Related papers: D-Brane solutions under market panic
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
We investigate maximally symmetric brane world solutions with a scalar field. Five-dimensional bulk gravity is described by a general lagrangian which yields field equations containing no higher than second order derivatives. This includes…
We describe the late-time acceleration of the Universe within the paradigm of the brane-world scenario. More precisely, we show how a phantom-like behaviour or a crossing of the cosmological constant line can be achieved safely in a…
The equations of motion and junction conditions for a gravi-dilaton brane world scenario are studied in the string frame. It is shown that they allow Kasner-like solutions on the brane, which makes the dynamics of the brane very similar to…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this model, we define wave functions and operators of the stock market to establish the Schr\"odinger equation for the stock…
We study the cosmological implications of including angular motion in the DBI brane inflation scenario. The non-canonical kinetic terms of the Dirac-Born-Infeld action give an interesting alternative to slow roll inflation, and cycling…
We consider brane world models, which can be constructed in the five-dimensional Brans-Dicke theory with bulk scalar field potentials suggested by the supergravity theory. For different choices of the potentials and parameters we get: (i)…
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…
We derive static spherically-symmetric vacuum solutions of the low-energy effective action for the two brane Randall-Sundrum model. The solutions with non-trivial radion belong to a one-parameter family describing traversable wormholes…
One of the most enticing research areas is the stock market, and projecting stock prices may help investors profit by making the best decisions at the correct time. Deep learning strategies have emerged as a critical technique in the field…
D-branes are fundamental in all scenarios where there are large extra dimensions and the string scale is much smaller than the four-dimensional Planck mass. We show that this current picture leads to a new approach to string cosmology where…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
We study cosmological solutions in the dilatonic brane world models. The effective four-dimensional equations on the brane are analyzed for the models with one positive tension brane and two branes with tensions of opposite signs. Just as…