A finite-dimensional quantum model for the stock market

We present a finite-dimensional version of the quantum model for the stock market proposed in C. Zhang and L. Huang [A quantum model for the stock market, Physica A 389 (2010) 5769]. Our approach is an attempt to make this model consistent with the discrete nature of the stock price and is based on the mathematical formalism used in the case of the quantum systems with finite-dimensional Hilbert space. The rate of return is a discrete variable corresponding to the coordinate in the case of quantum systems, and the operator of the conjugate variable describing the trend of the stock return is defined in terms of the finite Fourier transform. The stock return in equilibrium is described by a finite Gaussian function, and the time evolution of the stock price, directly related to the rate of return, is obtained by numerically solving a Schrödinger type equation.     

A quantum model for the stock market

Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this model, we define wave functions and operators of the stock market to establish the Schrödinger equation for stock price. Based on this theoretical framework, an example of a driven infinite quantum well is considered, in which we use a cosine distribution to simulate the state of stock price in equilibrium. After adding an external field into the Hamiltonian to analytically calculate the wave function, the distribution and the average value of the rate of return are shown.     

A higher order GUP with minimal length uncertainty and maximal momentum II: Applications

In a recent paper, we presented a nonperturbative higher order Generalized Uncertainty Principle (GUP) that is consistent with various proposals of quantum gravity such as string theory, loop quantum gravity, doubly special relativity, and predicts both a minimal length uncertainty and a maximal observable momentum. In this Letter, we find exact maximally localized states and present a formally self-adjoint and naturally perturbative representation of this modified algebra. Then we extend this GUP to D dimensions that will be shown it is noncommutative and find invariant density of states. We show that the presence of the maximal momentum results in upper bounds on the energy spectrum of the free particle and the particle in box. Moreover, this form of GUP modifies blackbody radiation spectrum at high frequencies and predicts a finite cosmological constant. Although it does not solve the cosmological constant problem, it gives a better estimation with respect to the presence of just the minimal length.     

Nonperturbative effects of the minimal length uncertainty on the relativistic quantum mechanics

We study the nonperturbative effects of the minimal length on the energy spectrum of a relativistic particle in the context of the generalized uncertainty principle (GUP). This form of GUP is consistent with various candidates of quantum gravity such as string theory, loop quantum gravity, and black-hole physics and predicts a minimum measurable length proportional to the Planck length. Using a recently proposed formally self-adjoint representation, we solve the generalized Dirac and Klein–Gordon equations in various situations and find the corresponding exact energy eigenvalues and eigenfunctions. We show that for the Dirac particle in a box, the number of the solutions renders to be finite as a manifestation of both the minimal length and the theory of relativity. For the case of the Dirac oscillator and the wave equations with scalar and vector linear potentials, we indicate that the solutions can be obtained in a more simpler manner through the self-adjoint representation. It is also shown that, in the ultrahigh frequency regime, the partition function and the thermodynamical variables of the Dirac oscillator can be expressed in a closed analytical form. The Lorentz violating nature of the GUP-corrected relativistic wave equations is discussed finally.     

Quantum scattering in one-dimensional systems satisfying the minimal length uncertainty relation

In quantum gravity theories, when the scattering energy is comparable to the Planck energy the Heisenberg uncertainty principle breaks down and is replaced by the minimal length uncertainty relation. In this paper, the consequences of the minimal length uncertainty relation on one-dimensional quantum scattering are studied using an approach involving a recently proposed second-order differential equation. An exact analytical expression for the tunneling probability through a locally-periodic rectangular potential barrier system is obtained. Results show that the existence of a non-zero minimal length uncertainty tends to shift the resonant tunneling energies to the positive direction. Scattering through a locally-periodic potential composed of double-rectangular potential barriers shows that the first band of resonant tunneling energies widens for minimal length cases when the double-rectangular potential barrier is symmetric but narrows down when the double-rectangular potential barrier is asymmetric. A numerical solution which exploits the use of Wronskians is used to calculate the transmission probabilities through the Pöschl–Teller well, Gaussian barrier, and double-Gaussian barrier. Results show that the probability of passage through the Pöschl–Teller well and Gaussian barrier is smaller in the minimal length cases compared to the non-minimal length case. For the double-Gaussian barrier, the probability of passage for energies that are more positive than the resonant tunneling energy is larger in the minimal length cases compared to the non-minimal length case. The approach is exact and applicable to many types of scattering potential.     

