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Sornette-Ide model for markets: Trader expectations as imaginary part

Christian Schulze
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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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BibTeXRIS

Christian Schulze. 2002-01-12. Sornette-Ide model for markets: Trader expectations as imaginary part. https://arxiv.org/abs/cond-mat/0201192

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