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Risk Information of Stock Market Using Quantum Potential Constraints

In: Emerging Trends in Banking and Finance

Author

Listed:
  • Sina Nasiri

    (Eastern Mediterranean University)

  • Eralp Bektas

    (Eastern Mediterranean University)

  • Gholamreza Jafari

    (Shahid Beheshti University, G.C.)

Abstract

Stock market modeling and risk managing have recently been one of the most important topics in finance. Using a method borrowed from the statistical and Bohmian quantum mechanics, this study seeks to answer the question of how quantum potential controls the price returns. The interconnection between today’s and yesterday’s prices has led to the emergence of quantum potential describing the collective behavior of stocks returns in the various times. It is shown that, using the empirical data of some market indices, the quantum potential walls confine the variations of the price return into a definite interval where the distance between the walls can be a proxy for the risk of the relative stock index. In other words, the investigation of different return frequencies shows that the market risk increases as the distance between the potential walls increases. The magnitude of the risk is different for different indices allowing the traders to decide on their portfolio selection and their investment horizon. Our results are consistent with the behavior of the developed and emerging markets.

Suggested Citation

  • Sina Nasiri & Eralp Bektas & Gholamreza Jafari, 2018. "Risk Information of Stock Market Using Quantum Potential Constraints," Springer Proceedings in Business and Economics, in: Nesrin Ozatac & Korhan K. Gökmenoglu (ed.), Emerging Trends in Banking and Finance, pages 132-138, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-01784-2_8
    DOI: 10.1007/978-3-030-01784-2_8
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    Cited by:

    1. Nasiri, S. & Bektas, E. & Jafari, G.R., 2018. "The impact of trading volume on the stock market credibility: Bohmian quantum potential approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1104-1112.

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