Related papers: A quantum statistical approach to simplified stock…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
A connection between the asymptotic behavior of the open quantum walk and the spectrum of a generalized quantum coins is studied. For the case of simultaneously diagonalizable transition operators an exact expression for probability…
The method of Feynman-Kac perturbation of quantum stochastic processes has a long pedigree, with the theory usually developed within the framework of processes on von Neumann algebras. In this work, the theory of operator spaces is…
Quantum mechanics contains some strange unphysical concepts. Among these are complex numbers, Hilbert spaces with their unitary and self-adjoint operators, states represented by complex vectors, superpositions of states, collapse of wave…
In classical statistical mechanics, the partition function is defined in phase space. We extend this concept to quantum statistical mechanics using Bohmian trajectories. The quantum partition function in phase space captures the ensemble of…
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (price). A more general description including cases when we…
A version of quantum theory is derived from a set of plausible assumptions related to the following general setting: For a given system there is a set of experiments that can be performed, and for each such experiment an ordinary…
A factor-graph representation of quantum-mechanical probabilities is proposed. Unlike standard statistical models, the proposed representation uses auxiliary variables (state variables) that are not random variables.
Quantum stochastic operator equations are derived for inter-branch exciton and polariton processes caused by acoustic phonon scattering. The use of a fully quantum model combined with these recently developed techniques predicts the…
We develop a statistical model of microscopic stochastic deviation from classical mechanics based on a stochastic processes with a transition probability that is assumed to be given by an exponential distribution of infinitesimal stationary…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
I investigate a new idea of perturbation theory in covariant canonical quantization. I present preliminary results for a toy model of a harmonic oscillator with a quartic perturbation, and show that this method reproduces the quantized…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
We introduce the notion of perturbations of quantum stochastic models using the series product, and establish the asymptotic convergence of sequences of quantum stochastic models under the assumption that they are related via a right series…
In quantum physics, all measured observables are subject to statistical uncertainties, which arise from the quantum nature as well as the experimental technique. We consider the statistical uncertainty of the so-called sampling method, in…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Simple stochastic exchange games are based on random allocation of finite resources. These games are Markov chains that can be studied either analytically or by Monte Carlo simulations. In particular, the equilibrium distribution can be…