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A quantum mechanical model for the rate of return

  • Liviu-Adrian Cotfas
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    In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and its instantaneous forward time derivative, even if we consider it as a continuous variable. We present a quantum model for the rate of return based on the mathematical formalism used in the case of quantum systems with finite-dimensional Hilbert space. The rate of return is described by a discrete wave function and its time evolution by a Schodinger type equation.

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    File URL: http://arxiv.org/pdf/1211.1938
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    Paper provided by arXiv.org in its series Papers with number 1211.1938.

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    Date of creation: Nov 2012
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    Publication status: Published in Romanian Reports in Physics 65 (2013) 327-333
    Handle: RePEc:arx:papers:1211.1938
    Contact details of provider: Web page: http://arxiv.org/

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    1. Chao Zhang & Lu Huang, 2010. "A quantum model for the stock market," Papers 1009.4843, arXiv.org, revised Oct 2010.
    2. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
    3. 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.
    4. 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.
    5. Pouria Pedram, 2011. "The minimal length uncertainty and the quantum model for the stock market," Papers 1111.6859, arXiv.org, revised Jan 2012.
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