Chaos and complexity in a fractional-order financial system with time delays

Shaojie Wang, Shaobo He, Amin Yousefpour, Hadi Jahanshahi, Robert Repnik and Matjaž Perc

Chaos, Solitons & Fractals, 2020, vol. 131, issue C

Abstract: Finance and economics are complex nonlinear systems that are affected by various external factors, including of course human action, bilateral relations, conflicts, and policy. Time delays in a financial system take into account the amount of time that passes from a particular policy or decision being made to it actually taking effect. It is thus important to consider time delays as an integral part of modeling in this field. Moreover, many features of financial systems cannot be expressed sufficiently precisely by means of integer-order calculus. Fractional-order calculus alleviates these shortcomings. The aim of this paper is therefore to study the dynamics and complexity in a fractional-order financial system with time delays. We observe fascinating transitions to deterministic chaos, including cascading period doubling, as well as high levels of complexity. This is particularly true in response to variations of derivative orders, which are thus identified as key system parameters.

Keywords: Fractional-order system; Time delay; Bifurcation diagram; Complexity; Finance (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:131:y:2020:i:c:s0960077919304734

DOI: 10.1016/j.chaos.2019.109521

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