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Chaos, Hopf bifurcation and control of a fractional-order delay financial system

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  • Shi, Jianping
  • He, Ke
  • Fang, Hui

Abstract

The evolution of financial system depends not only on the current state, but also on the previous state. Due to “long-term memory” and “non-locality” of the fractional derivative, fractional-order model can effectively characterize the dynamic features of financial process. An incommensurate fractional-order delay financial system (FDFS) is considered in this paper. Based on linearization and Laplace transformation, the characteristic equation of linearized system of FDFS is obtained. The critical value of the time delay for the occurrence of Hopf bifurcation is determined through the discussions of the eigenvalues of the characteristic equation and the transversality condition. A periodic pulse delay feedback controller is added to the FDFS to control the Hopf bifurcation and to regulate the stability domain of the system. Two illustrative examples are provided to validate our theoretical results. Moreover, numerical simulations demonstrate that the increase of the fractional-order can induce chaos in FDFS, which is detected by 0−1 test for chaos. This paper contributes to a better understanding of the dynamic behavior of financial market, forecasting financial risk and implementing effective financial regulation.

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  • Shi, Jianping & He, Ke & Fang, Hui, 2022. "Chaos, Hopf bifurcation and control of a fractional-order delay financial system," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 194(C), pages 348-364.
    • Handle: RePEc:eee:matcom:v:194:y:2022:i:c:p:348-364
    DOI: 10.1016/j.matcom.2021.12.009
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