Ultimate Numerical Bound Estimation of Chaotic Dynamical Finance Model

Ultimate Numerical Bound Estimation of Chaotic
Dynamical Finance Model

Dharmendra Kumar1
Sachin Kumar2
1 SGTB Khalsa College

Department of Mathematics
University of Delhi
2 Department
of Mathematics
University of Delhi
M3HPCST - 2015
Dharmendra Kumar, Sachin Kumar
Ultimate Numerical Bound Estimation of Chaotic Dynamical

M3HPCST
Finance Model
- 2015
1 / 17
Outline
1
2
3
4
5
6
Dynamical System
Real Life Examples with chaotic system
Main Problem under discussion Ultimate Bound
Four Methods to estimate ultimate bound of chaotic systems.
Dynamic Finance Model
Dynamical behaviour of the system
Phase diagrams for the Dynamic Finance Model
Lyapunov Exponent for Dynamic Finance Model
Lyapunov Dimension
Langrange Multiplier Method
Optimization Method
Main Optimization Problem
Numerical Calcualtions for Bound
Ellipsoidal Bound
Future Work

M3HPCST
Finance Model
- 2015
2 / 17
Dynamical System
Dynamical System
Dynamics is the study of change

M3HPCST
Finance Model
- 2015
3 / 17
Dynamical System
Dynamical System
Dynamics is the study of change

A Dynamical System is just a recipe for saying how a system of
variables interacts and changes with time.

M3HPCST
Finance Model
- 2015
3 / 17
Dynamical System
Some real life examples are as follows:

The solar system (Poincare in 1888)

M3HPCST
Finance Model
- 2015
4 / 17
Dynamical System

Complex behaviour in Hamiltonian mechanics
(Birkhoff, Kolmogorov, Arnold & Moser in 1920 - 1960)
The Weather Forcasting (Lorenz in 1963)

M3HPCST
Finance Model
- 2015
4 / 17
Dynamical System

Turbulence in fluids (Libchaber)

M3HPCST
Finance Model
- 2015
4 / 17
Dynamical System

Solar activity (Parker)

M3HPCST
Finance Model
- 2015
4 / 17
Dynamical System

Population growth or Logistic Map(May in 1970)

M3HPCST
Finance Model
- 2015
4 / 17
Dynamical System

Population growth or Logistic Map(May in 1970)
lots and lots of other systems

M3HPCST
Finance Model
- 2015
4 / 17
Main Problem under discussion Ultimate Bound
Main Problem
Ultimate Bound
The estimate of the ultimate bound for a chaotic system is of great
importance for chaos control, chaos synchronization, Hausdorff dimension
and the Lyapunov dimension of chaotic attractors
There are a few studies which have discussed the solution bounds and
invariant sets of the chaotic systems, such as
The Lorenz system in 2001
The hyperchaotic LorenzHaken system in 2009
LorenzStenflo system in 2015
Stochastic cellular neural networks with delays in 2011
One tumor growth model in 2013
A class of HDQA chaotic systems in 2011

M3HPCST
Finance Model
- 2015
5 / 17
Four Methods to estimate ultimate bound of chaotic systems.
How to estimate the bound of strange attractor?

Task is difficult
Chaotic systems are bounded, the bounds have important application in
chaos control and synchronization; But it is a difficult task to estimate the
ultimate bounds of them.
There are mainly four methods to estimate the bounds of chaotic systems
in current literatures. Four popular methods are following:
The hyper plane oriented method
The iteration theorem and the first order extremum theorem,
Lyapunov stability theory combined with the comparison principle
method
The optimization method.

M3HPCST
Finance Model
- 2015
6 / 17
Dynamical behaviour of the system

Ma JH & Chen YS in 2002 reported a dynamic model of finance,
composed of three first-order differential equations. The model describes
the time-variation of three state variables
x
= z + (y a)x
= 1 by x 2
(1)
z = x cz
x: interest rate.
y: investment demand.
z: price index.
where a is the saving amount, b is the cost per investment, c is the
elasticity of demand. Dynamical behaviour of the system:
Symmetry and Invariance
Dissipativity and Existence of Attractor

M3HPCST
Finance Model
- 2015
7 / 17
Phase diagrams for the Dynamic Finance Model
Phase diagrams for the Dynamic Finance Model.

5.5
1.5
5
1
4.5
0.5
4
3.5
3
0.5
2.5
1
2
1.5
2.5
1.5
0.5
0
x
0.5
1.5
1.5
2.5
2.5
1.5
0.5
0
x
0.5
1.5
2.5
1.5
3
2
0.5
1
0
0
1
2
0.5
3
6
1
1
0
2
1.5
1.5
1
2
2.5
3.5
y
4.5
5.5
2
z
Figure: Phase diagrams for the Dynamic Finance Model

M3HPCST
Finance Model
- 2015
8 / 17
Lyapunov Exponent for Dynamic Finance Model
Lyapunov Exponent
Numerical Values of Lyapunov Exponent

L1 = 0.7848, L2 = 0.2260, L3 = 1.3332
Why Finance Model is chaotic?
Two L1 , L2 are positive Lyapunov exponent, and the third one is negative.
Thus, the system is chaotic. The time histories, phase diagrams, and the
largest Lyapunov Exponent were used to identify the dynamics of the
system. The largest Lyapunov Exponent were calculated using the scheme
proposed by Wolf in 1985.

