Related papers: Quantum diffusion of prices and profits
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…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets.…
Quantum walks are known to propagate quadratically faster than their classical counterparts and are used to model dynamics in various quantum systems. The spread of the quantum walk in position space shows anomalous diffusion behavior. By…
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local volatility models are necessary using observable market data.…
The measurement problem of quantum mechanics concerns the question under which circumstances coherent wave evolution becomes disrupted to produce eigenstates of observables, instead of evolving superpositions of eigenstates. The problem…
Complex numbers are basic. An inconsistency would question Wigner's unreasonable effectiveness of mathematics. A vehicle to study this question is Kirchoff's scalar diffraction theory. In the paper, an inconsistency in complex phase angle…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e.g. a fire sale in systemic risk, and can be viewed as a…
We propose a new approach to quantize the marginals of the discrete Euler diffusion process. The method is built recursively and involves the conditional distribution of the marginals of the discrete Euler process. Analytically, the method…
This research proposes a model for the intraday variation between the ETHBTC spot and the quotient of ETHUSDT and BTCUSDT traded on Binance. Under conditions of no-arbitrage, perfect accuracy and no microstructure effects, the variation…
We show that quantum-interference phenomena can be realized for the dissipative nonlinear systems exhibiting hysteresis-cycle behavior and quantum chaos. Such results are obtained for a driven dissipative nonlinear oscillator with…
The integral Wigner - Liouwille equation describing time evolution of the semi-relativistic quantum 1D harmonic oscillator have been exactly solved by combination of the Monte-Carlo procedure and molecular dynamics methods. The strong…
In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs.…
This paper proposes an interpretation of quantum mechanics, relying on the time-symmetric stochastic dynamics of quantum particles and on non-classical probability theory. Our main purpose is to demonstrate that the wave function and its…
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We study the dynamics of a Bose-Einstein condensate in a one-dimensional optical lattice in the limit of weak atom-atom interactions, including an approximate model for quantum fluctuations. A pulsating dynamical instability in which atoms…
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…