Related papers: A Quantum Approach to Stock Price Fluctuations
The statistical properties of the return intervals $\tau_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks…
We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…
The eigenvalue density of a quantum-mechanical system exhibits oscillations, determined by the closed orbits of the corresponding classical system; this relationship is simple and strong for waves in billiards or on manifolds, but becomes…
We present a simple scheme to evaluate linear response functions including quantum fluctuation corrections on top of the Gutzwiller approximation. The method is derived for a generic multi-band lattice Hamiltonian without any assumption…
This study seeks to advance the understanding and prediction of stock market return uncertainty through the application of advanced deep learning techniques. We introduce a novel deep learning model that utilizes a Gaussian mixture…
We formulate a method for incorporating quantum fluctuations into molecular- dynamics simulations of many-body systems, such as those employed for energetic nuclear collision processes. Based on Fermi's Golden Rule, we allow spontaneous…
A quantum fluctuation theorem for a driven quantum subsystem interacting with its environment is derived based solely on the assumption that its reduced density matrix obeys a closed evolution equation i.e. a quantum master equation (QME).…
The frequency of occurrence of prime numbers at unit number spacing intervals exhibits selfsimilar fractal fluctuations concomitant with inverse power law form for power spectrum generic to dynamical systems in nature such as fluid flows,…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
Quantum experiments yield random data. We show that the most efficient way to store this empirical information by a finite number of bits is by means of the vector of square roots of observed relative frequencies. This vector has the unique…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
Decay laws of moving unstable quantum systems with oscillating decay rates are analyzed over intermediate times. The transformations of the decay laws at rest and of the intermediate times at rest, which are induced by the change of…
The decay of a quasiparticle in an isolated quantum dot is considered. At relatively small time the probability to find the system in the initial state decays exponentially: $P(t)\sim \exp(-\Gamma t)$, in accordance with the golden rule.…
Quantum fluctuations, through quantum corrections, have the potential to lead to irreversibility in quantum field theory. We consider the virtual ``charge" distribution generated by quantum corrections in the leading log, short range…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
Quantum mechanics relates probability of an observable event to the absolute square of the corresponding probability amplitude. It may, therefore, seem that the information about the amplitudes' phases must be irretrievably lost in the…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…
We present a time-dependent Langevin description of dynamics of stock prices. Based on a simple sliding-window algorithm, the fluctuation of stock prices is discussed in the view of a time-dependent linear restoring force which is the…
The relativistic quantum equation is proposed for the complex wave function, which has the meaning of a probability amplitude. The Lagrangian formulation of the proposed theory is developed. The problem of spreading of a wave packet in an…