# Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton

Journal article

Dhesi, G and Ausloos, M (2016). Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton.

*Chaos, Solitons and Fractals.*88 (July), pp. 119-125.

Authors | Dhesi, G and Ausloos, M |
---|---|

Abstract | © 2015 Elsevier Ltd.Following a Geometrical Brownian Motion extension into an Irrational fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We specifically discuss the role of financial news or economic information positive or negative feedback of such irrational (or contrarian) agents upon the price evolution. We observe a kink-like effect reminiscent of soliton behaviour, suggesting how analysts' forecasts errors induce stock prices to adjust accordingly, thereby proposing a measure of the irrational force in a market. |

Keywords | q-fin.TR; q-fin.TR; q-fin.MF; 01 Mathematical Sciences; 09 Engineering; 08 Information And Computing Sciences; Mathematical Physics |

Year | 2016 |

Journal | Chaos, Solitons and Fractals |

Journal citation | 88 (July), pp. 119-125 |

Publisher | Elsevier |

ISSN | 0960-0779 |

Digital Object Identifier (DOI) | doi:10.1016/j.chaos.2015.12.015 |

Publication dates | |

Print | 23 Jan 2016 |

Publication process dates | |

Deposited | 08 Mar 2017 |

Accepted | 16 Dec 2015 |

Accepted author manuscript | License CC BY-NC-ND 4.0 |

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https://openresearch.lsbu.ac.uk/item/87533

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