resonance as noise intensity varies. An analytical explanation is proposed.