Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach

We use quantum mechanical methods to model the price dynamics in the financial market mathematically. We propose describing behavioral financial factors using the pilot-wave (Bohmian) model of quantum mechanics. The real price trajectories are determined (via the financial analogue of the second Newton law) by two financial potentials: the classical-like potential V (q) (“hard” market conditions) and the quantumlike potential U(q) (behavioral market conditions). Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 152, No. 2, pp. 405–415, August, 2007.     

On the classical limit of Bohmian mechanics for Hagedorn wave packets

We consider the classical limit of quantum mechanics in terms of Bohmian trajectories. For wave packets as defined by Hagedorn we show that the Bohmian trajectories converge to Newtonian trajectories in probability.     

Automatic domain decomposition for semiclassical Bohmian mechanics using k-means clustering

We propose a method to automatically decompose domains in the context of semiclassical Bohmian mechanics. The algorithm is based on the approximate quantum potential method and the technique of k-means clustering. Two numerical examples, static analysis of quantum forces for a Pearson Type IV distribution and temporal analysis of the scattering on the Eckart barrier, are presented to show the viability of the method. The first example demonstrates that approximate quantum forces using our domain decomposition technique achieves convergence as the number of domains increases. In the second example, it is demonstrated that the domains constructed from k-means clustering has well adapted themselves to the evolving wave packet, providing coverage to both transmission and reflection waves. We also confirm that the use of multiple domains improves the evolution of the wave packet by comparing the result with the quantum mechanical solution, previously obtained. The computational cost remains manageable even with a naive implementation of time-consuming summation routines, but development of more sophisticated methodology is recommended for large scale, multidimensional calculations.     

Speculative dynamics with bounded rationality learning

We study a linear model for a future market characterized by the presence of different classes of traders. In the market there are three classes of traders: rational traders, feedback traders and fundamentalist traders. Each class of traders is described by a trading strategy and by an information set about the fundamental. The analysis is developed under bounded rationality, rational traders forming expectations do not know the “true” model but believe in a misspecified model. The convergence of the learning activity to the Rational Expectations Equilibria of the model is analyzed. Two different learning mechanisms are studied: the Ordinary Least Squares algorithm and the Least Mean Squares algorithm. The main goal of the study is to analyze how the presence of different classes of traders in the market affects the robustness of the Rational Expectations Equilibria of the model with respect to bounded rationality learning. Moreover we verify the claim that bubbles and erratic behavior in the stock price dynamics may arise because of learning non-convergence to Rational Expectations Equilibria. The results show that if the Ordinary Least Squares algorithm is used by the agents to update beliefs, convergence to one of the two Rational Expectations Equilibria of the model is ensured only if there are positive feedback traders in the market. On the contrary, the Least Mean Squares algorithm guarantees convergence to the Rational Expectations Equilibria given an appropriate initial belief.     

Topological Factors Derived from Bohmian Mechanics

We derive for Bohmian mechanics topological factors for quantum systems with a multiply-connected configuration space $$ \mathcal{Q}. $$ These include nonabelian factors corresponding to what we call holonomy-twisted representations of the fundamental group of $$ \mathcal{Q}. $$ We employ wave functions on the universal covering space of $$ \mathcal{Q}. $$ As a byproduct of our analysis, we obtain an explanation, within the framework of Bohmian mechanics, of the fact that the wave function of a system of identical particles is either symmetric or anti-symmetric. Communicated by Yosi Avron Submitted: 21/06/2005 Revised: 10/01/2006 Accepted: 27/01/2006     

Finite-Time Blow-Up of Solutions to Semilinear Wave Equations

This work studies the finite-time blow-up of solutions to the equation u_tt−Δu=F(u) in Minkowski space. We develop a new technique which simplifies some of the existing arguments. The approach we use is a modification of the so-called method of conformal compactification. In this we are motivated by the work of Christodoulou, and Baez, Segal, and Zhou on nonlinear wave equations, as well as the recent developments in the rigorous theory of nonlinear quantum fields.     

Bohmian measures and their classical limit

We consider a class of phase space measures, which naturally arise in the Bohmian interpretation of quantum mechanics. We study the classical limit of these so-called Bohmian measures, in dependence on the scale of oscillations and concentrations of the sequence of wave functions under consideration. The obtained results are consequently compared to those derived via semi-classical Wigner measures. To this end, we shall also give a connection to the theory of Young measures and prove several new results on Wigner measures themselves. Our analysis gives new insight on oscillation and concentration effects in the semi-classical regime.     

