Fisher information and quantum potential well model for finance
Abstract
The probability distribution function (PDF) for prices on financial markets is derived by extremization of Fisher information. It is shown how on that basis the quantum-like description for financial markets arises and different financial market models are mapped by quantum mechanical ones.
- Publication:
-
Physics Letters A
- Pub Date:
- September 2015
- DOI:
- 10.1016/j.physleta.2015.06.052
- arXiv:
- arXiv:1504.03822
- Bibcode:
- 2015PhLA..379.1998N
- Keywords:
-
- Fisher information;
- Quantum finance;
- Quantitative Finance - Statistical Finance
- E-Print:
- 5 pages