Related papers: Quantum Financial Economics - Risk and Returns
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
The physics of many closed, conservative systems can be described by both classical and quantum theories. The dynamics according to classical theory is symplectic and admits linear instabilities which would initially seem at odds with a…
The recent advancement of quantum computer hardware offers the potential to simulate quantum many-body systems beyond the capability of its classical counterparts. However, most current works focus on simulating the ground-state properties…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
We numerically analyse quantum survival probability fluctuations in an open, classically chaotic system. In a quasi-classical regime, and in the presence of classical mixed phase space, such fluctuations are believed to exhibit a fractal…
The noncooperative Nash equilibrium solution of classical games corresponds to a rational expectations attitude on the part of the players. However, in many cases, games played by human players have outcomes very different from Nash…
In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often challenging, when at all…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…
We present a reformulation of unsteady turbulent flow simulations. The initial condition is relaxed and information is allowed to propagate both forward and backward in time. Simulations of chaotic dynamical systems with this reformulation…
In this dissertation, we analyze equilibrium and out-of-equilibrium quantum phase transitions present in quantum spin-$\frac{1}{2}$ models, using a quantum information approach through quantum correlations and phase space formalism, and a…
The simulation of quantum dynamics on a digital quantum computer with parameterized circuits has widespread applications in fundamental and applied physics and chemistry. In this context, using the hybrid quantum-classical algorithm,…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
Quantum computers are expected to surpass the computational capabilities of classical computers during this decade and have transformative impact on numerous industry sectors, particularly finance. In fact, finance is estimated to be the…
In recent years, a CRA (Credit Risk Analysis) quantum algorithm with a quadratic speedup over classical analogous methods has been introduced. We propose a new variant of this quantum algorithm with the intent of overcoming some of the most…
Quantum turbulence shares many similarities with classical turbulence in the isotropic and homogeneous case, despite the inviscid and quantized nature of its vortices. However, when quantum fluids are subjected to rotation, their turbulent…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
Uncertainty, characterised by randomness and stochasticity, is ubiquitous in applications of evolutionary game theory across various fields, including biology, economics and social sciences. The uncertainty may arise from various sources…