Fractional virus epidemic model on financial networks

• Autorzy: Mehmet Ali Balci
• Języki publikacji: EN

Abstrakty

EN

In this study, we present an epidemic model that characterizes the behavior of a financial network of globally operating stock markets. Since the long time series have a global memory effect, we represent our model by using the fractional calculus. This model operates on a network, where vertices are the stock markets and edges are constructed by the correlation distances. Thereafter, we find an analytical solution to commensurate system and use the well-known differential transform method to obtain the solution of incommensurate system of fractional differential equations. Our findings are confirmed and complemented by the data set of the relevant stock markets between 2006 and 2016. Rather than the hypothetical values, we use the Hurst Exponent of each time series to approximate the fraction size and graph theoretical concepts to obtain the variables.

Słowa kluczowe

EN

Network modelling; Stock market network; Fractional calculus; Caputo fractional derivative; Differential transform method

Kategorie tematyczne

• 26A33: Fractional derivatives and integrals
• 62P05: Applications to actuarial sciences and financial mathematics
• 97M30: Financial and insurance mathematics
• 05C82: Small world graphs, complex networks
• 65C20: Models, numerical methods

• Wydawca: De Gruyter Open
• Czasopismo: Open Mathematics
• Rocznik: 2016
• Tom: 14
• Numer: 1
• Strony: 1074-1086

Daty

wydano

2016-01-01

otrzymano

2016-09-07

zaakceptowano

2016-11-15

online

2016-12-24

Twórcy

autor

Mehmet Ali Balci

• Muğla Sitki Koçman University, Faculty of Science, Department of Mathematics, 48000, Muğla,

Identyfikatory

DOI

10.1515/math-2016-0098