Publications [#363559] of Sayan Mukherjee

Papers Published

1. Mukherjee, S; Fataf, NAA; Rahim, MFA; Natiq, H, Characterizing noise-induced chaos and multifractality of a finance system, European Physical Journal: Special Topics, vol. 230 no. 21-22 (December, 2021), pp. 3873-3879 [doi]
   (last updated on 2025/02/21)

   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.