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Chaos suppression in a fractional order financial system using intelligent regrouping PSO based fractional fuzzy control policy in the presence of fractional Gaussian noise

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Abstract

Financial systems are known to have irregular and erratic fluctuations due to diverse influences and often result in economic crisis and huge financial losses. Recent models of financial systems show that they behave chaotically and have long range memory dependence. Mitigating these undesirable chaotic natures of financial systems by appropriate control policies is important in order to reduce investment risks and improve economic performance. In this paper, a fractional order fuzzy control policy is employed to suppress the chaotic dynamics of a representative chaotic fractional order financial system. An intelligent Regrouping Particle Swarm Optimization (Reg-PSO) is used to design the numeric weights of the control policy and the methodology is demonstrated by credible simulations. The designed fractional fuzzy control policies are shown to work well with respect to conventional fuzzy control policies in the presence of persistent and anti-persistent noise, which can be due to additional extraneous influences on the system.

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Authors and Affiliations

  1. MERG, Energy, Environment, Modelling and Minerals (E²M²) Research Section, Department of Earth Science and Engineering, Imperial College London, Exhibition Road, London, SW7 2AZ, UK

    Indranil Pan, Anna Korre & Sevket Durucan

  2. Communications, Signal Processing and Control Group, School of Electronics and Computer Science, University of Southampton, Southampton, SO17 1BJ, UK

    Saptarshi Das

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  1. Indranil Pan
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  2. Anna Korre
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  3. Saptarshi Das
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  4. Sevket Durucan
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Correspondence to Indranil Pan.

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Pan, I., Korre, A., Das, S. et al. Chaos suppression in a fractional order financial system using intelligent regrouping PSO based fractional fuzzy control policy in the presence of fractional Gaussian noise. Nonlinear Dyn 70, 2445–2461 (2012). https://doi.org/10.1007/s11071-012-0632-7

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  • DOI: https://doi.org/10.1007/s11071-012-0632-7

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