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A finite-dimensional quantum model for the stock market

  • Liviu-Adrian Cotfas
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    We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent with the discrete nature of the stock price and is based on the mathematical formalism used in the case of the quantum systems with finite-dimensional Hilbert space. The rate of return is a discrete variable corresponding to the coordinate in the case of quantum systems, and the operator of the conjugate variable describing the trend of the stock return is defined in terms of the finite Fourier transform. The stock return in equilibrium is described by a finite Gaussian function, and the time evolution of the stock price, directly related to the rate of return, is obtained by numerically solving a Schrodinger type equation.

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    File URL: http://arxiv.org/pdf/1204.4614
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    Paper provided by arXiv.org in its series Papers with number 1204.4614.

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    Date of creation: Apr 2012
    Date of revision: Sep 2012
    Publication status: Published in Physica A: Statistical Mechanics and its Applications 392 (2013) 371-380
    Handle: RePEc:arx:papers:1204.4614
    Contact details of provider: Web page: http://arxiv.org/

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    1. Pouria Pedram, 2011. "The minimal length uncertainty and the quantum model for the stock market," Papers 1111.6859, arXiv.org, revised Jan 2012.
    2. Pedram, Pouria, 2012. "The minimal length uncertainty and the quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2100-2105.
    3. Chao Zhang & Lu Huang, 2010. "A quantum model for the stock market," Papers 1009.4843, arXiv.org, revised Oct 2010.
    4. 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.
    5. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
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