Energy levels of one-dimensional systems satisfying the minimal length uncertainty relation

The standard approach to calculating the energy levels for quantum systems satisfying the minimal length uncertainty relation is to solve an eigenvalue problem involving a fourth- or higher-order differential equation in quasiposition space. It is shown that the problem can be reformulated so that the energy levels of these systems can be obtained by solving only a second-order quasiposition eigenvalue equation. Through this formulation the energy levels are calculated for the following potentials: particle in a box, harmonic oscillator, Pöschl–Teller well, Gaussian well, and double-Gaussian well. For the particle in a box, the second-order quasiposition eigenvalue equation is a second-order differential equation with constant coefficients. For the harmonic oscillator, Pöschl–Teller well, Gaussian well, and double-Gaussian well, a method that involves using Wronskians has been used to solve the second-order quasiposition eigenvalue equation. It is observed for all of these quantum systems that the introduction of a nonzero minimal length uncertainty induces a positive shift in the energy levels. It is shown that the calculation of energy levels in systems satisfying the minimal length uncertainty relation is not limited to a small number of problems like particle in a box and the harmonic oscillator but can be extended to a wider class of problems involving potentials such as the Pöschl–Teller and Gaussian wells.     

Universal quantum uncertainty relations: Minimum-uncertainty wave packet depends on measure of spread

Based on the statistical concept of the median, we propose a quantum uncertainty relation between semi-interquartile ranges of the position and momentum distributions of arbitrary quantum states. The relation is universal, unlike that based on the mean and standard deviation, as the latter may become non-existent or ineffective in certain cases. We show that the median-based one is not saturated for Gaussian distributions in position. Instead, the Cauchy-Lorentz distributions in position turn out to be the one with the minimal uncertainty, among the states inspected, implying that the minimum-uncertainty state is not unique but depends on the measure of spread used. Even the ordering of the states with respect to the distance from the minimum uncertainty state is altered by a change in the measure. We invoke the completeness of Hermite polynomials in the space of all quantum states to probe the median-based relation. The results have potential applications in a variety of studies including those on the quantum-to-classical boundary and on quantum cryptography.     

The effect of a market factor on information flow between stocks using the minimal spanning tree

We empirically investigated the effects of market factors on the information flow created from N(N−1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is capable of reducing the number of links to N−1. We determined that market factors carry important information value regarding information flow among stocks. Moreover, the information flow among stocks showed time-varying properties according to the changes in market status. In particular, we noted that the information flow increased dramatically during periods of market crises. Finally, we confirmed, via the MST method, that the information flow among stocks could be assessed effectively with the reduced linkage relationships among all links among stocks from the perspective of the overall market.     

Topological properties of stock market networks: The case of Brazil

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to cluster by sector. We employ a dynamic approach using complex network measures and find that the relative importance of different sectors within the network varies. The financial, energy and material sectors are the most important within the network.     

Non-equilibrium stochastic model for stock exchange market

We study the effect of the topology of industrial relationship (IR) between the companies in a stock exchange market on the universal features in the market. For this we propose a stochastic model for stock exchange markets based on the behavior of technical traders. From the numerical simulations we measure the return distribution, P(R)$P\left(R\right)$, and the autocorrelation function of the volatility, C(T)$C\left(T\right)$, and find that the observed universal features in real financial markets are originated from the heterogeneity of IR network topology. Moreover, the heterogeneous IR topology can also explain Zipf–Pareto’s law for the distribution of market value of equity in the real stock exchange markets.     

A wave function for stock market returns

The instantaneous return on the Financial Times-Stock Exchange (FTSE) All Share Index is viewed as a frictionless particle moving in a one-dimensional square well but where there is a non-trivial probability of the particle tunneling into the well’s retaining walls. Our analysis demonstrates how the complementarity principle from quantum mechanics applies to stock market prices and of how the wave function presented by it leads to a probability density which exhibits strong compatibility with returns earned on the FTSE All Share Index. In particular, our analysis shows that the probability density for stock market returns is highly leptokurtic with slight (though not significant) negative skewness. Moreover, the moments of the probability density determined under the complementarity principle employed here are all convergent — in contrast to many of the probability density functions on which the received theory of finance is based.     

