Related papers: Modelling Financial Market Imperfection Using Open…
The concept of time mostly plays a subordinate role in finance and economics. The assumption is that time flows continuously and that time series data should be analyzed at regular, equidistant intervals. Nonetheless, already nearly 60…
We present a model of discrete quantum evolution based on quantum correlations between the evolving system and a reference quantum clock system. A quantum circuit for the model is provided, which in the case of a constant Hamiltonian is…
Entropy, and its temporal evolution, play a central role in the foundations of quantum theory and in modern quantum technologies. Here we study, in particular, the relations between the --- in general, non-Markovian --- evolution of an open…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
This paper investigates a new formalism to describe real time evolution of quantum systems at finite temperature. A time correlation function among subsystems will be derived which allows for a probabilistic interpretation. Our derivation…
The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
We investigate quantum effects in the evolution of general systems. For studying such temporal quantum phenomena, it is paramount to have a rigorous concept and profound understanding of the classical dynamics in such a system in the first…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
A possible mechanism of time is formulated by developing an idea of time replaced by quantum correlations, with the aid of modern quantum information theory. We invent a microscopic model, where correlations of a closed system are steadily…
We study the influence of the preparation of an open quantum system on its reduced time evolution. In contrast to the frequently considered case of an initial preparation where the total density matrix factorizes into a product of a system…
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…
For a quantum system undergoing non-Markovian open quantum dynamics, we demonstrate a tomography algorithm based on multi-time measurements of the system, which reconstructs a minimal environment coupled to the system, such that the system…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
Dynamical maps describe general transformations of the state of a physical system, and their iteration can be interpreted as generating a discrete time evolution. Prime examples include classical nonlinear systems undergoing transitions to…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…