13,550 research outputs found
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
Revisit of directed flow in relativistic heavy-ion collisions from a multiphase transport model
We have revisited several interesting questions on how the rapidity-odd
directed flow is developed in relativistic Au+Au collisions at
= 200 and 39 GeV based on a multiphase transport model. As the
partonic phase evolves with time, the slope of the parton directed flow at
midrapidity region changes from negative to positive as a result of the later
dynamics at 200 GeV, while it remains negative at 39 GeV due to the shorter
life time of the partonic phase. The directed flow splitting for various quark
species due to their different initial eccentricities is observed at 39 GeV,
while the splitting is very small at 200 GeV. From a dynamical coalescence
algorithm with Wigner functions, we found that the directed flow of hadrons is
a result of competition between the coalescence in momentum and coordinate
space as well as further modifications by the hadronic rescatterings.Comment: 8 pages, 8 figures, version after major revisio
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
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