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Quantum-Like Tunnelling and Levels of Arbitrage
Univ Leicester, Sch Management & Inst Finance, Leicester, Leics, England.
Linnaeus University, Faculty of Technology, Department of Mathematics.ORCID iD: 0000-0002-9857-0938
2013 (English)In: International journal of theoretical physics, ISSN 0020-7748, E-ISSN 1572-9575, Vol. 52, no 11, p. 4083-4099Article in journal (Refereed) Published
Abstract [en]

We apply methods of wave mechanics to financial modelling. We proceed by assigning a financial interpretation to wave numbers. This paper makes a plea for the use of the concept of 'tunnelling' (in the mathematical formalism of quantum mechanics) in the modelling of financial arbitrage. Financial arbitrage is a delicate concept to model in social science (i.e. in this case economics and finance) as its presence affects the precision of benchmark financial asset prices. In this paper, we attempt to show how 'tunnelling' can be used to positive effect in the modelling of arbitrage in a financial asset pricing context.

Place, publisher, year, edition, pages
2013. Vol. 52, no 11, p. 4083-4099
Keywords [en]
Quantum-like models, Finance, Wave numbers, Arbitrage
National Category
Mathematics Physical Sciences
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-30173DOI: 10.1007/s10773-013-1722-0ISI: 000325131000033Scopus ID: 2-s2.0-84884902797OAI: oai:DiVA.org:lnu-30173DiVA, id: diva2:662487
Available from: 2013-11-07 Created: 2013-11-07 Last updated: 2017-12-06Bibliographically approved

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Khrennikov, Andrei

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