Related papers: A Quantum Approach to Stock Price Fluctuations
Escort mean values (or $q$-moments) constitute useful theoretical tools for describing basic features of some probability densities such as those which asymptotically decay like {\it power laws}. They naturally appear in the study of many…
A unified conceptual foundation of classical and quantum physics is given, free of undefined terms. Ensembles are defined by extending the `probability via expectation' approach of Whittle to noncommuting quantities. This approach carries…
We prove a theorem showing that quantum mechanics is not directly a stochastic process characterizing Brownian motion but rather its square root. This implies that a complex-valued stochastic process is involved. Schr\"odinger equation is…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
Consider a statistical model with an epistemic restriction such that, unlike in classical mechanics, the allowed distribution of positions is fundamentally restricted by the form of an underlying momentum field. Assume an agent (observer)…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
Stochastic models for quantum state reduction give rise to statistical laws that are in most respects in agreement with those of quantum measurement theory. Here we examine the correspondence of the two theories in detail, making a…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
The local density of states or its Fourier transform, usually called fidelity amplitude, are important measures of quantum irreversibility due to imperfect evolution. In this Rapid Communication we study both quantities in a paradigmatic…
Indeterminacy associated with probing of a quantum state is commonly expressed through spectral distances (metric) featured in the outcomes of repeated experiments. Here we express it as an effective amount (measure) of distinct outcomes…
It is shown, by considering the case of the harmonic oscillator, that quantum fluctuations may be the most significant contribution to the random walk of a single molecule. From this point, the controversy on the existence of a standard…
A Fluctuation Theorem (FT), both Classical and Quantum, describes the large-deviations in the approach to equilibrium of an isolated quasi-integrable system. Two characteristics make it unusual: (i) it concerns the internal dynamics of an…
Quantum mechanics predicts correlation between spacelike separated events which is widely argued to violate the principle of Local Causality. By contrast, here we shall show that the Schr\"odinger equation with Born's statistical…
There is a well-known analogy between statistical and quantum mechanics. In statistical mechanics, Boltzmann realized that the probability for a system in thermal equilibrium to occupy a given state is proportional to exp(-E/kT) where E is…
We explore whether quantum field theory can be understood as the statistical mechanics of a time-reversal-invariant stochastic generalization of Hamiltonian dynamics. The motivation for this project, started with this paper, is to assign…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
A stochastic model for intermittent fluctuations due to a super-position of uncorrelated Lorentzian pulses is presented. For constant pulse duration, this is shown to result in an exponential power spectral density for the stationary…
The short-time behavior of quantum decay of an unstable state initially located within an interaction region of finite range is investigated using a resonant expansion of the survival amplitude. It is shown that in general the short-time…
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the prices are driven by a Geometric…