Nucleation of market shocks in the Sornette-Ide model

Ana Proykova, Lena Roussenova and Dietrich Stauffer

Quantitative Finance, 2003, vol. 3, issue 2, 67-70

Abstract: 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. A statistical analysis of DJ, S&P and Sofix (the share index for Bulgaria) shows higher fluctuations in the Sofix. This is consistent with the assumption that higher noise levels lead to shorter times between crashes. The higher level of fluctuations for the Sofix is consistent with Maslov's results comparing share indices for emerging and established markets (Maslov 2001 Physica A 301 397)

Date: 2003
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1088/1469-7688/3/2/301 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:3:y:2003:i:2:p:67-70

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1088/1469-7688/3/2/301

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().