A path integral based model for stocks and order dynamics
Giovanni Paolinelli, Gianni Arioli
TL;DR
This paper introduces a novel model for short-term stock and order dynamics using quantum gauge theory principles, providing a new approach to understanding financial asset movements.
Contribution
It applies quantum gauge theory to finance, developing a path integral model for asset price and order flow dynamics, with a numerical algorithm for probability distribution computation.
Findings
Model successfully applied to APPLE stocks and S&P 500 index
Numerical algorithm effectively computes probability distributions
Results align with observed market data
Abstract
We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 index.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Stochastic processes and financial applications · Financial Risk and Volatility Modeling