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Quantum Financial Economics - Risk and Returns

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  • Carlos Pedro Gonc{c}alves

Abstract

Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and in the risk dynamics. The model is simulated and the results are compared with actual financial volatility data.

Suggested Citation

  • Carlos Pedro Gonc{c}alves, 2011. "Quantum Financial Economics - Risk and Returns," Papers 1107.2562, arXiv.org, revised Jan 2012.
  • Handle: RePEc:arx:papers:1107.2562
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    References listed on IDEAS

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    1. Piotrowski, Edward W. & Sładkowski, Jan, 2008. "Quantum auctions: Facts and myths," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3949-3953.
    2. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
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