Related papers: Quantum model for price forecasting in financial m…
In this paper, we propose a minimal model beyond geometric Brownian motion that aims to describe price actions with market inefficiency. From simple financial theory considerations, we arrive at a simple two-variable hidden Markovian time…
On the basis of extensive numerical studies it is argued that there are strong analogies between the probabilistic behavior of quantum systems defined by Hermitian Hamiltonians and the deterministic behavior of classical mechanical systems…
Comprehensive and physically consistent model of a tossed coin is presented in terms of geometric algebra. The model clearly shows that there is nothing elementary particle specific in the half-spin quantum mechanical formalism. It also…
An extension of the Born rule, the {\it quantum typicality rule}, has recently been proposed [B. Galvan: Found. Phys. 37, 1540-1562 (2007)]. Roughly speaking, this rule states that if the wave function of a particle is split into…
Financial models based on the Wick product, and White Noise formalism have previously been suggested in order to incorporate integrals with respect to fractional Brownian motion. It has also been pointed out that this leads naturally to a…
A nonlinear wave alternative for the standard Black-Scholes option-pricing model is presented. The adaptive-wave model, representing 'controlled Brownian behavior' of financial markets, is formally defined by adaptive nonlinear…
The approximate representation of a quantum solid as an equivalent composite semi-classical solid is considered for insulating materials. The composite is comprised of point ions moving on a potential energy surface. In the classical bulk…
Accurate and efficient pricing of multi-asset basket options poses a significant challenge, especially when dealing with complex real-world data. In this work, we investigate the role of quantum-enhanced uncertainty modeling in financial…
Quantum particles can be obtained from a classical probability distribution in phase space by a suitable coarse graining, whereby simultaneous classical information about position and momentum can be lost. For a suitable time evolution of…
A quantum computing circuit is presented that approximates a single spin wave quantum on a linear chain of spin 1/2 particles described by a Heisenberg Hamiltonian. The circuit is a product state where each qubit represents a spin. The spin…
The transport of ultra-cold atoms in magneto-optical potentials provides a clean setting in which to investigate the distinct predictions of classical versus quantum dynamics for a system with coupled degrees of freedom. In this system,…
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from…
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…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our…
The quantum motion of nuclei, generally ignored in sliding friction, can become important for an atom, ion, or light molecule sliding in an optical lattice. The density-matrix-calculated evolution of a quantum Prandtl-Tomlinson model,…
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…
We compare the classical and quantum mechanical position-space probability densities for a particle in an asymmetric infinite well. In an idealized system with a discontinuous step in the middle of the well, the classical and quantum…
Conditions under which a quantum particle is described using classical quantities are studied. The one-dimensional (1D) and three-dimensional (3D) problems are considered. It is shown that the sum of the contributions from all quantum…
Financial derivatives are contracts that can have a complex payoff dependent upon underlying benchmark assets. In this work, we present a quantum algorithm for the Monte Carlo pricing of financial derivatives. We show how the relevant…