The risks and returns of stock investment in a financial market

被引：26

作者：

Li, Jiang-Cheng ^{[1
]}

Mei, Dong-Cheng ^{[1
]}

机构：

[1] Yunnan Univ, Dept Phys, Kunming 650091, Peoples R China

来源：

PHYSICS LETTERS A | 2013年 / 377卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Financial market; Heston model; Time delay; The mean escape time; Stock price returns; TIME-DELAY; VOLATILITY; DYNAMICS; NOISE; MODEL; IRREVERSIBILITY; PATTERNS; SYSTEM;

D O I：

10.1016/j.physleta.2013.01.006

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them. (c) 2013 Elsevier B.V. All rights reserved.

引用

页码：663 / 670

页数：8

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