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Quantum prediction GJR model and its applications

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  • Feixing Wang
  • Yingshuai Wang

Abstract

type="main" xml:id="stan12029-abs-0001"> In this paper, a new statistical method to deal with the quantum finance is proposed. Through analyzing the stock data of China Mobile Communication Corporation, we discover its quantum financial effect, and then we innovate the method of testing the existence of the quantum financial effect. Furthermore, the classical normal process of the Glosten–Jagannathan–Runkle (GJR) model has been changed into the quantum wave-function distribution, which is based on the ‘one-dimensional infinitely deep square potential well’. The research shows that the quantum GJR model can reveal the interior uncertainty of the financial market and has a better prediction availability.

Suggested Citation

  • Feixing Wang & Yingshuai Wang, 2014. "Quantum prediction GJR model and its applications," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(3), pages 209-224, August.
    • Handle: RePEc:bla:stanee:v:68:y:2014:i:3:p:209-224
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    References listed on IDEAS

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