Article ID Journal Published Year Pages File Type
4620731 Journal of Mathematical Analysis and Applications 2008 9 Pages PDF
Abstract

We apply methods of quantum mechanics to mathematical modelling of price dynamics in a financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Our model is a quantum-like model of the financial market, cf. with works of W. Segal, I.E. Segal, E. Haven. In this paper we study the problem of smoothness of price-trajectories in the Bohmian financial model. We show that even the smooth evolution of the financial pilot wave ψ(t,x) (representing expectations of traders) can induce jumps of prices of shares.

Related Topics
Physical Sciences and Engineering Mathematics Analysis