Quantum diffusion of prices and profits

Abstract

We discuss the time evolution of quotation of stocks and commodities and show that quantum-like correction to the orthodox Bachelier model may be important. Our analysis shows that traders act as a sort of (quantum) tomograph and their strategies can be reproduced from the corresponding Wigner functions. The proposed interpretation of the chaotic movement of market prices imply that Orstein-Uhlenbeck corrections to the Bachelier model should qualitatively matter for large $\gamma$ scales. We also propose a solution to the currency preference paradox.