Related papers: Quantum Brownian oscillator for the stock market
With this work we elaborate on the physics of quantum noise in thermal equilibrium and in stationary non-equilibrium. Starting out from the celebrated quantum fluctuation-dissipation theorem we discuss some important consequences that must…
A precise interpretation of the Universe wave function is forbidden in the spirit of the Copenhagen School since a precise notion of measure operation cannot be satisfactorily defined. Here we propose a Bohmian interpretation of the…
A study of the non-dissipative Brownian motion in vacuum is presented. The noise source associated to the stochastic process assumed in this work is vacuum fluctuations of some quantum field capable of interact with a massive particle. For…
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…
We show that Wigner-Leggett-Caldeira equation for Wigner phase space distribution function which describes the quantum Brownian motion of a particle in a force field in a high temerature, Ohmic environment can be identified as a…
We present a self contained formalism modelled after the Brownian motion of a quantum harmonic oscillator for describing the performance of microscopic Brownian heat engines like Carnot, Stirling and Otto engines. Our theory, besides…
Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…
We review the quantum version of the linear Boltzmann equation, which describes in a non-perturbative fashion, by means of scattering theory, how the quantum motion of a single test particle is affected by collisions with an ideal…
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism.…
We show a completely analytical approach to the decoherence induced by a zero temperature environment on a Brownian test particle. We consider an Omhic environment bilinearly coupled to an oscillator and compute the master equation. From…
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…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…
The quantum thermodynamic behavior of small systems is investigated in presence of finite quantum dissipation. We consider the archetype cases of a damped harmonic oscillator and a free quantum Brownian particle. A main finding is that…
We consider a linear Boltzmann equation that arises in a model for quantum friction. It describes a particle that is slowed down by the emission of bosons. We study the stochastic process generated by this Boltzmann equation and we show…
We present a theory for the dynamical evolution of a quantum system coupled to a complex many-body intrinsic system/environment. By modelling the intrinsic many-body system with parametric random matrices, we study the types of effective…
Classical-like formulas are given in order to evaluate thermal averages of observables belonging to a quantum nonlinear system with dissipation described by the Caldeira-Leggett model [Phys. Rev. Lett. 46, 211 (1981); Ann. Phys. (N.Y.) 149,…
A new Quantum Monte-Carlo (QMC) approach is proposed to investigate low-lying states of nuclei within the shell model. The formalism relies on a variational symmetry-restored wave-function to guide the underlying Brownian motion. Sign/phase…
We investigate a mean-field approach to a quantum brownian particle interacting with a quantum thermal bath at temperature $T$, and subjected to a non-linear potential. An exact, partially classical description of quantum brownian motion is…
We study the Caldeira-Leggett model where a quantum Brownian particle interacts with an environment or a bath consisting of a collection of harmonic oscillators in the path integral formalism. Compared to the contours that the paths take in…
We apply the displaced-oscillator variational ansatz to the Caldeira-Leggett model for a quantum particle in a one-dimensional box described by a tight-binding chain. We focus on the case of an Ohmic environment and study the phase diagram…