Quantum diffusion of prices and profits

Edward Piotrowski () and Jan Sladkowski ()

Departmental Working Papers from University of Bialtystok, Department of Theoretical Physics

Abstract: We discuss the time evolution of quotation of stocks and commodities and show that quantum-like correction to the orthodox Bachelier model may be important. Our analysis shows that traders act as a sort of (quantum) tomograph and their strategies can be reproduced from the corresponding Wigner functions. The proposed interpretation of the chaotic movement of market prices imply that Orstein-Uhlenbeck corrections to the Bachelier model should qualitatively matter for large $\gamma$ scales. We also propose a solution to the currency preference paradox.

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Journal Article: Quantum diffusion of prices and profits (2005)
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