Related papers: Modelling Financial Market Imperfection Using Open…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
Each scheme of state reconstruction comes down to parametrize the state of a quantum system by expectation values or probabilities directly measurable in an experiment. It is argued that the time evolution of these quantities provides an…
I consider a quantum system that possesses key features of quantum shape dynamics and show that the evolution of wave-packets will become increasingly classical at late times and tend to evolve more and more like an expanding classical…
Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…
"Quantum mechanics must be regarded as open systems. On one hand, this is due to the fact that, like in classical physics, any realistic system is subjected to a coupling to an uncontrollable environment which influences it in a…
Understanding dissipative and decohering processes is fundamental to the study of quantum systems. An accurate and generic method for investigating these processes is to simulate both the system and environment, which, however, is…
All natural things process and transform information. They receive environmental information as input, and transform it into appropriate output responses. Much of science is dedicated to building models of such systems -- algorithmic…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Recent measurements of durations of non-equilibrium processes provide valuable information on microscopic mechanisms and energetics. Comprehensive theory for corresponding experiments so far is well developed for single-particle systems…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
Mathematical models are an essential component of quantitative science. They generate predictions about the future, based on information available in the present. In the spirit of Occam's razor, simpler is better; should two models make…
The incoherent dynamical properties of open quantum systems are generically attributed to an ongoing correlation between the system and its environment. Here, we propose a novel way to assess the nature of these system-environment…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters governing the market participants' propensity to change their…
Consider a discrete-time quantum walk on the $N$-cycle subject to decoherence both on the coin and the position degrees of freedom. By examining the evolution of the density matrix of the system, we derive some new conclusions about the…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
The time evolution of correlation functions in statistical systems is described by an exact functional differential equation for the corresponding generating functionals. This allows for a systematic discussion of non-equilibrium physics…
Deriving the time evolution of a distribution of probability (or a probability density matrix) is a problem encountered frequently in a variety of situations: for physical time, it could be a kinetic reaction study, while identifying time…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…