Modeling and Application of a New Nonlinear Fractional Financial Model
The paper proposes a new nonlinear dynamic econometric model with fractional derivative. The fractional derivative is defined in the Jumarie type. The corresponding discrete financial system is considered by removing the limit operation in Jumarie derivative’s. We estimate the coefficients and param...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/325050 |
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| _version_ | 1850212732412887040 |
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| author | Yiding Yue Lei He Guanchun Liu |
| author_facet | Yiding Yue Lei He Guanchun Liu |
| author_sort | Yiding Yue |
| collection | DOAJ |
| description | The paper proposes a new nonlinear dynamic econometric model with fractional derivative. The fractional derivative is defined in the Jumarie type. The corresponding discrete financial system is considered by removing the limit operation in Jumarie derivative’s. We estimate the coefficients and parameters of the model by using the least squared principle. The new approach to financial system modeling is illustrated by an application to model the behavior of Japanese national financial system which consists of interest rate, investment, and inflation. The empirical results with different time step sizes
of discretization are shown, and a comparison of the actual data against the data estimated by empirical model is illustrated. We find that our discrete financial model can describe the actual data that include interest rate, investment, and inflation accurately. |
| format | Article |
| id | doaj-art-8a1feccd16fc4d5ca69fd56ba0ed3c74 |
| institution | OA Journals |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-8a1feccd16fc4d5ca69fd56ba0ed3c742025-08-20T02:09:17ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/325050325050Modeling and Application of a New Nonlinear Fractional Financial ModelYiding Yue0Lei He1Guanchun Liu2Business School, Central South University, Changsha, Hunan 410083, ChinaBusiness School, Central South University, Changsha, Hunan 410083, ChinaBusiness School, Central South University, Changsha, Hunan 410083, ChinaThe paper proposes a new nonlinear dynamic econometric model with fractional derivative. The fractional derivative is defined in the Jumarie type. The corresponding discrete financial system is considered by removing the limit operation in Jumarie derivative’s. We estimate the coefficients and parameters of the model by using the least squared principle. The new approach to financial system modeling is illustrated by an application to model the behavior of Japanese national financial system which consists of interest rate, investment, and inflation. The empirical results with different time step sizes of discretization are shown, and a comparison of the actual data against the data estimated by empirical model is illustrated. We find that our discrete financial model can describe the actual data that include interest rate, investment, and inflation accurately.http://dx.doi.org/10.1155/2013/325050 |
| spellingShingle | Yiding Yue Lei He Guanchun Liu Modeling and Application of a New Nonlinear Fractional Financial Model Journal of Applied Mathematics |
| title | Modeling and Application of a New Nonlinear Fractional Financial Model |
| title_full | Modeling and Application of a New Nonlinear Fractional Financial Model |
| title_fullStr | Modeling and Application of a New Nonlinear Fractional Financial Model |
| title_full_unstemmed | Modeling and Application of a New Nonlinear Fractional Financial Model |
| title_short | Modeling and Application of a New Nonlinear Fractional Financial Model |
| title_sort | modeling and application of a new nonlinear fractional financial model |
| url | http://dx.doi.org/10.1155/2013/325050 |
| work_keys_str_mv | AT yidingyue modelingandapplicationofanewnonlinearfractionalfinancialmodel AT leihe modelingandapplicationofanewnonlinearfractionalfinancialmodel AT guanchunliu modelingandapplicationofanewnonlinearfractionalfinancialmodel |