相关论文: Toward Quantum Behavioral Finances: Bohmian Approa…
The aim of this study is to devise numerical methods for dealing with very high-dimensional Bermudan-style derivatives. For such problems, we quickly see that we can at best hope for price bounds, and we can only use a simulation approach.…
Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Brownian motion has played the key role as in physics. In our…
We develop a general formulation of quantum statistical mechanics in terms of probability currents that satisfy continuity equations in the multi-particle position space, for closed and open systems with a fixed number of particles. The…
We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Bohmian mechanics, widely known within the field of the quantum foundations, has been a quite useful resource for computational and interpretive purposes in a wide variety of practical problems. Here, it is used to establish a comparative…
At non-zero temperature classical systems exhibit statistical fluctuations of thermodynamic quantities arising from the variation of the system's initial conditions and its interaction with the environment. The fluctuating work, for…
In two previous papers the author developed a second-order price adjustment (t\^atonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate three results: a analogue to physical…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
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)…
In this paper a thermodynamical derivation of the quantum potential is pro- posed. Within the framework of Bohmian mechanics we show how the quantum potential can be derived, by adding an additional informational degree of freedom to the…
Bohmian mechanics was designed to give rise to predictions identical to those derived by standard quantum mechanics, while invoking a specific interpretation of it - one which allows the classical notion of a particle to be maintained…
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…
This paper presents a novel approach to predicting stock prices using technical analysis. By utilizing Ito's lemma and Euler-Maruyama methods, the researchers develop Heston and Geometric Brownian Motion models that take into account…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure,…
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible…
The quest of this work is to present discussions of some fundamental questions of economics in the era of quantum technology, which require a treatment different from economics studied thus far in the literature. A study of quantum economic…
In the paper, the pricing of Quanto options is studied, where the underlying foreign asset and the exchange rate are correlated with each other. Firstly, we adopt Bayesian methods to estimate unknown parameters entering the pricing formula…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…