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Classical and quantum randomness and the financial market

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  • Andrei Khrennikov

Abstract

We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for financial market than the classical one. A part of our analysis is devoted to study the possibility of application of the quantum probabilistic model to agents of financial market. We show that, although the direct quantum (physical) reduction (based on using the scales of quantum mechanics) is meaningless, one may apply so called quantum-like models. In our approach quantum-like probabilistic behaviour is a consequence of contextualy of statistical data in finances (and economics in general). However, our hypothesis on "quantumness" of financial data should be tested experimentally (as opposed to the conventional description based on the noncontextual classical probabilistic approach). We present a new statistical test based on a generalization of the well known in quantum physics Bell's inequality.

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  • Andrei Khrennikov, 2007. "Classical and quantum randomness and the financial market," Papers 0704.2865, arXiv.org.
    • Handle: RePEc:arx:papers:0704.2865
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    1. Edward W. Piotrowski & Jan Sladkowski, "undated". "Quantum-Like Approach to Financial Risk: Quantum Anthropic Principle," Departmental Working Papers 8, University of Bialtystok, Department of Theoretical Physics.
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    Cited by:

    1. Haven, Emmanuel, 2008. "Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 41-58, March.

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