Related papers: A Quantum Approach to Stock Price Fluctuations
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws…
We present a variation of the well-known binomial model of asset prices. This variation incorporates a bound to short-selling, inspired by a model from Gunduz Caginalp[2]. We formalize this model and prove a formula for all the moments of…
We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S$&$P 500 stock index, which can be described by means of the Fokker-Planck equation. We show that…
We consider the wave equation with uncertain initial data and medium, when the wavelength $\varepsilon$ of the solution is short compared to the distance traveled by the wave. We are interested in the statistics for quantities of interest…
We investigate the probability distribution of the quantum fluctuations of thermodynamic functions of finite, ballistic, phase-coherent Fermi gases. Depending on the chaotic or integrable nature of the underlying classical dynamics, on the…
This paper presents a new, non-Gaussian formulation of stochastic gravity by incorporating the higher moments of the fluctuations of the quantum stress energy tensor for a free quantum scalar field in a consistent way. A scheme is developed…
Information spreads in time. For example, correlations dissipate when the correlated system locally couples to a third party, such as the environment. This simple but important fact forms the known quantum data-processing inequality. Here…
How long does it take a quantum particle to return to its origin? As shown previously under repeated projective measurements aimed to detect the return, the closed cycle yields a geometrical phase which shows that the average first detected…
We pursue the quantum-mechanical challenge to the efficient market hypothesis for the stock market by employing the quantum Brownian motion model. We utilize the quantum Caldeira-Leggett master equation as a possible phenomenological model…
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…
We introduce the quantum Levy walk to study transport and decoherence in a quantum random model. We have derived from second order perturbation theory the quantum master equation for a \textit{Levy-like particle}that moves along a lattice…
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Previous years researchers began to simulate open quantum system, taking into account the interaction between system and the environment. One approach to deal with this problem is to use the density matrix within the Liouville-von-Neumann…
We address the problem of recognizing alpha-stable Levy distribution with Levy index close to 2 from experimental data. We are interested in the case when the sample size of available data is not large, thus the power law asymptotics of the…
We investigate the transition from quantum to classical mechanics using a one-dimensional free particle model. In the classical analysis, we consider the initial positions and velocities of the particle drawn from Gaussian distributions.…
The spectral principle of Connes and Chamseddine is used as a starting point to define a discrete model for Euclidean quantum gravity. Instead of summing over ordinary geometries, we consider the sum over generalized geometries where…
The density of states for a particle moving in a random potential with a Gaussian correlator is calculated exactly using the functional integral technique. It is achieved by expressing the functional degrees of freedom in terms of the…