英文标题：
《Quantum Brownian oscillator for the stock market》
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作者：
Jasmina Jekni\\\'c-Dugi\\\'c, Sonja Radi\\\' c, Igor Petrovi\\\'c, Momir
Arsenijevi\\\'c, Miroljub Dugi\\\'c
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最新提交年份：
2018
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英文摘要：
We pursue the quantum-mechanical challenge to the efficient market hypothesis for the stock market by employing the quantum Brownian motion model. We utilize the quantum Caldeira-Leggett master equation as a possible phenomenological model for the stock-market-prices fluctuations while introducing the external harmonic field for the Brownian particle. Two quantum regimes are of particular interest: the exact regime as well as the approximate regime of the pure decoherence (\"recoilless\") limit of the Caldeira-Leggett equation. By calculating the standard deviation and the kurtosis for the particle\'s position observable, we can detect deviations of the quantum-mechanical behavior from the classical counterpart, which bases the efficient market hypothesis. By varying the damping factor, temperature as well as the oscillator\'s frequency, we are able to provide interpretation of different economic scenarios and possible situations that are not normally recognized by the efficient market hypothesis. Hence we recognize the quantum Brownian oscillator as a possibly useful model for the realistic behavior of stock prices.
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中文摘要：
我们利用量子布朗运动模型，对股票市场的有效市场假说提出量子力学挑战。我们利用量子Caldeira-Leggett master方程作为股票市场价格波动的可能现象学模型，同时引入布朗粒子的外部谐波常有两个量子区特别令人感兴趣：卡尔德拉-莱格特方程的纯退相干（“无后坐力”）极限的精确区和近似区。通过计算可观测粒子位置的标准差和峰度，我们可以检测量子力学行为与基于有效市场假说的经典行为的偏差。通过改变阻尼因子、温度以及振荡器的频率，我们能够解释不同的经济情景和可能的情况，而这些情况通常不被有效市场假说所认识。因此，我们认识到量子布朗振子对于股票价格的现实行为可能是一个有用的模型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Quantum Physics 量子物理学
分类描述：Description coming soon
描述即将到来
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