相关论文: Toward Quantum Behavioral Finances: Bohmian Approa…

Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian…

We describe human-subject laboratory experiments on probabilistic auctions based on previously proposed auction protocols involving the simulated manipulation and communication of quantum states. These auctions are probabilistic in…

In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…

Although several models have been proposed towards assisting machine learning (ML) tasks with quantum computers, a direct comparison of the expressive power and efficiency of classical versus quantum models for datasets originating from…

We show that the dynamics of a quantum system can be represented by the dynamics of an underlying classical systems obeying the Hamilton equations of motion. This is achieved by transforming the phase space of dimension $2n$ into a Hilbert…

The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that this inner conditional expectation solves an SPDE (a…

The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…

We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…

A precise interpretation of the Universe wave function is forbidden in the spirit of the Copenhagen School since a precise notion of measure operation cannot be satisfactorily defined. Here we propose a Bohmian interpretation of the…

The prediction of arrival time or first passage time statistics of a quantum particle is an open problem, which challenges the foundations of quantum theory. One of the most promising and insightful approaches to this problem stems from the…

We continue the analysis of quantum-like description of market phenomena and economics. We show that it is possible to define a risk inclination operator acting in some Hilbert space that has a lot of common with quantum description of the…

We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…

Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…

The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary…

A nonparametric Bayesian approach is developed to determine quantum potentials from empirical data for quantum systems at finite temperature. The approach combines the likelihood model of quantum mechanics with a priori information over…

This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to understand the interactions of the different aspects within…

In recent years, there have been a lot of sharp changes in the oil price. These rapid changes cause the traditional models to fail in predicting the price behavior. The main reason for the failure of the traditional models is that they…

A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…

This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…