Sornette-Ide model for markets: Trader expectations as imaginary part
classification
❄️ cond-mat.stat-mech
q-fin.TR
keywords
partimaginarysornette-idetradercomplexcrashesdifferentialendogenous
read the original 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.
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