Related papers: Modelling Financial Market Imperfection Using Open…
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…
The origin and nature of time in complex systems is explored using quantum (or 'Feynman') clocks and the signals produced by them. Networks of these clocks provide the basis for the evolution of complex systems. The general concept of…
Complex systems are sometimes subject to non Gaussian alpha stable Levy fluctuations. A new method is devised to estimate this uncertain parameter and other system parameters, using observations on either mean exit time or escape…
Speculative trading can drive pronounced market instabilities, yet existing regulatory and macroprudential tools intervene only after such dynamics emerge. Quantum technologies offer a fundamentally new means of shaping economic behavior by…
We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such extension to be possible.
The time development of equal-time correlation functions in quantum mechanics and quantum field theory is described by an exact evolution equation for generating functionals. This permits a comparison between classical and quantum evolution…
Open quantum systems are a topic of intense theoretical research. The use of master equations to model a system's evolution subject to an interaction with an external environment is one of the most successful theoretical paradigms. General…
Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
The conceptual setting of quantum mechanics is subject to an ongoing debate from its beginnings until now. The consequences of the apparent differences between quantum statistics and classical statistics range from the philosophical…
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of…
We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach to market prediction - in particular, forecasting financial…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
In the time-dependent simulation of pure states dealing with transport in open quantum systems, the initial state is located outside of the active region of interest. Using the superposition principle and the analytical knowledge of the…
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
The dynamics of open quantum systems (i.e., of quantum systems interacting with an uncontrolled environment) forms the basis of numerous active areas of research from quantum thermodynamics to quantum computing. One approach to modeling…