On the modeling the impact of delay on stock pricing fluctuations using delay differential equations

Yaya Wang, Dipesh,, Pankaj Kumar, Haci Mehmet Baskonus and Wei Gao

Physica A: Statistical Mechanics and its Applications, 2025, vol. 668, issue C

Abstract: The fundamental principle behind stock market prices is based on the principles of supply and demand in economics. A sophisticated yet perceptive method of researching financial markets is to use delay differential equations to model how delays affect changes in stock prices. The degree of the demand-supply imbalance is closely correlated with the size of the price fluctuation. In this paper, the rate of change of stock price is studied in relation to difference in demand and supply of a stock price. The delay factor (τ) is introduced stock pricing. The stability analysis is performed and the conditions are established for asymptotic stability and Hopf-bifurcation for critical values of delay parameter. The analytical results are validated numerically.

Keywords: Stock price; Stability; Delay differential equations; Hopf-bifurcation (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:668:y:2025:i:c:s0378437125002535

DOI: 10.1016/j.physa.2025.130601

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