Bifurcation and Chaotic Behavior of Credit Risk Contagion Based on FitzHugh-Nagumo System
Bifurcation and Chaotic Behavior of Credit Risk Contagion Based on FitzHugh-Nagumo System
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DOI：
10.1142/s0218127413501174
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发表时间：
2013-08
期刊：
影响因子：
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通讯作者：
Tingqiang Chen;J. He;Jining Wang
中科院分区：
文献类型：
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作者：
Tingqiang Chen;J. He;Jining Wang
基于具有时滞、高斯白噪声、时滞反馈、弱周期信号和非线性阻力的FHN系统，建立了一个信用风险传染的FHN模型。该模型通过仿真实验刻画了信用风险传染演化的动力学行为特征。同时，数值模拟表明，在金融市场中，信用风险传染的动力学系统稳定性与信用活动参与者之间的非线性阻力以及信用风险对经济主体的影响所产生的内在恢复能力呈正相关。然而，信用风险传染的动力学系统稳定性与信用风险传染的时滞、高斯白噪声的强度和弱信号周期负相关。此外，信用风险传染动力学系统随着这些参数的变化引入了一系列的Hopf分叉、逆分叉以及不同程度的混沌振荡现象。
This work introduces a FitzHugh–Nagumo (FHN) model of credit risk contagion based on the FHN system, which contains time-delay, Gaussian white noise, delayed feedback, weak periodic signal, and nonlinear resistance. The model depicts the dynamics behavior characteristics of evolution of credit risk contagion through simulation experiments. Meanwhile, numerical simulations show that, in a financial market, the dynamics system stability of credit risk contagion is positively related to the nonlinear resistance among participants of credit activities and to the inherent recovery capability attributed to the after-credit risk impact on economic subjects. However, the dynamics system stability of credit risk contagion is negatively related to the time-delay of credit risk contagion, the strength of Gaussian white noise, and the weak-signal cycle. Furthermore, the dynamics system of credit risk contagion introduces a series of Hopf bifurcation, inverse bifurcation and different degrees of chaotic oscillation phenomena with changes in these parameters.