From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes (Q1620384): Difference between revisions

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scientific article

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English	From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes	scientific article

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instance of

scholarly article

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title

From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes (English)

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13 November 2018

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full work available at URL

https://arxiv.org/abs/1609.05286

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zbMATH Keywords

behavioral finance

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diffusion process

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microscopic foundations

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agent based model

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econophysics

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jumps

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spikes

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describes a project that uses

R

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MaRDI profile type

MaRDI publication profile

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cites work

The Pricing of Options and Corporate Liabilities

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A Microeconomic Approach to Diffusion Models For Stock Prices

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Financial price fluctuations in a stock market model with many interacting agents

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A Limit Theorem for Financial Markets with Inert Investors

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Q5423895

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QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS

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State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits

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Strong approximation for Markovian service networks

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Time variation of second moments from a noise trader/infection model

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Random economies with many interacting agents

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THE BOUNDED CONFIDENCE MODEL OF OPINION DYNAMICS

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Microfoundations for diffusion price processes

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Computing the rates of measurement-induced quantum jumps

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Q2774021

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Brownian motion in a field of force and the diffusion model of chemical reactions

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A Delayed Black and Scholes Formula

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Identifiers

zbMATH Open document ID

1400.91681

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Mathematics Subject Classification ID

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10.1016/J.PHYSA.2016.11.125

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Sitelinks

Mathematics(1 entry)

mardi Publication:1620384

@@ Property / DOI @@
-.1016/j.physa.2016.11.125
@@ Property / DOI: 10.1016/j.physa.2016.11.125 / rank @@
-Normal rank
@@ Property / arXiv ID @@
+.05286
@@ Property / arXiv ID: 1609.05286 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A Microeconomic Approach to Diffusion Models For Stock Prices
+Normal rank
@@ Property / cites work @@
+Financial price fluctuations in a stock market model with many interacting agents
+Normal rank
@@ Property / cites work @@
+A Limit Theorem for Financial Markets with Inert Investors
+Normal rank
@@ Property / cites work @@
+Q5423895
@@ Property / cites work: Q5423895 / rank @@
+Normal rank
@@ Property / cites work @@
+QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
+Normal rank
@@ Property / cites work @@
+State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
+Normal rank
@@ Property / cites work @@
+Strong approximation for Markovian service networks
+Normal rank
@@ Property / cites work @@
+Time variation of second moments from a noise trader/infection model
+Normal rank
@@ Property / cites work @@
+Random economies with many interacting agents
@@ Property / cites work: Random economies with many interacting agents / rank @@
+Normal rank
@@ Property / cites work @@
+THE BOUNDED CONFIDENCE MODEL OF OPINION DYNAMICS
@@ Property / cites work: THE BOUNDED CONFIDENCE MODEL OF OPINION DYNAMICS / rank @@
+Normal rank
@@ Property / cites work @@
+Microfoundations for diffusion price processes
@@ Property / cites work: Microfoundations for diffusion price processes / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the rates of measurement-induced quantum jumps
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+Brownian motion in a field of force and the diffusion model of chemical reactions
+Normal rank
@@ Property / cites work @@
+A Delayed Black and Scholes Formula
@@ Property / cites work: A Delayed Black and Scholes Formula / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.PHYSA.2016.11.125
@@ Property / DOI: 10.1016/J.PHYSA.2016.11.125 / rank @@
+Normal rank