A quantum anharmonic oscillator model for the stock market

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• 作者：Tingting Gao ; Yu Chen ; ^{chen@k.u-tokyo.ac.jp}
• 关键词：Quantum anharmonic oscillator ; Stock market ; Potential operator ; Probability distribution
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 February 2017
• 年：2017
• 卷：468
• 期：Complete
• 页码：307-314
• 全文大小：631 K
• 卷排序：468

文摘

A quantum anharmonic oscillator model is proposed to describe the stock price return. Excited states are used to explain the leptokurtic distributions of stock indices. The model is applicable to both liquid and illiquid markets. Data filtering is applied to extract price data for the trend following behavior.