相关论文: Quantum Brownian oscillator for the stock market
Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution…
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential…
To remedy the failure of minimal coupling method in describing the quantum dynamics of two localized Brownian oscillators interacting with a common medium, a scheme is introduced to modeling the medium by a continuum of complex scalar…
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…
We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier's work on its applications to the financial market and finally its rigorous and concretized…
Fluctuation and dissipation are by-products of coupling to the `environment.' The Caldeira-Leggett model, a successful paradigm of quantum Brownian motion, views the environment as a collection of harmonic oscillators linearly coupled to…
We try to clarify what are the genuine quantal effects that are associated with generalized Brownian Motion (BM). All the quantal effects that are associated with the Zwanzig-Feynman-Vernon-Caldeira-Leggett model are (formally) a solution…
We revisit the model of a system made up of a Brownian quantum oscillator under the influence of an external classical force and linearly coupled to an environment made up of many quantum oscillators at zero or finite temperature. We show…
The two-time correlation function of the displacement of a free quantum Brownian particle with respect to its position at a given time is calculated analytically in the framework of the Caldeira and Leggett ohmic dissipation model (linear…
The Brownian motion of a test particle interacting with a quantum scalar field in the presence of a perfectly reflecting boundary is studied in (1 + 1)-dimensional flat spacetime. Particularly, the expressions for dispersions in velocity…
Quantum Brownian motion in the strong friction limit is studied based on the exact path integral formulation of dissipative systems. In this limit the time-nonlocal reduced dynamics can be cast into an effective equation of motion, the…
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…
We examine spectral equilibration of quantum chaotic spectra to universal statistics, in the context of the Brownian motion model. Two competing time scales, proportional and inversely proportional to the classical relaxation time, jointly…
When analyzing the particle-like excitations in quantum field theory it is natural to regard the field mode corresponding to the particle momentum as an open quantum system, together with the opposite momentum mode. Provided that the state…
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…
Dynamical aspects of quantum Brownian motion in a low temperature environment are investigated. We give a systematic calculation of quantum entanglement among two Brownian oscillators without invoking Born-Markov approximation widely used…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
We propose a Langevin equation to describe the quantum Brownian motion of bounded particles based on a distinctive formulation concerning both the fluctuation and dissipation forces. The fluctuation force is similar to that employed in the…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…
The dynamical behavior for a quantum Brownian particle is investigated under a random potential of the fractional iterative map on a one-dimensional lattice. For our case, the quantum expectation values can be obtained numerically from the…