Related papers: Physics of Finance
This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the…
In this paper we introduce and study some mathematical structures on top of transitive Lie algebroids in order to formulate gauge theories in terms of generalized connections and their curvature: metrics, Hodge star operator and integration…
It is well-known that there exists a close relation between a large $N$ matrix model and noncommutative (NC) field theory: The latter can be naturally obtained from the former by expanding it around a specific background. Because the matrix…
Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio…
The gravity is classically formulated as the geometric curvature of the space-time in general relativity which is completely different from the other well-known physical forces. Since seeking a quantum framework for the gravity is a great…
This article is a review of modern approaches to gravity that treat the gravitational interaction as a type of gauge theory. The purpose of the article is twofold. First, it is written in a colloquial style and is intended to be a…
The aim of this paper is twofold: First, to present an examination of the principles underlying gauge field theories. I shall argue that there are two principles directly connected to the two well-known theorems of Emmy Noether concerning…
"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices…
We propose a general notion of algebraic gauge theory obtained via extracting the main properties of classical gauge theory. Building on a recent work on transferring curved $A_{\infty}$-structures we show that, under certain technical…
Making use of the fibre bundle theory to describe metric-affine gauge theories of gravity we are able to show that metric-affine gauge theory can be reduced to the Riemann-Cartan one. The price we pay for simplifying the geometry is the…
The underlying mathematical structures of gauge theories are known to be geometrical in nature and the local and global features of this geometry have been studied for a long time in mathematics under the name of fibre bundles. It is now…
The $n$-point amplitudes of gauge and gravity theory are given as a series in the coupling. The recursive derivative expansion is used to find all of the coupling coefficients. Initial conditions to any bare Lagrangian, or of an improved…
The gauge theory of arbitrage was introduced by Ilinski in [arXiv:hep-th/9710148] and applied to fast money flows in [arXiv:cond-mat/9902044]. The theory of fast money flow dynamics attempts to model the evolution of currency exchange rates…
A new gauge theory of gravity is presented. The theory is constructed in a flat background spacetime and employs gauge fields to ensure that all relations between physical quantities are independent of the positions and orientations of the…
We consider the evolution of quantum fields on a classical background space-time, formulated in the language of differential geometry. Time evolution along the worldlines of observers is described by parallel transport operators in an…
We demonstrated the analogy between Economics and Gauge Theory of Plasticity and used it to describe the relationship between money supply and inflation at the economic market. The received equations of economical dynamics in phase space…
We propose a conceptually economical and computationally tractable completion of the foundations of gauge theory on quantum principal bundles \`{a} la Brzezi\'{n}ski--Majid to the case of general differential calculi and strong bimodule…
Gravitation theory is formulated as gauge theory on natural bundles with spontaneous symmetry breaking where gauge symmetries are general covariant transformations, gauge fields are general linear connections, and Higgs fields are…
Quantum computers have the potential to provide an advantage for financial pricing problems by the use of quantum estimation. In a broader context, it is reasonable to ask about situations where the market and the assets traded on the…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…