论文标题
金融市场中价格形成的量子耦合波理论：价格测量，动态和千古
Quantum coupled-wave theory of price formation in financial markets: price measurement, dynamics and ergodicity
论文作者
论文摘要
我们探索金融市场价格形成的性质，并发展出出价理论，并提出价格动态，在这种动态中，由于买卖订单之间的量子性相互互动而引起的两个价格形成。在此模型中，出价和询问价格由2x2价格运营商的特征值代表，该价格运算符对应于“ bid”和“ ask ask'eigenstates，而价格运营商的随机性会导致价格波动破坏振动效应。我们表明，该理论充分捕捉了出价式传播的行为，并允许以协调的方式建模出价并提出价格动态。我们还讨论了价格形成的千古特性，并展示了方向价格转移是如何由于量子过程中的侵犯牙齿侵犯而导致的，而不是普遍认为是对价格作用的力量。该理论具有广泛的应用，例如贸易执行建模，大订单定价和不流动证券的风险评估。
We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are represented by eigenvalues of a 2x2 price operator corresponding to 'bid' and 'ask' eigenstates, while randomness of price operator results in price fluctuations that destroy oscillatory effects. We show that this theory adequately captures behavior of bid-ask spread and allows to model bid and ask price dynamics in a coordinated way. We also discuss ergodicity properties of price formation and show how directional price movement occurs due to ergodicity violation in a quantum process instead of the commonly believed forces acting on price. This theory has wide range of applications such as trade execution modeling, large order pricing and risk valuation for illiquid securities.
