A path integral based model for stocks and order dynamics
Computational Finance
2018-08-01 v1
Abstract
We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 index.
Keywords
Cite
@article{arxiv.1803.07904,
title = {A path integral based model for stocks and order dynamics},
author = {Giovanni Paolinelli and Gianni Arioli},
journal= {arXiv preprint arXiv:1803.07904},
year = {2018}
}