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A quantum statistical approach to simplified stock markets

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  • Bagarello, F.

Abstract

We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of transition from a given value of the portfolio of a certain trader to a different one. This computation can also be carried out using some kind of Feynman graphs adapted to the present context.

Suggested Citation

  • Bagarello, F., 2009. "A quantum statistical approach to simplified stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4397-4406.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:20:p:4397-4406
    DOI: 10.1016/j.physa.2009.07.006
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    References listed on IDEAS

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    1. Bagarello, F., 2007. "Stock markets and quantum dynamics: A second quantized description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 283-302.
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    Citations

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    Cited by:

    1. Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
    2. Ana Njegovanović, 2023. "The Importance of Quantum Information in the Stock Market and Financial Decision Making in Conditions of Radical Uncertainty," International Journal of Social Science Studies, Redfame publishing, vol. 11(1), pages 54-71, January.
    3. Kumar, Sushil & Kumar, Sunil & Kumar, Pawan, 2020. "Diffusion entropy analysis and random matrix analysis of the Indian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    4. Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo, 2014. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Papers 1405.4490, arXiv.org.
    5. Bagarello, F. & Haven, E., 2014. "The role of information in a two-traders market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 224-233.
    6. F. Bagarello & E. Haven, 2014. "Towards a formalization of a two traders market with information exchange," Papers 1412.8725, arXiv.org.
    7. J. S. Ardenghi, 2023. "Modeling amortization systems with vector spaces," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 96(1), pages 1-12, January.
    8. Ardenghi, J.S., 2021. "Quantum credit loans," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    9. Liviu-Adrian Cotfas & Camelia Delcea & Nicolae Cotfas, 2014. "Exact solution of a generalized version of the Black-Scholes equation," Papers 1411.2628, arXiv.org.
    10. Cotfas, Liviu-Adrian, 2013. "A finite-dimensional quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380.
    11. Pedram, Pouria, 2012. "The minimal length uncertainty and the quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2100-2105.
    12. Kuzu, Erkan & Süsay, Aynur & Tanrıöven, Cihan, 2022. "A model study for calculation of the temperatures of major stock markets in the world with the quantum simulation and determination of the crisis periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 585(C).
    13. Bagarello, F., 2011. "Damping in quantum love affairs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2803-2811.
    14. Pineiro-Chousa, Juan & Vizcaíno-González, Marcos, 2016. "A quantum derivation of a reputational risk premium," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 304-309.
    15. Paras M. Agrawal & Ramesh Sharda, 2013. "OR Forum---Quantum Mechanics and Human Decision Making," Operations Research, INFORMS, vol. 61(1), pages 1-16, February.
    16. Meng, Xiangyi & Zhang, Jian-Wei & Guo, Hong, 2016. "Quantum Brownian motion model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 281-288.

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    Keywords

    Quantum methods; Stock markets;

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