Related papers: Quantum Brownian motion model for the stock market
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be…
For the standard Quantum Brownian Motion (QBM) model, we point out the occurrence of simultaneous (parallel), mutually irreducible and autonomous decoherence processes. Besides the standard, one Brownian particle, we show there is at least…
Are Markovian master equations for quantum Brownian motion independent of model assumptions used in the derivation and, thus, universal? With the aim of answering this question, we use a random band-matrix model for the system-bath…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Quantum Brownian motion model is a typical model in the study of nonequilibrium quantum thermodynamics. Entropy is one of the most fundamental physical concepts in thermodynamics. In this work, by solving the quantum Langevin equation, we…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for…
It is shown that the exact dynamics of a composite quantum system can be represented through a pair of product states which evolve according to a Markovian random jump process. This representation is used to design a general Monte Carlo…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise H\"older exponents (PHE) based on a new localized generalized quadratic variation…
We study the movement of the living organism in a band form towards the presence of chemical substrates based on a system of partial differential evolution equations. We incorporate Einstein's method of Brownian motion to deduce the…
Quantum computing is poised to transform the financial industry, yet its advantages over traditional methods have not been evidenced. As this technology rapidly evolves, benchmarking is essential to fairly evaluate and compare different…
We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fractional Brownian motion and related processes, and, in…
We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets. We model the order book dynamics as a motion of particles and define the momentum measure of the system as a way to…
Stochastic Schr{\"o}dinger equations for quantum trajectories offer an alternative and sometimes superior approach to the study of open quantum system dynamics. Here we show that recently established convolutionless non-Markovian stochastic…