Emergent quantum mechanics of finances
Abstract
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the non-differentiability hypothesis, and the equations of motion entailed by this hypothesis. From perspective of the proposed theory the dynamics of S&P500 index are analyzed.
- Publication:
-
Physica A Statistical Mechanics and its Applications
- Pub Date:
- June 2014
- DOI:
- 10.1016/j.physa.2014.02.037
- arXiv:
- arXiv:1312.3247
- Bibcode:
- 2014PhyA..403..148N
- Keywords:
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- Quantitative Finance - Statistical Finance
- E-Print:
- 9 pages, 3 figures