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Asymmetric Information and Quantization in Financial Economics

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  • Raymond J. Hawkins
  • B. Roy Frieden

Abstract

We show how a quantum formulation of financial economics can be derived from asymmetries with respect to Fisher information. Our approach leverages statistical derivations of quantum mechanics which provide a natural basis for interpreting quantum formulations of social sciences generally and of economics in particular. We illustrate the utility of this approach by deriving arbitrage-free derivative-security dynamics.

Suggested Citation

  • Raymond J. Hawkins & B. Roy Frieden, 2012. "Asymmetric Information and Quantization in Financial Economics," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2012, pages 1-11, December.
    • Handle: RePEc:hin:jijmms:470293
    DOI: 10.1155/2012/470293
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    References listed on IDEAS

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    11. Hawkins, Raymond J. & Aoki, Masanao & Roy Frieden, B., 2010. "Asymmetric information and macroeconomic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3565-3571.
    12. Choustova, Olga Al., 2007. "Quantum Bohmian model for financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(1), pages 304-314.
    13. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    14. Raymond J. Hawkins & B. Roy Frieden & Joseph L. D'Anna, 2005. "Ab initio yield curve dynamics," Papers physics/0507098, arXiv.org.
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    Cited by:

    1. Haven, Emmanuel & Khrennikova, Polina, 2018. "A quantum-probabilistic paradigm: Non-consequential reasoning and state dependence in investment choice," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 186-197.
    2. Khrennikova, Polina & Patra, Sudip, 2019. "Asset trading under non-classical ambiguity and heterogeneous beliefs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 562-577.
    3. Basieva, Irina & Khrennikova, Polina & Pothos, Emmanuel M. & Asano, Masanari & Khrennikov, Andrei, 2018. "Quantum-like model of subjective expected utility," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 150-162.

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