Search Results - subject:"The mean escape time"

The returns and risks of investment portfolio in stock market crashes

Li, Jiang-Cheng; Long, Chao; Chen, Xiao-Dan - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 282-288

simulating probability density function of returns and the mean escape time of the model, the results indicate that: (i) the … real market data are found in the behaviors of the probability density function and the mean escape time. …

Persistent link: https://www.econbiz.de/10011209736

The influences of delay time on the stability of a market model with stochastic volatility

Li, Jiang-Cheng; Mei, Dong-Cheng - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 4, pp. 763-772

The effects of the delay time on the stability of a market model are investigated, by using a modified Heston model with a cubic nonlinearity and cross-correlated noise sources. These results indicate that: (i) There is an optimal delay time τo which maximally enhances the stability of the...

Persistent link: https://www.econbiz.de/10011057425