English

The intensity of the random variable intercept in the sector of negative probabilities

General Finance 2015-03-26 v1 Quantum Physics

Abstract

We consider properties of the measurement intensity ρ\rho of a random variable for which the probability density function represented by the corresponding Wigner function attains negative values on a part of the domain. We consider a simple economic interpretation of this problem. This model is used to present the applicability of the method to the analysis of the negative probability on markets where there are anomalies in the law of supply and demand (e.g. Giffen's goods). It turns out that the new conditions to optimize the intensity ρ\rho require a new strategy. We propose a strategy (so-called aˋ\grave{a} rebours strategy) based on the fixed point method and explore its effectiveness.

Keywords

Cite

@article{arxiv.1503.07495,
  title  = {The intensity of the random variable intercept in the sector of negative probabilities},
  author = {Marcin Makowski and Edward W. Piotrowski and Jan Sładkowski and Jacek Syska},
  journal= {arXiv preprint arXiv:1503.07495},
  year   = {2015}
}

Comments

11 pages, 4 figures