Related papers: Quantum Brownian motion model for the stock market
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…
We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier's work on its applications to the financial market and finally its rigorous and concretized…
We present a detailed study of a simple quantum stochastic process, the quantum phase space Brownian motion, which we obtain as the Markovian limit of a simple model of open quantum system. We show that this physical description of the…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent…
We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (price). A more general description including cases when we…
A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furthermore, a theoretical framework parallel to molecular kinetic…
Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and…
We analytically describe the decay to equilibrium of generic observables of a non-integrable system after a perturbation in the form of a random matrix. We further obtain an analytic form for the time-averaged fluctuations of an observable…
Quantum theory provides a comprehensive framework for quantifying uncertainty, often applied in quantum finance to explore the stochastic nature of asset returns. This perspective likens returns to microscopic particle motion, governed by…
We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In our model, chartists are permanently active in the stock market, while fundamentalists trade only when their…
A particle subjected to a fluctuating force originated from its interaction with an external quantum system undergoes quantum Brownian motion. This phenomenon is investigated in detail for the case of a particle confined by a harmonic…
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…
Writing the article-Time independent pricing of options in range bound markets; the question in the title came naturally to my mind. It is stated, in the above article, that in certain market conditions the stock price is subjected to an…
We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…
Surprisingly the looking natural random walk leading to Brownian motion occurs to be often biased in a very subtle way: usually refers to only approximate fulfillment of thermodynamical principles like maximizing uncertainty. Recently, a…
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…
Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution…
This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to understand the interactions of the different aspects within…