SORNETTE–IDE MODEL FOR MARKETS: TRADER EXPECTATIONS AS IMAGINARY PART

Christian Schulze ()
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Christian Schulze: Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 04, 551-553

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.

Keywords: Econophysics; Langevin equations; complex variable (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102003310

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