Quantum financial economics -- risk and returns

DOI10.1007/S11424-013-1187-5zbMATH Open1282.91252arXiv1107.2562OpenAlexW3123764554MaRDI QIDQ394445FDOQ394445

Authors: Carlos Pedro Gonçalves 

Publication date: 27 January 2014

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

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.

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

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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)

Cites Work

• Quantum market games
• Title not available (Why is that?)
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• Quantum Finance
• Quantum finance
• 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
• 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
• D-brane solutions under market panic
• Quantum economics, uncertainty and the optimal grid size

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