Related papers: Quantum model for price forecasting in financial m…
In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of ${\bf R}^3,$ whose radius is a function of the risk-free…
We discuss the time evolution of quotations of stocks and commodities and show that corrections to the orthodox Bachelier model inspired by quantum mechanical time evolution of particles may be important. Our analysis shows that traders…
Speculative trading can drive pronounced market instabilities, yet existing regulatory and macroprudential tools intervene only after such dynamics emerge. Quantum technologies offer a fundamentally new means of shaping economic behavior by…
I consider a quantum system that possesses key features of quantum shape dynamics and show that the evolution of wave-packets will become increasingly classical at late times and tend to evolve more and more like an expanding classical…
Quantum particles in a potential are described by classical statistical probabilities. We formulate a basic time evolution law for the probability distribution of classical position and momentum such that all known quantum phenomena follow,…
This work presents a selective review of results concerning the mathematical interface between the classical and quantum aspects encountered in problems such as the nuclear mean-field dynamics or quantum Brownian motion. It is shown that…
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…
Financial derivative pricing is a significant challenge in finance, involving the valuation of instruments like options based on underlying assets. While some cases have simple solutions, many require complex classical computational methods…
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…
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around…
Physics is based on probabilities as fundamental entities of a mathematical description. Expectation values of observables are computed according to the classical statistical rule. The overall probability distribution for one world covers…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
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…
The Brownian motion of a light quantum particle in a heavy classical gas is theoretically described and a new expression for the friction coefficient is obtained for arbitrary temperature. At zero temperature it equals to the de Broglie…
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample…
The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…
This paper serves as a bridge between quantum computing and analogical modeling (a general theory for predicting categories of behavior in varying contexts). Since its formulation in the early 1980s, analogical modeling has been…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading…
The dynamical behavior for a quantum Brownian particle is investigated under a random potential of the fractional iterative map on a one-dimensional lattice. For our case, the quantum expectation values can be obtained numerically from the…