Related papers: Modelling Financial Market Imperfection Using Open…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
The description of an open quantum system's decay almost always requires several approximations as to remain tractable. Here, we first revisit the meaning, domain and seeming contradictions of a few of the most widely used of such…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
Open quantum systems are powerful effective descriptions of quantum systems interacting with their environments. Studying changes of Fock state probabilities can be intricate in this context since the prevailing description of open quantum…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
Quantum systems are invariably open, evolving under surrounding influences rather than in isolation. Standard open quantum system methods eliminate all information on the environmental state to yield a tractable description of the system…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
The concept of space-evolution (or space-time duality) has emerged as a promising approach for studying quantum dynamics. The basic idea involves exchanging the roles of space and time, evolving the system using a space transfer matrix…
In stochastic modeling, the excess entropy -- the mutual information shared between a process's past and future -- represents the fundamental lower bound of the memory needed to simulate its dynamics. However, this bound cannot be saturated…
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…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
The decisions traders make to buy or sell an asset depend on various analyses, with expertise required to identify patterns that can be exploited for profit. In this paper we identify novel features extracted from emergent and…
Using a newly introduced connection between the local and non-local description of open quantum system dynamics, we investigate the relationship between these two characterisations in the case of quantum semi-Markov processes. This class of…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Our knowledge of quantum mechanics can satisfactorily describe simple, microscopic systems, but is yet to explain the macroscopic everyday phenomena we observe. Here we aim to shed some light on the quantum-to-classical transition as seen…
In this work, we combine an established method for open quantum systems -- the time evolving density matrix using orthogonal polynomials algorithm (TEDOPA) -- with the transfer tensors formalism (TTM), a new tool for the analysis,…
We consider the time evolution of nonequilibrium quantum scalar fields in the O(N) model, using the next-to-leading order 1/N expansion of the 2PI effective action. A comparison with exact numerical simulations in 1+1 dimensions in the…
The time dependent density matrix of a system with potential barrier is studied using path integrals. The characterization of the initial state, which is assumed to be restricted to one side of the barrier, and the time evolution of the…
The current generation of noisy intermediate scale quantum computers introduces new opportunities to study quantum many-body systems. In this paper, we show that quantum circuits can provide a dramatically more efficient representation than…
The majority of quantum open system models in the literature are simplistic in the sense that they only explicitly account for that part of the environment that directly interacts with the system of interest. A quantum open system with an…