Modeling and Application of a New Nonlinear Fractional Financial Model.

The paper proposes a new nonlinear dynamic econometric model with fractional derivative. The fractional derivative is defined in the Jumarie type. The corresponding discrete financial systemis considered by removing the limit operation in Jumarie derivative's. We estimate the coefficients and parameters of themodel by using the least squared principle. Thenew approach to financial system modeling is illustrated by an application tomodel the behavior of Japanese national financial systemwhich consists of interest rate, investment, and inflation. The empirical results with different time step sizes of discretization are shown, and a comparison of the actual data against the data estimated by empirical model is illustrated. We find that our discrete financial model can describe the actual data that include interest rate, investment, and inflation accurately. [ABSTRACT FROM AUTHOR]