A finite-dimensional quantum model for the stock market

Liviu-Adrian Cotfas

Papers from arXiv.org

Abstract: We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent with the discrete nature of the stock price and is based on the mathematical formalism used in the case of the quantum systems with finite-dimensional Hilbert space. The rate of return is a discrete variable corresponding to the coordinate in the case of quantum systems, and the operator of the conjugate variable describing the trend of the stock return is defined in terms of the finite Fourier transform. The stock return in equilibrium is described by a finite Gaussian function, and the time evolution of the stock price, directly related to the rate of return, is obtained by numerically solving a Schrodinger type equation.

Date: 2012-04, Revised 2012-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Physica A: Statistical Mechanics and its Applications 392 (2013) 371-380

Downloads: (external link)
http://arxiv.org/pdf/1204.4614 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1204.4614

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().