Related papers: Quantum model for price forecasting in financial m…
We study models of regulatory breakup, in the spirit of Strong and Fouque [Ann. Finance 7 (2011) 349-374] but with a fluctuating number of companies. An important class of market models is based on systems of competing Brownian particles:…
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…
The quantum analog of the joint probability distributions describing a classical stochastic process is introduced. A prescription is given for constructing the quantum distribution associated with a sequence of measurements. For the case of…
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…
This work discusses simple examples how quantum systems are obtained as subsystems of classical statistical systems. For a single qubit with arbitrary Hamiltonian and for the quantum particle in a harmonic potential we provide explicitly…
Over the past two decades, some scholars have noticed the correlation between quantum mechanics and finance/economy, making some novel attempts to introduce the theoretical framework of quantum mechanics into financial and economic…
Algorithmic approach is based on the assumption that any quantum evolution of many particle system can be simulated on a classical computer with the polynomial time and memory cost. Algorithms play the central role here but not the…
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 show that the quantum wavefunction, interpreted as the probability density of finding a single non-localized quantum particle, which evolves according to classical laws of motion, is an intermediate description of a material quantum…
Financial markets have long since been modeled using stochastic methods such as Brownian motion, and more recently, rough volatility models have been built using fractional Brownian motion. This fractional aspect brings memory into the…
Modeling financial data often relies on assumptions that may prove insufficient or unrealistic in practice. The Geometric Brownian Motion (GBM) model is frequently employed to represent stock price processes. This study investigates whether…
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…
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…
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion. Here we study its use as the main driver for price fluctuations,…
Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…
The probability distribution function (PDF) for prices on financial markets is derived by extremization of Fisher information. It is shown how on that basis the quantum-like description for financial markets arises and different financial…
In physics, one is often misled in thinking that the mathematical model of a system is part of or is that system itself. Think of expressions commonly used in physics like "point" particle, motion "on the line", "smooth" observables, wave…
The dynamics of a Brownian particle in a constant magnetic field and time-dependent electric field is studied in the limit of white noise, using a Langevin approach for the classical problem and the path-integral Feynman-Vernon and…
Traditional economic growth theories, grounded in deterministic and often linear frameworks, fail to adequately capture the inherent uncertainty, non-commutativity, and complex interdependencies of modern economies. This paper proposes a…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with…