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Stock markets and quantum dynamics: A second quantized description
Fabio Bagarellosubject
Physics::Physics and SocietyStatistics and ProbabilitySecond quantizationComputer Science::Computer Science and Game TheoryQuantitative Finance - Trading and Market MicrostructureQuantum dynamicQuantum dynamicsTime evolutionObservableStock marketsFixed pointCondensed Matter PhysicsSecond quantizationTrading and Market Microstructure (q-fin.TR)FOS: Economics and businessComputer Science::Multiagent SystemsComputer Science::Computational Engineering Finance and SciencePortfolioStatistical physicsSettore MAT/07 - Fisica MatematicaMathematical economicsStock (geology)Mathematicsdescription
In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2009-04-21 | Physica A: Statistical Mechanics and its Applications |