Related papers: Modelling Financial Market Imperfection Using Open…
Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
It is argued that in the description of macroscopic systems inside quantum mechanics the study of the dynamics of selected degrees of freedom slowly varying on a suitable time scale, corresponding to relevant observables for the given…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
We study the behavior of an open quantum system, with an $N$--dimensional space of states, whose density matrix evolves according to a non--unitary map defined in two steps: A unitary step, where the system evolves with an evolution…
Efficiency of time-evolution of quantum observables, and thermal states of quenched hamiltonians, is studied using time-dependent density matrix renormalization group method in a family of generic quantum spin chains which undergo a…
Generic open quantum systems are notoriously difficult to simulate unless one looks at specific regimes. In contrast, classical dissipative systems can often be effectively described by stochastic processes, which are generally less…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…
A model quantum cosmology is used to illustrate how arrows of time emerge in a universe governed by a time-neutral dynamical theory constrained by time asymmetric initial and final boundary conditions represented by initial and final…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
The descriptions of the quantum realm and the macroscopic classical world differ significantly not only in their mathematical formulations but also in their foundational concepts and philosophical consequences. When and how physical systems…
In this paper we continue our descriptions of stock markets in terms of some non abelian operators which are used to describe the portfolio of the various traders and other {\em observable} quantities. After a first prototype model with…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and…