A path integral based model for stocks and order dynamics

DOI10.1016/J.PHYSA.2018.07.007MaRDI QIDQ2153451zbMATH OpenOpenAlexFDO

Authors Giovanni Paolinelli, Gianni Arioli

Publication date 4 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.07904

zbMATH Keywords

econophysicsgauge theoryfinancial marketspath integralfat tailsstock pricesorders dynamics

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 5934473 (Why is no real title available?)
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• A path integral way to option pricing
• Equation of state calculations by fast computing machines
• Field theories of condensed matter physics
• Gauge geometry of financial markets
• Interest Rates and Coupon Bonds in Quantum Finance
• Pricing derivatives by path integral and neural networks
• Pricing exotic options in a path integral approach
• Quantum Finance
• Space-time approach to non-relativistic quantum mechanics
• The impact of fat tails on equilibrium rates of return and term premia
• The path integral approach to financial modeling and options pricing

Cited in

(4)

• Particle-scale modelling of financial price dynamics
• Nonstationary response of a nonlinear economic cycle model under random disturbance
• A toy model of financial markets
• A model for stocks dynamics based on a non-Gaussian path integral

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