Related papers: A quantum model for the stock market
The quantization of gravity coupled to a perfect fluid model leads to a Schr\"odinger-like equation, where the matter variable plays the role of time. The wave function can be determined, in the flat case, for an arbitrary barotropic…
We obtain the wave functions associated to the quantum Newtonian universe with a cosmological constant which is described by the Schr\"{o}dinger equation and discuss some aspects of its dynamics for all forms of energy density, namely,…
A class of $k$-Essence cosmological models, with a power law kinetic term, is quantised in the mini-superspace. It is shown that for a specific configuration, corresponding to a pressureless fluid, a Schr\"odinger-type equation is obtained…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…
We discuss the time evolution of quotations of stocks and commodities and show that corrections to the orthodox Bachelier model inspired by quantum mechanical time evolution of particles may be important. Our analysis shows that traders…
The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…
We propose a method to extract predictions from quantum cosmology for inflation that can be confronted with observations. Employing the tunneling boundary condition in quantum geometrodynamics, we derive a probability distribution for the…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
The hydrodynamical model of quantum mechanics based on the Schroedinger equation is combined with the magnetohydrodynamical term to form so called quantum magnetohydrodynamic equation. It is shown that the quantum correction to the Alfven…
We use the stochastic quantization method to study systems with complex valued path integral weights. We assume a Langevin equation with a memory kernel and Einstein's relations with colored noise. The equilibrium solution of this…
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…
Quantum stochastic differential equations have been used to describe the dynamics of an atom interacting with the electromagnetic field via absorption/emission processes. Here, by using the full quantum stochastic Schroedinger equation…
We propose in this paper to consider the stock market as a physical system assimilate to a fluid evolving in a macroscopic space subject to a Force that influences its movement over time where this last is arising from the collision between…
By parametrizing the action integral for the standard Schrodinger equation we present a derivation of the recently proposed method for quantizing a parametrized theory. The reformulation suggests a natural extension from conventional to…
In this paper, we briefly discuss a mathematical concept that can be used in economics.
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The…
Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained. Namely, it is shown that Black-Scholes equation is invariant under Schr\"odinger group. In order to do this, the one dimensional free…
We consider a quantization of relativistic wave equations which allows to treat quantum fields together with interacting particles at a finite time. We discuss also a dissipative interaction with the environment. We introduce a stochastic…
Starting from the Schr\"odinger-equation of a composite system, we derive unified dynamics of a classical harmonic system coupled to an arbitrary quantized system. The classical subsystem is described by random phase-space coordinates…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions…