Related papers: Quantum Financial Economics - Risk and Returns
A quantum fluctuation theorem for a driven quantum subsystem interacting with its environment is derived based solely on the assumption that its reduced density matrix obeys a closed evolution equation i.e. a quantum master equation (QME).…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
"\textit{The noise is the signal}"[R. Landauer, Nature \textbf{392}, 658 (1998)] emphasizes the rich information content encoded in fluctuations. This paper assesses the dynamical role of fluctuations of a quantum system driven far from…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
We derive a general fluctuation theorem for quantum maps. The theorem applies to a broad class of quantum dynamics, such as unitary evolution, decoherence, thermalization, and other types of evolution for quantum open systems. The theorem…
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
Each scheme of state reconstruction comes down to parametrize the state of a quantum system by expectation values or probabilities directly measurable in an experiment. It is argued that the time evolution of these quantities provides an…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
In recent years, quantum computation has been rapidly advancing, driving a technological revolution with significant potential across various sectors, particularly in finance. Despite this, the insurance industry, an essential tool for…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian…
This paper examines the impact of cognitive biases on financial decision-making through a static Bayesian game framework. While traditional economic theory assumes fully rational investors, real-world choices are often shaped by loss…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
Quantum walks can reconstruct quantum algorithms for quantum computation, where the precise controls of quantum state transfers between arbitrary distant sites are required. Here, we investigate quantum walks using a periodically…
A multifractal-like representation for multi-time multi-scale velocity correlation in turbulence and dynamical turbulent models is proposed. The importance of subleading contributions to time correlations is highlighted. The fulfillment of…
We describe a financial market model which shows a non-equilibrium phase transition. Near the transition punctuated equilibrium behaviour is seen, with avalanches occuring on all scales. This scaling is described by an exponent very near 1.…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
We formulate a method for incorporating quantum fluctuations into molecular- dynamics simulations of many-body systems, such as those employed for energetic nuclear collision processes. Based on Fermi's Golden Rule, we allow spontaneous…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…