Related papers: A Quantum Approach to Stock Price Fluctuations
Recently a model of metric fluctuations has been proposed which yields an effective Schr\"odinger equation for a quantum particle with a modified inertial mass, leading to a violation of the weak equivalence principle. The renormalization…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
In this paper we expand our previous investigation of a quantum particle subject to the action of a random potential plus a fixed harmonic potential at a finite temperature T. In the classical limit the system reduces to a well-known…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We show that a quantum state may be represented as the sum of a joint probability and a complex quantum modification term. The joint probability and the modification term can both be observed in successive projective measurements. The…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
We reconsider the problem of the interpretation of the Quantum Theory (QT) in the perspective of the entire universe and of Bphr idea that the classical language is the language of our experience and QT acquires a meaning only with a…
This paper proposes a governing equation for stock market indexes that accounts for non-stationary effects. This is a linear Fokker-Planck equation (FPE) that describes the time evolution of the probability distribution function (PDF) of…
Special relativity combined with the stochastic vacuum flux impact model lead to an explicit interpretation of many of the phenomena of elementary quantum mechanics. We examine characteristics of a repetitively impacted submicroscopic…
We derive the fluctuation theorem for quantum-state statistics that can be obtained when we initially measure the total energy of a quantum system at thermal equilibrium, let the system evolve unitarily, and record the quantum-state data…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
We consider $N$ non-interacting fermions performing continuous-time quantum walks on a one-dimensional lattice. The system is launched from a most compact configuration where the fermions occupy neighboring sites. We calculate exactly the…
We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a…
Decay law of a complicated unstable state formed in a high energy collision is described by the Fourier transform of the two-point correlation function of the scattering matrix. Although each constituent resonance state decays exponentially…
We establish the general framework of quantum fluctuation theorems by finding the symmetry between the forward and backward transitions of any given quantum channel. The Petz recovery map is adopted as the reverse quantum channel, and the…
We introduce a weighed scalar average formalism ("q-average") for the study of the theoretical properties and the dynamics of spherically symmetric Lemaitre-Tolman-Bondi (LTB) dust models models. The "q-scalars" that emerge by applying the…