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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- Kirill Ilinski & Alexander Stepanenko, 1998.
"Electrodynamical model of quasi-efficient financial market,"
- Kirill N. Ilinski & Alexander S. Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Papers cond-mat/9806138, arXiv.org.
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- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997.
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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 ysm54, Yale School of Management.
- Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
- M. Bartolozzi & D. B. Leinweber & A. W. Thomas, 2006. "Scale-free avalanche dynamics in the stock market," Papers physics/0601171, arXiv.org, revised Jun 2006.
- Bidarkota, Prasad V. & Dupoyet, Brice V., 2007. "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 887-905, March.
- J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
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