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Characterizing noise-induced chaos and multifractality of a finance system

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Abstract

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.

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Acknowledgements

N. A. A. Fataf and M. F. Abdul Rahim are grateful to National Defence University of Malaysia for funding via Short Term Grant Scheme (UPNM/2020/GPJP/SG/8).

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Authors and Affiliations

  1. Department of Mathematics, Sivanath Sastri College, Kolkata, West Bengal, 700029, India

    Sayan Mukherjee

  2. Centre for Defence Foundation Studies, Universiti Pertahanan Nasional Malaysia, Sungai Besi, Kuala Lumpur, Malaysia

    N. A. A. Fataf

  3. Cyber Security and Digital Industrial Revolution Centre, Universiti Pertahanan Nasional Malaysia, Sungai Besi, Kuala Lumpur, Malaysia

    N. A. A. Fataf

  4. Faculty of Defence Science and Technology, Universiti Pertahanan Nasional Malaysia, Sungai Besi, Kuala Lumpur, Malaysia

    M. F. Abdul Rahim

  5. Information Technology Collage, Imam Jaafar Al-Sadiq University, Baghdad, Iraq

    Hayder Natiq

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  1. Sayan Mukherjee
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  2. N. A. A. Fataf
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  3. M. F. Abdul Rahim
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  4. Hayder Natiq
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Correspondence to N. A. A. Fataf.

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Mukherjee, S., Fataf, N.A.A., Rahim, M.F.A. et al. Characterizing noise-induced chaos and multifractality of a finance system. Eur. Phys. J. Spec. Top. 230, 3873–3879 (2021). https://doi.org/10.1140/epjs/s11734-021-00305-8

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  • DOI: https://doi.org/10.1140/epjs/s11734-021-00305-8

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