Modelling Illiquid Stocks Using Quantum Stochastic Calculus
Quantum Stochastic Calculus can be used as a means by which randomness can be introduced to observables acting on a Hilbert space. In this article we show how the mechanisms of Quantum Stochastic Calculus can be used to extend the classical Black-Scholes framework by incorporating a breakdown in the liquidity of a traded asset. This is captured via the widening of the bid offer spread, and the impact on the nature of the resulting probability distribution is modelled in this work.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Modelling Illiquid Stocks Using Quantum Stochastic Calculus: Asymptotic Methods
This article investigates the Fokker-Planck equations that arise from the application of quantum stochastic calculus to the modelling of illiquid financial markets, using asymptotic methods. We present a power series sol…
Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative n…
The illiquidity network of stocks in China's market crash
The Chinese stock market experienced an abrupt crash in 2015, and over one-third of its market value evaporated. Given its associations with fear and the fine resolution with respect to frequency, the illiquidity of stoc…
Towards Quantum Language Models
This paper presents a new approach for building Language Models using the Quantum Probability Theory, a Quantum Language Model (QLM). It mainly shows that relying on this probability calculus it is possible to build stoc…
Automatic Speech RecognitionAutomatic Speech Recognition (ASR)Decision MakingInformation Retrieval+6Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evo…