Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets
We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index.
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Volume (Year): 389 (2010)
Issue (Month): 1 ()
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References listed on IDEAS
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- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997.
"Empirical Performance of Alternative Option Pricing Models,"
Yale School of Management Working Papers
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