A model for stocks dynamics based on a non-Gaussian path integral

Giovanni Paolinelli and Gianni Arioli

Physica A: Statistical Mechanics and its Applications, 2019, vol. 517, issue C, 499-514

Abstract: We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski’s path integral model, more precisely we choose a different action, which can be tuned to different time scales. The result is a model with a very small number of parameters that provides very good fits of some stock prices and indices fluctuations.

Keywords: Quantum-finance; Path integral; Gauge theory; Financial markets; Fat tails; Non-Gaussian dynamics (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:517:y:2019:i:c:p:499-514

DOI: 10.1016/j.physa.2018.11.044

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