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

DOI10.1016/j.physa.2016.11.125zbMath1400.91681arXiv1609.05286OpenAlexW2523204084MaRDI QIDQ1620384

Christof Henkel

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05286

zbMATH Keywords

spikesjumpsdiffusion processeconophysicsbehavioral financeagent based modelmicroscopic foundations

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Heterogeneous agent models (91B69)

Related Items

Broken detailed balance and non-equilibrium dynamics in noisy social learning models

Uses Software

• R

Cites Work

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