Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets

B. Dupoyet, H.R. Fiebig and D.P. Musgrove

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 1, 107-116

Abstract: We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index.

Keywords: Econophysics; Financial markets; Statistical field theory; Gauge invariance (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:1:p:107-116

DOI: 10.1016/j.physa.2009.09.002

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