相关论文: Stock Mechanics: a classical approach

This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…

We generalize the momentum indicator idea taking into account the volume of transactions as a multiplicative factor. We compare returns obtained following strategies based on the classical or the generalized technical analysis, taking into…

With technological advancements and the exponential growth of data, we have been unfolding different capabilities of neural networks in different sectors. In this paper, I have tried to use a specific type of Neural Network known as…

We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock…

This paper will analyze and implement a time series dynamic neural network to predict daily closing stock prices. Neural networks possess unsurpassed abilities in identifying underlying patterns in chaotic, non-linear, and seemingly random…

We propose in this paper to consider the stock market as a physical system assimilate to a fluid evolving in a macroscopic space subject to a Force that influences its movement over time where this last is arising from the collision between…

We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…

We describe a scheme for constructing quantum mechanics in which a quantum system is considered as a collection of open classical subsystems. This allows using the formal classical logic and classical probability theory in quantum…

Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…

In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be…

Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio…

We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…

When compared to quantum mechanics, classical mechanics is often depicted in a specific metaphysical flavour: spatio-temporal realism or a Newtonian "background" is presented as an intrinsic fundamental classical presumption. However, the…

A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…

In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension. By introducing dimensional jumps in the market, as well as jumps in stock capitalization between the dimensional jumps,…

We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…

Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation,…

Quantum dynamics can be regarded as a generalization of classical finite-state dynamics. This is a familiar viewpoint for workers in quantum computation, which encompasses classical computation as a special case. Here this viewpoint is…

The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…

Mathematical methods of analysis of data and of predicting growth are discussed. The starting point is the analysis of the growth rates, which can be expressed as a function of time or as a function of the size of the growing entity.…