The one-dimensional spinless Salpeter Coulomb problem with minimal length

We present an exact analytical treatment of the semi-relativistic spinless Salpeter equation with a one-dimensional Coulomb interaction in the context of quantum mechanics with modified Heisenberg algebra implying the existence of a minimal length. The problem is tackled in the momentum space representation. The bound-state energy equation and the corresponding wave functions are exactly obtained.     

The overnight effect on the Taiwan stock market

This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed.     

Exact uncertainty approach in quantum mechanics and quantum gravity

The assumption that an ensemble of classical particles is subject to nonclassical momentum fluctuations, with the fluctuation uncertainty fully determined by the position uncertainty, has been shown to lead from the classical equations of motion to the Schrödinger equation. This ‘exact uncertainty’ approach may be generalised to ensembles of gravitational fields, where nonclassical fluctuations are added to the field momentum densities, of a magnitude determined by the uncertainty in the metric tensor components. In this way one obtains the Wheeler-DeWitt equation of quantum gravity, with the added bonus of a uniquely specified operator ordering. No a priori assumptions are required concerning the existence of wave functions, Hilbert spaces, Planck's constant, linear operators, etc. Thus this approach has greater transparency than the usual canonical approach, particularly in regard to the connections between quantum and classical ensembles. Conceptual foundations and advantages are emphasised.     

A comparative study of local quantum Fisher information and local quantum uncertainty in Heisenberg XY model

Recently, it has been shown that the quantum Fisher information via local observables and via local measurements (i.e., local quantum Fisher information (LQFI)) is a central concept in quantum estimation and quantum metrology and captures the quantumness of correlations in multi-component quantum system (Kim et al. (2018) [28]). This new discord-like measure is very similar to the quantum correlations measure called local quantum uncertainty (LQU). In the present study, we have revealed that LQU is bounded by LQFI in the phase estimation protocol. Also, a comparative study between these two quantum correlations quantifiers is addressed for the quantum Heisenberg XY model. Two distinct situations are considered. The first one concerns the anisotropic XY model and the second situation concerns isotropic XY model submitted to an external magnetic field. Our results confirm that LQFI reveals more quantum correlations than LQU.     

Role of information theoretic uncertainty relations in quantum theory

Uncertainty relations based on information theory for both discrete and continuous distribution functions are briefly reviewed. We extend these results to account for (differential) Rényi entropy and its related entropy power. This allows us to find a new class of information-theoretic uncertainty relations (ITURs). The potency of such uncertainty relations in quantum mechanics is illustrated with a simple two-energy-level model where they outperform both the usual Robertson–Schrödinger uncertainty relation and Shannon entropy based uncertainty relation. In the continuous case the ensuing entropy power uncertainty relations are discussed in the context of heavy tailed wave functions and Schrödinger cat states. Again, improvement over both the Robertson–Schrödinger uncertainty principle and Shannon ITUR is demonstrated in these cases. Further salient issues such as the proof of a generalized entropy power inequality and a geometric picture of information-theoretic uncertainty relations are also discussed.     

Effects of the modified uncertainty principle on the inflation parameters

In this Letter we study the effects of the Modified Uncertainty Principle as proposed in Ali et al. (2009) [7] on the inflationary dynamics of the early universe in both standard and Randall–Sundrum type II scenarios. We find that the quantum gravitational effect increase the amplitude of density fluctuation, which is oscillatory in nature, with an increase in the tensor-to-scalar ratio.     

Gravitational induced uncertainty and dynamics of harmonic oscillator

As a consequence of gravitational induced uncertainty, equation of motion for harmonic oscillator differs considerably from usual quantum mechanical situation. This paper considers the dynamics of a simple harmonic oscillator in the context of Generalized (Gravitational) Uncertainty Principle (GUP). Using Heisenberg Picture of quantum mechanics, we find time evolution of position and momentum operators and we will show that expectation values have an unusual complicated mass dependence. Also we will show that since the notion of locality breaks down, Ehrenfest theorem is not satisfied for harmonic oscillator in GUP.