In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved

BAGARELLO F (2007). Stock markets and quantum dynamics: a second quantized description. PHYSICA. A, 386, 283-302 [10.1016/j.physa.2007.08.031].

Stock markets and quantum dynamics: a second quantized description

BAGARELLO, Fabio
2007-01-01

Abstract

In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved
2007
Settore MAT/07 - Fisica Matematica
BAGARELLO F (2007). Stock markets and quantum dynamics: a second quantized description. PHYSICA. A, 386, 283-302 [10.1016/j.physa.2007.08.031].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/18485
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