Related papers: Quantum Brownian oscillator for the stock market
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an…
Simulation of realistic classical mechanical systems is of great importance to many areas of engineering such as robotics, dynamics of rotating machinery and control theory. In this work, we develop quantum algorithms to estimate quantities…
Structures of quantum Fokker-Planck equations are characterized with respect to the properties of complete positivity, covariance under symmetry transformations and satisfaction of equipartition, referring to recent mathematical work on…
The motion of a quantum particle hopping on a simple cubic lattice under the influence of thermal noise and of a static random potential is expected to be diffusive, i.e., the particle is expected to exhibit `quantum Brownian motion', no…
We consider the problem of pricing discretely monitored Asian options over $T$ monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide two quantum algorithms with complexity poly-logarithmic in $T$…
A surprising image of the stock market arises if the price time series of all Dow Jones Industrial Average stock components are represented in one chart at once. The chart evolves into a braid representation of the stock market by taking…
Using the independent oscillator model with an arbitrary system potential, we derive a quantum Brownian equation assuming a correlated total initial state. Although not of Lindblad form, the equation preserves positivity of the density…
A fully quantum treatment of Einstein's Brownian motion is given, showing in particular the role played by the two original requirements of translational invariance and connection between dynamics of the Brownian particle and atomic nature…
A quantum-mechanical version of Einstein's 1905 theory of Brownian motion is presented. Starting from the Hamiltonian dynamics of an isolated composite of objective and environmental systems, subdynamics for the objective system is derived…
We derive a quantum master equation from first principles to describe friction in one dimensional, collisional Brownian motion. We are the first to avoid an ill-defined square of the Dirac delta function by using localized wave packets…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
The escape rate of a Brownian particle over a potential barrier is accurately described by the Kramers theory. A quantitative theory explicitly taking the activity of Brownian particles into account has been lacking due to the inherently…
The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the…
The Caldeira-Leggett model describes a microscopic quantum system, represented by a harmonic oscillator, in interaction with a heat bath, represented by a large number of harmonic oscillators with a range of frequencies. We consider the…
The equation for the quantum motion of a Brownian particle in a gaseous environment is derived by means of S-matrix theory. This quantum version of the linear Boltzmann equation accounts non-perturbatively for the quantum effects of the…
We introduce a non-equilibrium version of the Caldeira-Leggett model in which a quantum particle is strongly coupled to a set of engineered reservoirs. The reservoirs are composed by collections of squeezed and displaced thermal modes, in…
We provide a fully quantum description of a mechanical oscillator in the presence of thermal environmental noise by means of a quantum Langevin formulation based on quantum stochastic calculus. The system dynamics is determined by symmetry…
We revisit the Markov approximation necessary to derive ordinary Brownian motion from a model widely adopted in literature for this specific purpose. We show that this leads to internal inconsistencies, thereby implying that further search…
The motion of a free quantum particle in a thermal environment is usually described by the quantum Langevin equation, where the effect of the bath is encoded through a dissipative and a noise term, related to each other via the fluctuation…
The relativistic quantum mechanic approach is used to develop a stock market dynamics. The relativistic is conceptional here as the meaning of big external volatility or volatility shock on a financial market. We used a differential…