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Nucleation of Market Shocks in Sornette-Ide model

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  • Ana Proykova
  • Lena Roussenova
  • Dietrich Stauffer

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.

Suggested Citation

  • Ana Proykova & Lena Roussenova & Dietrich Stauffer, 2001. "Nucleation of Market Shocks in Sornette-Ide model," Papers cond-mat/0110124, arXiv.org, revised Nov 2001.
    • Handle: RePEc:arx:papers:cond-mat/0110124
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