Non-classical oscillator model for persistent fluctuations in stock markets

C. Ye and J.P. Huang

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 5, 1255-1263

Abstract: Since Frisch’s classical damping oscillator model has failed to explain persistent economic fluctuations very satisfactorily, we suggest a non-classical oscillator model based on Quantum Mechanics, in an attempt to explain such fluctuations in stock markets. This is based on the assumption that the value could be a wave packet which decides the probability of each price since the same stock has a price range rather than a fixed price at different times. In this case, the market is treated as an apparatus that can measure the value and produce a price as a result. Then, we apply the numerical simulation results to qualitatively explain persistent fluctuations in stock markets.

Keywords: Fluctuation; Stock markets; Quantum harmonic oscillation; Attenuation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:5:p:1255-1263

DOI: 10.1016/j.physa.2007.10.050

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