The roles of extrinsic periodic information on the stability of stock price

Jiang-Cheng Li and Dong-Cheng Mei ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2014, vol. 87, issue 2, 1-6

Abstract: The roles of extrinsic periodic information on the stability of stock price for the case of the stock market crashes are investigated with Heston model. From numerical simulation of the mean escape time (MET), the results indicate that: (i) the varying amplitude of extrinsic periodic information induces and enhances a maximum in curve of the MET versus the mean reversion of volatility or initial position; (ii) there is a critical value of amplitude or frequency of extrinsic periodic information in the behavior of MET versus the long-run variance or amplitude of volatility fluctuations, and when amplitude or frequency takes value below the critical value, the increase in amplitude or frequency enhances the stability of stock price, but restrains it when amplitude or frequency takes value above the critical value. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2014

Keywords: Statistical and Nonlinear Physics (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1140/epjb/e2014-41033-6

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