On Segal�CBargmann analysis for finite Coxeter groups and its heat kernel

We prove identities involving the integral kernels of three versions (two being introduced here) of the Segal?CBargmann transform associated to a finite Coxeter group acting on a finite dimensional, real Euclidean space (the first version essentially having been introduced around the same time by Ben Sa?d and ?rsted and independently by Soltani) and the Dunkl heat kernel, due to R?sler, of the Dunkl Laplacian associated with the same Coxeter group. All but one of our relations are originally due to Hall in the context of standard Segal?CBargmann analysis on Euclidean space. Hall??s results (trivial Dunkl structure and arbitrary finite dimension) as well as our own results in???-deformed quantum mechanics (non-trivial Dunkl structure, dimension one) are particular cases of the results proved here. So we can understand all of these versions of the Segal?CBargmann transform associated to a Coxeter group as Hall type transforms. In particular, we define an analogue of Hall??s Version C generalized Segal?CBargmann transform which is then shown to be Dunkl convolution with the Dunkl heat kernel followed by analytic continuation. In the context of Version C we also introduce a new Segal?CBargmann space and a new transform associated to the Dunkl theory. Also we have what appears to be a new relation in this context between the Segal?CBargmann kernels for Versions A and C.     

Order and Chaos in Dynamical Systems

We consider the characteristics of order and chaos in dynamical systems, with emphasis on the orbits in astronomical systems. Celestial mechanics deals with orbits in the solar system, which are mainly ordered. On the other hand the orbits of stars in galaxies were considered to be chaotic. However numerical experiments have shown that in general a system contains both ordered and chaotic orbits. Thus a new classification of dynamical systems has been established. We describe ordered and chaotic orbits in galaxies and in mappings. Some ordered orbits appear even in strongly perturbed systems. The transition from order to chaos is due to resonance overlapping. Then we describe some recent developments concerning order and chaos in the solar system and in galaxies. The outer spiral arms in strong barred galaxies are composed mainly of sticky chaotic orbits. Ordered and chaotic orbits appear also in Bohmian quantum mechanics. If the initial probability p is not equal to the square of the wave function |ψ|², then in the case of ordered orbits p never approaches |ψ|², while in the case of chaotic orbits p → |ψ|² after a time interval called “quantum Nekhoroshev time”.     

An integral model structure and truncation theory for coherent group actions

In this work we study the homotopy theory of coherent group actions from a global point of view, where we allow both the group and the space acted upon to vary. Using the model of Segal group actions and the model categorical Grothendieck construction we construct a model category encompassing all Segal group actions simultaneously. We then prove a global rectification result in this setting. We proceed to develop a general truncation theory for the model-categorical Grothendieck construction and apply it to the case of Segal group actions. We give a simple characterization of n-truncated Segal group actions and show that every Segal group action admits a convergent Postnikov tower built out of its n-truncations.     

Two-particle wave function as an integral operator and the random field approach to quantum correlations

We propose a new interpretation of the wave function Ψ (x, y) of a two-particle quantum system, interpreting it not as an element of the functional space L ₂ of square-integrable functions, i.e., as a vector, but as the kernel of an integral (Hilbert-Schmidt) operator. The first part of the paper is devoted to expressing quantum averages including the correlations in two-particle systems using the wave-function operator. This is a new mathematical representation in the framework of conventional quantum mechanics. But the new interpretation of the wave function not only generates a new mathematical formalism for quantum mechanics but also allows going beyond quantum mechanics, i.e., representing quantum correlations (including those in entangled systems) as correlations of (Gaussian) random fields.     

Concentrated Equilibrium and Intraday Patterns in Financial Markets

Abstract

We introduce endogenous participation of market makers into a Kyle-type model with long-lived asymmetric information. In our model with plausible parameter values, the trading volume and price volatility show a U-shaped intraday pattern, often observed in actual financial markets. It will be shown that the pattern is caused not only by the trading behaviour of liquidity traders but also by that of market makers. Our findings shed new light on the stylized fact of the trade concentration at the opening and closing periods.     

p-Adic valued quantization

This review covers an important domain of p-adic mathematical physics — quantum mechanics with p-adic valued wave functions. We start with basic mathematical constructions of this quantum model: Hilbert spaces over quadratic extensions of the field of p-adic numbers ? _p , operators — symmetric, unitary, isometric, one-parameter groups of unitary isometric operators, the p-adic version of Schrödinger’s quantization, representation of canonical commutation relations in Heisenberg andWeyl forms, spectral properties of the operator of p-adic coordinate.We also present postulates of p-adic valued quantization. Here observables as well as probabilities take values in ? _p . A physical interpretation of p-adic quantities is provided through approximation by rational numbers.     

