Related papers: A Quantum Approach to Stock Price Fluctuations
We present a theoretical analysis of quantum decay in which the survival probability is replaced by a decay rate that is equal to the absolute value squared of the wave function in the time representation. The wave function in the time…
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns…
In this paper we develop the topics of Quantum Recurrences and of Quantum Fidelity which have attracted great interest in recent years. The return probability is given by the square modulus of the overlap between a given initial wavepacket…
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 compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
Quantum-classical correspondence for the average shape of eigenfunctions and the local spectral density of states are well-known facts. In this paper, the fluctuations that quantum mechanical wave functions present around the classical…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We study the decrease of fluctuations of diagonal matrix elements of observables and of Husimi densities of quantum mechanical wave functions around their mean value upon approaching the semi-classical regime ($\hbar \rightarrow 0$). The…
Quantum theory is formulated as the only consistent way to manipulate probability amplitudes. The crucial ingredient is a consistency constraint: if there are two different ways to compute an amplitude the two answers must agree. This…
We describe -- in a didactical and detailed way -- the so-called Lee model (which shares similarities with the Jaynes-Cummings and Friedrichs models) as a tool to study unstable quantum states/particles. This Lee model is based on Quantum…
This study discusses the quantum behavior of a particle, which is controlled by fluctuations in the physical space-time (ST) variables, rather than provides a novel interpretation of quantum theory. The fluctuations, i.e., inhomogeneities…
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…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
The coefficient of restitution of a spherical particle in contact with a flat plate is investigated as a function of the impact velocity. As an experimental observation we notice non-trivial (non-Gaussian) fluctuations of the measured…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
The Generalized Lotka Voltera (GLV) formalism has been introduced in order to explain the power law distributions in the individual wealth (w_i (t)) (Pareto law) and financial markets returns (fluctuations) (r) as a result of the…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $\tau$ between volume volatilities above a given threshold q. For different…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…