Related papers: A quantum statistical approach to simplified stock…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
We present a method for incorporating a stochastic point of view into physics exercises of mathematics education. The core of our method is the randomization of some inputs, the system model used does not differ from what we would use in…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…
The von Neumann trace form of quantum statistical mechanics is transformed to an integral over classical phase space. Formally exact expressions for the resultant position-momentum commutation function are given. A loop expansion for wave…
With extensive variational simulations, dissipative quantum phase transitions in the sub-Ohmic spin-boson model are numerically studied in a dense limit of environmental modes. By employing a generalized trial wave function composed of…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
This paper shows that Hamiltonians and operators can also be put to good use even in contexts which are not purely physics based. Consider the world of finance. The work presented here {models a two traders system with information exchange…
The quantum kinetic equation used in the study of weak turbulence is reconsidered in the context of a theory with a generic quartic interaction. The expectation value of the time derivative of the mode number operators is computed in a…
Tomographic probability representation is introduced for fermion fields. The states of the fermions are mapped onto probability distribution of discrete random variables (spin projections). The operators acting on the fermion states are…
Monte Carlo techniques have been widely employed in statistical physics as well as in quantum theory in the Lagrangian formulation. However, in some areas of application to quantum theories computational progress has been slow. Here we…
A quantum walk places a traverser into a superposition of both graph location and traversal "spin." The walk is defined by an initial condition, an evolution determined by a unitary coin/shift-operator, and a measurement based on the…
Two quantum systems, each described as a random-matrix ensemble. are coupled to each other via a number of transition states. Each system is strongly coupled to a large number of channels. The average transmission probability is the product…
We study the fluctuation properties of transition intensities applying a recently proposed generalization of the random matrix theory, which is based on Beck and Cohen's superstatistics. We obtain an analytic expression for the distribution…
We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…
Boson sampling has been theoretically proposed and experimentally demonstrated to show quantum computational advantages. However, it still lacks the deep understanding of the practical applications of boson sampling. Here we propose that…
Quantum Phase Transition (QPT) is a phase transition between different quantum states by adjusting some control parameters. Based on the Principle of Hamilton Dynamics (PHD) and the Principle of Lagrangian Dynamics (PLD), a general QPT…
A factor-graph representation of quantum-mechanical probabilities (involving any number of measurements) is proposed. Unlike standard statistical models, the proposed representation uses auxiliary variables (state variables) that are not…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…