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

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

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.

Suggested Citation

  • Wang, Yaya & Dipesh, & Kumar, Pankaj & Baskonus, Haci Mehmet & Gao, Wei, 2025. "On the modeling the impact of delay on stock pricing fluctuations using delay differential equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 668(C).
    • Handle: RePEc:eee:phsmap:v:668:y:2025:i:c:s0378437125002535
    DOI: 10.1016/j.physa.2025.130601
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    References listed on IDEAS

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    1. Robert Balkin & Hector D. Ceniceros & Ruimeng Hu, 2023. "Stochastic Delay Differential Games: Financial Modeling and Machine Learning Algorithms," Papers 2307.06450, arXiv.org.
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    5. Duan, Huiming & Liu, Yunmei & Wang, Guan, 2022. "A novel dynamic time-delay grey model of energy prices and its application in crude oil price forecasting," Energy, Elsevier, vol. 251(C).
    Full references (including those not matched with items on IDEAS)

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