Quantum financial economics -- risk and returns

DOI10.1007/S11424-013-1187-5MaRDI QIDQ394445zbMATH OpenOpenAlexFDO

Authors Carlos Pedro Gonçalves

Publication date 27 January 2014

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.2562

zbMATH Keywords

business cycle dynamicsintrinsic timequantum chaotic volatilityquantum financial economics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70)

Abstract: Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and in the risk dynamics. The model is simulated and the results are compared with actual financial volatility data.

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Cites work

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• scientific article; zbMATH DE number 1128810 (Why is no real title available?)
• Quantum Finance
• Quantum finance
• Quantum market games
• The Black–Scholes pricing formula in the quantum context
• The role of the rigged Hilbert space in quantum mechanics

Cited in

(6)

• Quantum prediction GJR model and its applications
• Emergent quantum mechanics of finances
• D-brane solutions under market panic
• Quantum economics, uncertainty and the optimal grid size
• The analysis of the dynamic optimization problem in econophysics from the point of view of the symplectic approach for constrained systems
• Interest Rates and Coupon Bonds in Quantum Finance

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