Characterizing noise-induced chaos and multifractality of a finance system

Journal Article (Journal Article)

In this article, noise induced chaos is investigated for a finance system. To characterize chaotic paradigm, period analysis is done with the variation of a parameter and noise strength. Later on, chaos has been quantified by 0–1 tests under the same variation. A phase space analysis is also done to investigate the effect of noise on the system dynamics. However, we have noticed that the respective asymptotic dynamics of the deterministic and noise induced chaos are very similar. To classify chaos between noisy and noise free systems, multifractal analysis is then performed. Though the phase spaces are showing similar trajectories, the multifractal analysis confirms more complex dynamics of the noise induced system in compare to the deterministic model. This investigation is an application of multifractal analysis, in case of quantifying chaos.

Full Text

Duke Authors

Cited Authors

  • Mukherjee, S; Fataf, NAA; Rahim, MFA; Natiq, H

Published Date

  • December 1, 2021

Published In

Volume / Issue

  • 230 / 21-22

Start / End Page

  • 3873 - 3879

Electronic International Standard Serial Number (EISSN)

  • 1951-6401

International Standard Serial Number (ISSN)

  • 1951-6355

Digital Object Identifier (DOI)

  • 10.1140/epjs/s11734-021-00305-8

Citation Source

  • Scopus