Regularity of Segal algebras

Let A be a Banach algebra. The second dual A** can be equipped with two multiplications, each of which is a natural extension of the original multiplication in A. The algebra A is said to be Arens regular if these two multiplications coincide. We give necessary (and, for some classes of algebras, sufficient) conditions for the regularity of a Segal algebra. We also obtain necessary and sufficient conditions for the weak complete continuity of a Segal algebra.     

Supersymmetry-inspired low-energy <Emphasis Type="Italic">α</Emphasis>–<Emphasis Type="Italic">p</Emphasis> elastic scattering phases

We consider an effective potential model consisting of an electromagnetic part plus a nuclear part as the ground state interaction for an α–p system. The next few higher partial wave interactions are generated using the formalism of supersymmetric quantum mechanics. We adapt the phase function method to compute α–p elastic scattering phases up to 12 MeV, including the effect of the electromagnetic interaction quite rigorously in our phase shift calculation. With the further incorporation of some energy-dependent correction factors to our interactions, we obtain a good agreement with the experimental data.     

Monogenic functions and representations of nilpotent Lie groups in quantum mechanics

We describe several different representations of nilpotent step two Lie groups in spaces of monogenic Clifford‐valued functions. We are inspired by the classic representation of the Heisenberg group in the Segal–Bargmann space of holomorphic functions. Connections with quantum mechanics are described. Copyright © 1999 John Wiley & Sons, Ltd.     

Algebraic aspects of the Hofstadter problem in graphene

We consider the Hofstadter problem on a honeycomb lattice. ita relevance to the quantum group U _q (sl ₂) is explicitly shown. We point out the reducibility of the corresponding characteristic polynomials and conjecture its relation to supersymmetric quantum mechanics.     

基于异质交易者定价模型的资产价格泡沫内生机理研究

资产价格泡沫等市场异常现象使得有效市场假说理论受到质疑,研究者们更多的是从行为金融学的角度对这些现象进行解释,认为是由市场投资者的非理性因素所造成的。本文考虑了市场中投资者决策的异质性,构建了含有长期基础投资者和短期技术投资者的异质交易模型,以说明在投资者均具有理性预期的条件下,有效市场假说理论同样可以解释泡沫的产生。具体而言,技术投资者的交易行为使价格产生波动,基础投资者的存在则对波动起到放大作用,并会进一步导致泡沫的出现,随着基础投资者所占的比例增大,泡沫膨胀的速度加快,由此导致市场的波动越剧烈。研究结果为市场监管者提供了有益的启示:与其设置壁垒限制技术投资者的加入及交易活动,不如让越来越多的技术投资者加入到市场中来,这样更有益于市场的稳定。     

Multifractals,Mumford curves and eternal inflation

We relate the Eternal Symmetree model of Harlow, Shenker, Stanford, and Susskind to constructions of stochastic processes related to quantum statistical mechanical systems on Cuntz-Krieger algebras. We extend the eternal inflation model from the Bruhat-Tits tree to quotients by p-adic Schottky groups, again using quantum statistical mechanics on graph algebras.     

Homogeneous random fields and statistical mechanics

We illustrate the connection between homogeneous perturbations of homogeneous Gaussian random fields over Rⁿ or Zⁿ, with values in R^m, and classical as well as quantum statistical mechanics. In particular we construct homogeneous non-Gaussian random fields as weak limits of perturbed Gaussian random fields and study the infinite volume limit of correlation functions for a classical continuous gas of particles with inner degrees of freedom. We also exhibit the relation between quantum statistical mechanics of lattice systems (anharmonic crystals) at temperature β^?1 and homogeneous random fields over Zⁿ × S_β, where S_β is the circle of length β, which then provides a connection also with classical statistical mechanics. We obtain the infinite volume limit of real and imaginary times Green's functions and establish its properties. We also give similar results for the Gibbs state of the correspondent classical lattice systems and show that it is the limit as h → 0 of the quantum statistical Gibbs state.