Related papers: Hamiltonian in Financial Markets
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
This paper shows that Hamiltonians and operators can also be put to good use even in contexts which are not purely physics based. Consider the world of finance. The work presented here {models a two traders system with information exchange…
The dynamics of the spin-boson Hamiltonian is considered in the stochastic approximation. The Hamiltonian describes a two-level system coupled to an environment and is widely used in physics, chemistry and the theory of quantum measurement.…
We develop a method to estimate the spin-spin interactions in the Hamiltonian from the observed magnetization curve by machine learning based on Bayesian inference. In our method, plausible spin-spin interactions are determined by…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Hamiltonian mechanics describes the evolution of a system through its Hamiltonian. The Hamiltonian typically also represents the energy observable, a Noether-conserved quantity associated with the time-invariance of the law of evolution. In…
Hamiltonian systems are differential equations which describe systems in classical mechanics, plasma physics, and sampling problems. They exhibit many structural properties, such as a lack of attractors and the presence of conservation…
In systems where one coordinate undergoes periodic oscillation, the net displacement in any other coordinate over a single period is shown to be given by differentiation of the action integral associated with the oscillating coordinate.…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
A Hamiltonian dynamics is defined for the XY model by adding a kinetic energy term. Thermodynamical properties (total energy, magnetization, vorticity) derived from microcanonical simulations of this model are found to be in agreement with…
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…
Recent numerical advances in the field of strongly correlated electron systems allow the calculation of the entanglement spectrum and entropies for interacting fermionic systems. An explicit determination of the entanglement (modular)…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
Recently, there has been an increasing interest in modelling and computation of physical systems with neural networks. Hamiltonian systems are an elegant and compact formalism in classical mechanics, where the dynamics is fully determined…