Related papers: Finance from the viewpoint of physics
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical…
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
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…
Econophysics is a science in its infancy, born about ten years ago at this time of writing, at the crossing roads of physics, mathematics, computing and of course economics and finance. It also covers human sciences, because all economics…
This chapter opens with a review of classic tools for regression, a subset of machine learning that seeks to find relationships between variables. With the advent of scientific machine learning this field has moved from a purely data-driven…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
These are the lecture notes for an advanced Ph.D. level course I taught in Spring'02 at the C.N. Yang Institute for Theoretical Physics at Stony Brook. The course primarily focused on an introduction to stochastic calculus and derivative…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…
Within the continuous endeavour of improving the efficiency and resilience of air transport, the trend of using concepts and metrics from statistical physics has recently gained momentum. This scientific discipline, which integrates…
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a…
The paper discusses fundamental problems in mathematical description of social systems based on physical concepts, with so-called statistical social systems being the main subject of consideration. Basic properties of human beings and human…
The Green function (GF) related to the problem of a Dirac particle interacting with a plane wave and constant magnetic fields is calculated in the framework of path integral via Alexandrou et al. formalism according to the so-called global…
Regardless of the gold-standard being considered as outdated, it provides valuable signs concerning the development of novel monetary standards, better adjusted to the current macroeconomic environment. By using a point of view of classical…
Physics is formulated in terms of timeless classical mathematics. A formulation on the basis of intuitionist mathematics, built on time-evolving processes, would offer a perspective that is closer to our experience of physical reality.
We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities. These methods will…