“Quantum Equilibrium-Disequilibrium”: Asset price dynamics, symmetry breaking, and defaults as dissipative instantons

Igor Halperin and Matthew Dixon

Physica A: Statistical Mechanics and its Applications, 2020, vol. 537, issue C

Abstract: We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a non-linear two-parametric extension of the classical Geometric Brownian Motion (GBM) model, that we call the “Quantum Equilibrium-Disequilibrium” (QED) model.

Keywords: Non-equilibrium markets; Frictions; Metastability; Phase transitions; Instantons; Supersymmetry (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119312671

DOI: 10.1016/j.physa.2019.122187

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