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Quantum-Like Tunnelling and Levels of Arbitrage
Univ Leicester, Sch Management & Inst Finance, Leicester, Leics, England.
Linnéuniversitetet, Fakulteten för teknik (FTK), Institutionen för matematik (MA).ORCID-id: 0000-0002-9857-0938
2013 (engelsk)Inngår i: International journal of theoretical physics, ISSN 0020-7748, E-ISSN 1572-9575, Vol. 52, nr 11, s. 4083-4099Artikkel i tidsskrift (Fagfellevurdert) 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.

sted, utgiver, år, opplag, sider
2013. Vol. 52, nr 11, s. 4083-4099
Emneord [en]
Quantum-like models, Finance, Wave numbers, Arbitrage
HSV kategori
Forskningsprogram
Naturvetenskap, Matematik
Identifikatorer
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
Tilgjengelig fra: 2013-11-07 Laget: 2013-11-07 Sist oppdatert: 2017-12-06bibliografisk kontrollert

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