Path integral for equities: Dynamic correlation and empirical analysis
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DOI: 10.1016/j.physa.2011.09.039
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- repec:bla:jfinan:v:55:y:2000:i:4:p:1705-1770 is not listed on IDEAS
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000.
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Cited by:
- Pan Tang & Belal E. Baaquie & Xin Du & Ying Zhang, 2016. "Linearized Hamiltonian of the LIBOR market model: analytical and empirical results," Applied Economics, Taylor & Francis Journals, vol. 48(10), pages 878-891, February.
- Baaquie, Belal E. & Cao, Yang, 2014. "Option volatility and the acceleration Lagrangian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 337-363.
- Belal E. Baaquie, 2012. "Statistical Microeconomics," Papers 1211.7172, arXiv.org.
- 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.
- Meng, Xiangyi & Zhang, Jian-Wei & Xu, Jingjing & Guo, Hong, 2015. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 154-160.
- Baaquie, Belal E., 2013. "Statistical microeconomics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4400-4416.
- Baaquie, Belal E. & Du, Xin & Tanputraman, Winson, 2015. "Empirical microeconomics action functionals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 19-37.
- Belal Ehsan Baaquie & Muhammad Mahmudul Karim, 2023. "Pricing risky corporate bonds: An empirical study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 90-121, January.
- Baaquie, Belal E. & Du, Xin & Bhanap, Jitendra, 2014. "Option pricing: Stock price, stock velocity and the acceleration Lagrangian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 564-581.
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Keywords
Equity; Higher derivative Lagrangian; Quantum finance;All these keywords.
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