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Quantum-like Viewpoint on the Complexity and Randomness of the Financial Market

  • Olga Choustova
Part of the New Economic Windows book series (NEW)

Abstract

In economics and financial theory, analysts use random walk and more general martingale techniques to model behavior of asset prices, in particular share prices on stock markets, currency exchange rates and commodity prices. This practice has its basis in the presumption that investors act rationally and without bias, and that at any moment they estimate the value of an asset based on future expectations. Under these conditions, all existing information affects the price, which changes only when new information comes out. By definition, new information appears randomly and influences the asset price randomly. Corresponding continuous time models are based on stochastic processes (this approach was initiated in the thesis of [4]), see, e.g., the books of [33] and [37] for historical and mathematical details.

Keywords

Stock Market Asset Price Price Change Asset Return Quadratic Variation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2009

Authors and Affiliations

  • Olga Choustova
    • 1
  1. 1.International Center for Mathematical Modeling in Physics, Engineering and Cognitive ScienceVäxjö UniversitySweden

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