M3HPCST
Finance Model
- 2015
9 / 17
Lyapunov Dimension
Lyapunov Dimension for finance chaotic system

The Lyapunov dimension of the chaotic system (1) is given by
DL = j +
1
|Lj+1 |
j
X
Li = 2 +
i=1
L1 + L2
= 2.7582
|L3 |
(2)
Dynamics of Lyapunov exponents

1
Lyapunov exponents
0.5
0.5
1.5
200
400
600
800
1000
Time
Figure: Lyapunov Exponent of the Dynamic Finance Model.
So, the chaos in the system is very obvious.


M3HPCST
Finance- Model
2015
10 / 17

Consider the following problem which is constructed using Lyapunov
function theory
1
Max V (x, y , z) = (x 2 + y 2 + (z a)2 )
2
(3)
Subject to constraint:
1
1
11
: 3(x )2 + (y 5)2 + (z 3)2 =
2
10
4
(4)
Estimate of ultimate bound for (1) is

1 2
2
2
= (x, y , z)| (x + y + (z 3) ) 52.5971
2

M3HPCST
Finance- Model
2015
11 / 17
Optimization Method
Optimization Method using matrix analysis

Theorem
Suppose that there exits a real symmetric matrix P > 0 and a vector
R3 such that
Q = AT P + PA + 2(B1T Pu T , B2T Pu T , ..., BnT Pu T )T < 0
P
and
xi X T (BiT P + PBi )X = 0 for any X = (x1 , x2 , ..., xn )T R3 and
u = (u1 , u2 , ..., un ) = 2T P then (1) is bounded and has the following
ultimate bound set also called positively invarient set:
n
o
= X R3 |(X + )T P(X + ) Rmax
(5)
Rmax to be calculated.

M3HPCST
Finance- Model
2015
12 / 17
Optimization Method
Rmax is a real number to be determined by following Optimization

Problem:
Objective Function:
Max (X + )T P(X + )
(6)
subject to
X T QX + 2(T PA + C T P)X + 2C T P = 0.

M3HPCST
Finance- Model
2015
(7)
13 / 17
Optimization Method

Bounds are numerically calculated and observed for different parameter. In
this paper, we have shown the ellipsoidal boundedness of the Financial
dynamic Model.
Parameters Values
p11 = 1, p33 = 2
p11 = 0.1, p33 = 0.2
p11 = 0.001, p33 = 0.001
p11 = 0.001, p33 = 0.002
p11 = 1000, p33 = 2
p11 = 1, p33 = 2000
p11 = 0.001, p33 = 0.001
p11 = 1, p33 = 2
p11 = 1, p33 = 1
Initial Condition (x0 , y0 , z0 )

(2, 3, 2)
(2, 3, 2)
(2, 3, 2)
(2, 3, 2)
(2, 3, 2)
(2, 3, 2)
(2, 3, 2)
(0, 0, 0)
(2, 3, 2)
Rmax
281560.49
129247.49
56796
79519.34
1.2E48
1.2E12
56796
165775.15
639152.0
Table: Simulation results using MATLAB


M3HPCST
Finance- Model
2015
14 / 17
Optimization Method
Ellipsoidal Bound
Ellipsoidal Bound
Attractor formed using finance chaotic system is enclosed with an ellipsoid
which is shown in the following fig:
15
10
x(t)
z(t)
2
5
0
0
2
4
6
5
10
4
2
0
10
y(t)
x(t)
2
z(t)
5
10
10
y(t)
Figure: The bound of the chaotic attractor of system with a = 3, b = 0.1 and
c = 1, p11 = 1, p33 = 2.

M3HPCST
Finance- Model
2015
15 / 17
Future Work
Future Work
New Problems in this topic

At present, ultimate bound estimations of many chaotic systems are still a
difficult mathematical problem, such as the well-known
Chen system,
Lu system and
multi-scroll chaotic attractors.
How to find explicit ultimate bound sets for these systems is still an
unsolved question.

M3HPCST
Finance- Model
2015
16 / 17
Summary
For Further Reading I
S.H. Strogatz.
Nonlinear Dynamics And Chaos.
Studies in Nonlinearity, 2000.
Wang P, Li D, Wu X, L J, Yu X.
Ultimate bound estimation of a class of high dimensional quadratic
autonomous dynamical systems.
Int. J. Bifurc. Chaos Appl. Sci. Eng., 21(9):26792694, 2011.
Leonov GA.
Bound for attractors and the existence of homoclinic orbit in Lorenz
system.
J. Appl. Math. Mech., 65:1932, 2001.

M3HPCST
Finance- Model
2015
17 / 17

Ultimate Numerical Bound Estimation of Chaotic Dynamical Finance Model

Загружено:

Сведения о документе

Авторское право

Доступные форматы

Поделиться этим документом

Поделиться или встроить документ

Параметры публикации

Этот документ был вам полезен?

Это неприемлемый материал?

Авторское право:

Доступные форматы

Ultimate Numerical Bound Estimation of Chaotic Dynamical Finance Model

Загружено:

Авторское право:

Доступные форматы

Ultimate Numerical Bound Estimation of Chaotic

Dynamical Finance Model

1 SGTB Khalsa College

Dharmendra Kumar, Sachin Kumar