Coherence and anti-coherence resonance of corporation finance

Guang-Yan Zhong, Hai-Feng Li, Jiang-Cheng Li, Dong-Cheng Mei, Nian-Sheng Tang and Chao Long

Chaos, Solitons & Fractals, 2019, vol. 118, issue C, 376-385

Abstract: We investigate coherence resonance of corporate finance in a stochastic predator-prey model for creditors and producers. The stochastic predator-prey model with only considering financial risk and the Integral method of an improvement parameter estimation are proposed. Then the coefficient of variation (CV) of the interspike intervals is used to measure the phenomenon of coherence resonance. The simulating and empirical results indicate that (i) the phenomenon peak death is induced by higher noise strength and system parameters; (ii) the phenomenons of coherence and anti-coherence resonance are observed in the function of CV vs. noise strength; (iii) the critical phenomenon of resonance enhancement and inhibition is induced by some values of system parameters. In addition, a good agreement can be found between theoretical results and real financial data of Chinese companies.

Keywords: Corporate finance; Econophysics; Coherence resonance; Anti-coherence resonance; Coefficient of variation (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:118:y:2019:i:c:p:376-385

DOI: 10.1016/j.chaos.2018.12.008

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