A path integral based model for stocks and order dynamics

Giovanni Paolinelli and Gianni Arioli

Physica A: Statistical Mechanics and its Applications, 2018, vol. 510, issue C, 387-399

Abstract: We present a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 index.

Keywords: Stock prices; Econophysics; Path integral; Gauge theory; Financial markets; Fat tails; Orders dynamics (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:510:y:2018:i:c:p:387-399

DOI: 10.1016/j.physa.2018.07.007

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