A quantum anharmonic oscillator model for the stock market

Tingting Gao and Yu Chen

Physica A: Statistical Mechanics and its Applications, 2017, vol. 468, issue C, 307-314

Abstract: A financially interpretable quantum model is proposed to study the probability distributions of the stock price return. The dynamics of a quantum particle is considered an analog of the motion of stock price. Then the probability distributions of price return can be computed from the wave functions that evolve according to Schrodinger equation. Instead of a harmonic oscillator in previous studies, a quantum anharmonic oscillator is applied to the stock in liquid market. The leptokurtic distributions of price return can be reproduced by our quantum model with the introduction of mixed-state and multi-potential. The trend following dominant market, in which the price return follows a bimodal distribution, is discussed as a specific case of the illiquid market.

Keywords: Quantum anharmonic oscillator; Stock market; Potential operator; Probability distribution (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:468:y:2017:i:c:p:307-314

DOI: 10.1016/j.physa.2016.10.094

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