Related papers: Quantum Brownian motion model for the stock market
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in…
We develop a Euclidean path-integral control to characterize optimal firm behavior in an economy governed by Walrasian equilibrium, Pareto efficiency, and non-cooperative Markovian feedback Nash equilibrium. The approach recasts the problem…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time. The predominant explanation for this is the…
Tracking a real trajectory of a quantum particle still has been treated as the interpretation problem. It shall be expressed by a Brownian (stochastic) motion suggested by E. Nelson, however, the well-defined mechanism of field generation…
Bohmian mechnaics is the most naively obvious embedding imaginable of Schr\"odingers's equation into a completely coherent physical theory. It describes a world in which particles move in a highly non-Newtonian sort of way, one which may at…
The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors,…
The Brownian motion of a test particle interacting with a quantum scalar field in the presence of a perfectly reflecting boundary is studied in (1 + 1)-dimensional flat spacetime. Particularly, the expressions for dispersions in velocity…
Quantum Brownian motion in the strong friction limit is studied based on the exact path integral formulation of dissipative systems. In this limit the time-nonlocal reduced dynamics can be cast into an effective equation of motion, the…
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
A generical formalism for the discussion of Brownian processes with non-constant particle number is developed, based on the observation that the phase space of heat possesses a product structure that can be encoded in a commutative unit…
In quantum computation, series of quantum gates have to be arranged in a predefined sequence that led to a quantum circuit in order to solve a particular problem. What if the sequence of quantum gates is known but both the problem to be…
Understanding stochastic thermodynamics of active Brownian particles (ABPs) system has been an important topic in very recent years. In this article we study a general model of active Brownian particle systems by introducing a…
We investigate beyond-mean-field dynamics in a fully connected $\mathrm{SU}(3)$ spin-exchange model, focusing on the interplay between chaotic dynamics and quantum fluctuations. Using the two-particle irreducible (2PI) effective action…