Sornette-Ide model for markets: Trader expectations as imaginary part

Details Sornette-Ide model for markets: Trader expectations as imaginary part Sornette-Ide model for markets: Trader expectations as imaginary part

2002-01-12

arxiv.org/abs/cond-mat/0201192v1

Physics

Condensed Matter

Statistical Mechanics

4 pages including two figures, for Int. J. Mod. Phys. C 14, issue 4 (2002)

Scientific paper

A nonlinear differential equation of Sornette-Ide type with noise, for a
complex variable, yields endogenous crashes, preceded by roughly log-periodic
oscillations in the real part, and a strong increase in the imaginary part. The
latter is interpreted as the trader expectation.

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