Nucleation of market shocks in the Sornette-Ide model

DOI10.1088/1469-7688/3/2/301MaRDI QIDQ4647243zbMATH OpenOpenAlexFDO

Authors Lena Roussenova, Ana Proykova, Dietrich Stauffer

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0110124

zbMATH Keywords

Sornette-Ide differential equationtrader behaviour

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

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.

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Cites work

• Measures of globalization based on cross-correlations of world financial indices
• Significance of log-periodic precursors to financial crashes

Cited in

(2)

• MEASURING SHOCK IN FINANCIAL MARKETS
• FRACTIONAL MARKET MODEL AND ITS VERIFICATION ON THE WARSAW STOCK EXCHANGE

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