Quantum diffusion of prices and profits
نویسندگان
چکیده
We discuss the time evolution of quotation of stocks and commodities and show that quantum-like correction to the orthodox Bachelier model may be important. Our analysis shows that traders act as a sort of (quantum) tomograph and their strategies can be reproduced from the corresponding Wigner functions. The proposed interpretation of the chaotic movement of market prices imply that Orstein-Uhlenbeck corrections to the Bachelier model should qualitatively matter for large scales. We also propose a solution to the currency preference paradox. PACS numbers: 02.50.-r, 02.50.Le, 03.67.-a, 03.65.Bz
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تاریخ انتشار 2002