Related papers: Toward Quantum Behavioral Finances: Bohmian Approa…
In recent years, intensive effort has gone into developing numerical tools for exact quantum mechanical calculations that are based on Bohmian mechanics. As part of this effort we have recently developed as alternative formulation of…
It is known from previous work of the authors that non-negative arbitrage free price processes in finance can be described in terms of filtered likelihood processes of statistical experiments and vice versa. The present paper summarizes and…
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…
We explored the potential applications of various Quantum Algorithms for stock price prediction by conducting a series of experimental simulations using both Classical as well as Quantum Hardware. Firstly, we extracted various stock price…
In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and…
The quantum formalism is a ``measurement'' formalism--a phenomenological formalism describing certain macroscopic regularities. We argue that it can be regarded, and best be understood, as arising from Bohmian mechanics, which is what…
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance…
Financial models based on the Wick product, and White Noise formalism have previously been suggested in order to incorporate integrals with respect to fractional Brownian motion. It has also been pointed out that this leads naturally to a…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of ${\bf R}^3,$ whose radius is a function of the risk-free…
Modeling financial data often relies on assumptions that may prove insufficient or unrealistic in practice. The Geometric Brownian Motion (GBM) model is frequently employed to represent stock price processes. This study investigates whether…
Quantum hydrodynamics is a formulation of quantum mechanics based on the probability density and flux (current) density of a quantum system. It can be used to define trajectories which allow for a particle-based interpretation of quantum…
Bohmian trajectories have been used for various purposes, including the numerical simulation of the time-dependent Schroedinger equation and the visualization of time-dependent wave functions. We review the purpose they were invented for:…
Quantum Mechanics is a good example of a successful theory. Most of atomic phenomena are described well by quantum mechanics and cases such as Lamb Shift that are not described by quantum mechanics, are described by quantum electrodynamics.…
We consider a limit order book, where buyers and sellers register to trade a security at specific prices. The largest price buyers on the book are willing to offer is called the market bid price, and the smallest price sellers on the book…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
When pricing options, there may be different views on the instantaneous mean return of the underlying price process. According to Black (1972), where there exist heterogeneous views on the instantaneous mean return, this will result in…
We calculate the time of arrival probability distribution of a quantum particle using the Bohmian formalism. The pilot-wave is given by the wave function of the one dimensional vacuum squeezed state but written in the Schr\"odinger…
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…