Advanced Search
MyIDEAS: Login

The minimal length uncertainty and the quantum model for the stock market

Contents:

Author Info

  • Pouria Pedram
Registered author(s):

    Abstract

    We generalize the recently proposed quantum model for the stock market by Zhang and Huang to make it consistent with the discrete nature of the stock price. In this formalism, the price of the stock and its trend satisfy the generalized uncertainty relation and the corresponding generalized Hamiltonian contains an additional term proportional to the fourth power of the trend. We study a driven infinite quantum well where information as the external field periodically fluctuates and show that the presence of the minimal trading value of stocks results in a positive shift in the characteristic frequencies of the quantum system. The connection between the information frequency and the transition probabilities is discussed finally.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://arxiv.org/pdf/1111.6859
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1111.6859.

    as in new window
    Length:
    Date of creation: Nov 2011
    Date of revision: Jan 2012
    Publication status: Published in Physica A 391, 2100 (2012)
    Handle: RePEc:arx:papers:1111.6859

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Bagarello, F., 2007. "Stock markets and quantum dynamics: A second quantized description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 283-302.
    2. Fabio Bagarello, 2007. "The Heisenberg picture in the analysis of stock markets and in other sociological contexts," Quality & Quantity: International Journal of Methodology, Springer, vol. 41(4), pages 533-544, August.
    3. Ataullah, Ali & Davidson, Ian & Tippett, Mark, 2009. "A wave function for stock market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 455-461.
    4. Ye, C. & Huang, J.P., 2008. "Non-classical oscillator model for persistent fluctuations in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1255-1263.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    6. Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
    7. Chao Zhang & Lu Huang, 2010. "A quantum model for the stock market," Papers 1009.4843, arXiv.org, revised Oct 2010.
    8. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Liviu-Adrian Cotfas, 2012. "A finite-dimensional quantum model for the stock market," Papers 1204.4614, arXiv.org, revised Sep 2012.
    2. Cotfas, Liviu-Adrian, 2013. "A finite-dimensional quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380.
    3. Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
    4. Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo, 2014. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Papers 1405.4490, arXiv.org.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1111.6859. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.