Related papers: Modelling Financial Market Imperfection Using Open…

Quantum collision models allow for the dynamics of open quantum systems to be described by breaking the environment into small segments, typically consisting of non-interacting harmonic oscillators or two-level systems. This work introduces…

Time evolution of macroscopic systems is re-examined primarily through further analysis and extension of the equation of motion for the density matrix $\rho(t)$. Because $\rho$ contains both classical and quantum-mechanical probabilities it…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

We introduce a framework to model the evolution of a class of open quantum systems whose environments periodically undergo an instantaneous non-unitary evolution stage. For the special case of quadratic models, we show how this approach can…

We present a method for analyzing general time series by employing the history state formalism of quantum mechanics. This formalism allows us to describe a complete evolution based on a single quantum state, the history state, which…

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…

Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…

We address the decay in open chaotic quantum systems and calculate semiclassical corrections to the classical exponential decay. We confirm random matrix predictions and, going beyond, calculate Ehrenfest time effects. To support our…

The recent crash demonstrated (once again) that the description of the financial market by present financial mathematics cannot be considered as totally satisfactory. We remind that nowadays financial mathematics is heavily based on the use…

As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…

Many-body approaches to open quantum systems have recently become powerful tools for investigating the detailed role of dissipative environments in diverse non-equilibrium molecular and condensed matter processes. Here, we report the…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…

By considering (non-relativistic) quantum mechanics as it is done in practice in particular in condensed-matter physics, it is argued that a deterministic, unitary time evolution within a chosen Hilbert space always has a limited scope,…

We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…

We show that Feynman's Clock construction, in which the time-evolution of a closed quantum system is encoded as a ground state problem, can be extended to open quantum systems. In our formalism, the ground states of an ensemble of…

Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly…

Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…

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…

The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…