Nucleation of Market Shocks in Sornette-Ide model

Details Nucleation of Market Shocks in Sornette-Ide model Nucleation of Market Shocks in Sornette-Ide model

2001-10-06

arxiv.org/abs/cond-mat/0110124v2

Physics

Condensed Matter

Statistical Mechanics

For APFA 3, London, Dec. 2001; four figures ; 6 pages total;corrected typos

Scientific paper

The Sornette-Ide differential equation of herding and rational trader
behaviour together with very small random noise is shown to lead to crashes or
bubbles where the price change goes to infinity after an unpredictable time.
About 100 time steps before this singularity, a few predictable roughly
log-periodic oscillations are seen.

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