| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482148 | Physica A: Statistical Mechanics and its Applications | 2012 | 14 Pages |
Abstract
⺠Development of a microscopic model for financial market time series. ⺠The no-arbitrage principle is implemented by a quantum gauge field theory. ⺠The numerical simulation leads to a self-organizing critical system. ⺠Realistic market dynamics indistinguishable from GARCH modeling emerge.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
B. Dupoyet, H.R. Fiebig, D.P. Musgrove,