Related papers: Finite quantum mechanical model for the stock mark…
It is proposed the scheme of quantum mechanics, in which a Hilbert space and the linear operators are not primary elements of the theory. Instead of it certain variant of the algebraic approach is considered. The elements of noncommutative…
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share…
It is well-known that time-dependent Schr\"{o}dinger equation can only be exactly solvable in very rare cases, even for two-level quantum systems. Therefore, finding exact quantum dynamics under time-dependent Hamiltonian is not only of…
In this paper we continue our systematic analysis of the operatorial approach previously proposed in an economical context and we discuss a {\em mixed} toy model of a simplified stock market, i.e. a model in which the price of the shares is…
We prove a theorem showing that quantum mechanics is not directly a stochastic process characterizing Brownian motion but rather its square root. This implies that a complex-valued stochastic process is involved. Schr\"odinger equation is…
An alternative approach to lattice gauge theory has been under development for the past decade. It is based on discretizing the operator Heisenberg equations of motion in such a way as to preserve the canonical commutation relations at each…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
We show that for a particular model, the quantum mechanical bootstrap is capable of finding exact results. We consider a solvable system with Hamiltonian $H=SZ(1-Z)S$, where $Z$ and $S$ satisfy canonical commutation relations. While this…
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order expansion formula for the power investor's value function -…
We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds…
Quantum systems with real energies generated by an apparently non-Hermitian Hamiltonian may re-acquire the consistent probabilistic interpretation via an ad hoc metric which specifies the set of observables in the updated Hilbert space of…
We study the classical motion of a particle subject to a stochastic force. We then present a perturbative schema for the associated Fokker-Planck equation where, in the limit of a vanishingly small noise source, a consistent dynamical model…
Quantum simulation is known to be capable of simulating certain dynamical systems in continuous time -- Schrodinger's equations being the most direct and well-known -- more efficiently than classical simulation. Any linear dynamical system…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
We study a model of scalar quantum field theory in which space-time is a discrete set of points obtained by repeatedly subdividing a triangle into three triangles at the centroid. By integrating out the field variable at the centroid we get…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
In this work, we present a logical formalism for reasoning about quantum systems in finite dimension. Contrary to the usual approach in quantum logic, our formalism is based classical first-order logic, which allows us to use the tools of…
We propose a new systematic fibre bundle formulation of nonrelativistic quantum mechanics. The new form of the theory is equivalent to the usual one but it is in harmony with the modern trends in theoretical physics and potentially admits…