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

Christian Schulze

Papers from arXiv.org

Abstract: 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.

Date: 2002-01
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