Modelling and Measuring the Irrational behaviour of Agents in Financial   Markets: Discovering the Psychological Soliton
  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. 
Gurjeet Dhesi and Marcel Ausloos
q-fin.TR q-fin.MF