Quantum Brownian motion model for the stock market

It is believed by the majority today that the efficient market hypothesis is imperfect because of market irrationality. Using the physical concepts and mathematical structures of quantum mechanics, we construct an econophysics framework for the stock market, based on which we analogously map massive numbers of single stocks into a reservoir consisting of many quantum harmonic oscillators and their stock index into a typical quantum open system--a quantum Brownian particle. In particular, the irrationality of stock transactions is quantitatively considered as the Planck constant within Heisenberg's uncertainty relationship of quantum mechanics in an analogous manner. We analyze real stock data of Shanghai Stock Exchange of China and investigate fat-tail phenomena and non-Markovian behaviors of the stock index with the assistance of the quantum Brownian motion model, thereby interpreting and studying the limitations of the classical Brownian motion model for the efficient market hypothesis from a new perspective of quantum open system dynamics

Fragmentation functions of polarized heavy quarkonium

Study of the polarized heavy quarkonium production in recently proposed QCD factorization formalism requires knowledge of a large number of input fragmentation functions (FFs) from a single parton or a heavy quark-antiquark pair to a polarized heavy quarkonium. In this paper, we calculate these FFs at the input scale in terms of nonrelativistic QCD (NRQCD) factorization. We derive all relevant polarized NRQCD long-distance matrix elements based symmetries and propose a self-consistent scheme to define them in arbitrary $d$ dimensions. We then calculate polarized input FFs contributed from all $S$-wave and $P$-wave NRQCD intermediate states. With our calculation of the polarized input FFs, and the partonic hard part available in literatures, the QCD factorization formalism is ready to be applied to polarized heavy quarkonium production.Comment: 30 pages, 1 figur

Quantum spatial-periodic harmonic model for daily price-limited stock markets

We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlation and intra-band negative correlation between the volatility and the trading volume of stocks are derived by considering the energy band structure of the model. The validity of price limitation is then examined and abnormal phenomena of a price-limited stock market (Shanghai Stock Exchange) of China are studied by applying our quantum model.Comment: 8 pages, 9 figure