From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

详细信息    查看全文

• 作者：Christof Henkel ^{henkel.christof@gmail.com}
• 关键词：60F05 ; 60J60 ; 60K35 ; 91D30 ; 91B69 ; 91B80
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 March 2017
• 年：2017
• 卷：469
• 期：Complete
• 页码：447-458
• 全文大小：898 K
• 卷排序：469

文摘

We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.