Related papers: A quantum model for the stock market
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in…
We analyze the Schr\"{o}dinger dynamics and the Schr\"{o}dinger function (or the so-called wavefunction) in the following four aspects. (1) The Schr\"{o}dinger equation is reconstructed from scratch in the real field only, without referring…
The wave functions corresponding to the zero energy eigenvalue of a one-dimensional quantum chain Hamiltonian can be written in a simple way using quadratic algebras. Hamiltonians describing stochastic processes have stationary states given…
A discussion is given of the quantisation of a physical system with finite degrees of freedom subject to a Hamiltonian constraint by treating time as a constrained classical variable interacting with an unconstrained quantum state. This…
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics. For distributions with positive support, our…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
The master equation describing non-equilibrium one-dimensional problems like diffusion limited reactions or critical dynamics of classical spin systems can be written as a Schr\"odinger equation in which the wave function is the probability…
We review the derivation of quantum theory as an application of entropic methods of inference. The new contribution in this paper is a streamlined derivation of the Schr\"odinger equation based on a different choice of microstates and…
The dynamics of the expanding universe is analyzed in terms of the quantum geometrodynamical model. It is shown that the equations of quantum theory in the form of the eigenvalues equation similar to the stationary Schr\"{o}dinger equation…
We continue the analysis of quantum-like description of market phenomena and economics. We show that it is possible to define a risk inclination operator acting in some Hilbert space that has a lot of common with quantum description of the…
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…
A theoretical quantum brain model is proposed using a nonlinear Schroedinger wave equation. The model proposes that there exists a quantum process that mediates the collective response of a neural lattice (classical brain). The model is…
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
We propose a new cognitive framework for option price modelling, using quantum neural computation formalism. Briefly, when we apply a classical nonlinear neural-network learning to a linear quantum Schr\"odinger equation, as a result we get…
A new approach to find exact solutions to one--dimensional quantum mechanical systems is devised. The scheme is based on the introduction of a potential function for the wavefunction, and the equation it satisfies. We recover known…
Stochastic Schr\"odinger equations that govern the dynamics of open quantum systems are given by the equations for signal processing. In particular, the Brownian motion that drives the wave function of the system does not represent noise,…
In this paper we apply the formalism of the analytical signal theory to the Schrodinger wavefunction. Making use exclusively of the wave-particle duality and the principle of relativistic covariance, we actually derive the form of the…