کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9728108 1480218 2005 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Quantum diffusion of prices and profits
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Quantum diffusion of prices and profits
چکیده انگلیسی
We discuss the time evolution of quotations of stocks and commodities and show that corrections to the orthodox Bachelier model inspired by quantum mechanical time evolution of particles may be important. Our analysis shows that traders tactics can interfere as waves do and trader's strategies can be reproduced from the corresponding Wigner functions. The proposed interpretation of the chaotic movement of market prices imply that the Bachelier behaviour follows from short-time interference of tactics adopted (paths followed) by the rest of the world considered as a single trader and the Ornstein-Uhlenbeck corrections to the Bachelier model should qualitatively matter only for large time scales. The famous smithonian invisible hand is interpreted as a short-time tactics of whole the market considered as a single opponent. We also propose a solution to the currency preference paradox.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 345, Issues 1–2, 1 January 2005, Pages 185-195
نویسندگان
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