Modeling and Application of a New Nonlinear Fractional Financial Model
Joint Authors
Yue, Yiding
He, Lei
Liu, Guanchun
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-11-27
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
The paper proposes a new nonlinear dynamic econometric model with fractional derivative.
The fractional derivative is defined in the Jumarie type.
The corresponding discrete financial system is considered by removing the limit operation in Jumarie derivative’s.
We estimate the coefficients and parameters of the model by using the least squared principle.
The new approach to financial system modeling is illustrated by an application to model the behavior of Japanese national financial system which consists of interest rate, investment, and inflation.
The empirical results with different time step sizes of discretization are shown, and a comparison of the actual data against the data estimated by empirical model is illustrated.
We find that our discrete financial model can describe the actual data that include interest rate, investment, and inflation accurately.
American Psychological Association (APA)
Yue, Yiding& He, Lei& Liu, Guanchun. 2013. Modeling and Application of a New Nonlinear Fractional Financial Model. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-463601
Modern Language Association (MLA)
Yue, Yiding…[et al.]. Modeling and Application of a New Nonlinear Fractional Financial Model. Journal of Applied Mathematics No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-463601
American Medical Association (AMA)
Yue, Yiding& He, Lei& Liu, Guanchun. Modeling and Application of a New Nonlinear Fractional Financial Model. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-463601
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-463601