Nucleation of market shocks in the Sornette-Ide model

DOI10.1088/1469-7688/3/2/301zbMATH Open1405.91763arXivcond-mat/0110124OpenAlexW2051824154MaRDI QIDQ4647243FDOQ4647243

Authors: Lena Roussenova, Ana Proykova, Dietrich Stauffer 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

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.

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

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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)

Cites Work

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

Cited In (2)

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

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