Quantum Financial Economics - Risk and Returns
Copyright policy )Quantum Financial Economics - Risk and Returns
Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and in the risk dynamics. The model is simulated and the results are compared with actual financial volatility data.
18 pages; 5 figures; Based on talk given at the conference "As Ci\^encias Sociais: Abordagens de Investiga\c{c}\~ao" (Lisbon, 2011)
- University of Lisbon Portugal
- Universidade Lusófona Portugal
- Technical University of Lisbon Portugal
- Technical University of Lisbon
- INSTITUTO SUPERIOR DE CIENCIAS SOCIAIS E POLITICAS Portugal
Physics - Physics and Society, intrinsic time, Stochastic models in economics, business cycle dynamics, FOS: Physical sciences, Physics and Society (physics.soc-ph), quantum financial economics, Nonlinear Sciences - Adaptation and Self-Organizing Systems, FOS: Economics and business, quantum chaotic volatility, Risk Management (q-fin.RM), 91A22, 91G80, 82C27, 82C10, Adaptation and Self-Organizing Systems (nlin.AO), Applications of statistical and quantum mechanics to economics (econophysics), Quantitative Finance - Risk Management
Physics - Physics and Society, intrinsic time, Stochastic models in economics, business cycle dynamics, FOS: Physical sciences, Physics and Society (physics.soc-ph), quantum financial economics, Nonlinear Sciences - Adaptation and Self-Organizing Systems, FOS: Economics and business, quantum chaotic volatility, Risk Management (q-fin.RM), 91A22, 91G80, 82C27, 82C10, Adaptation and Self-Organizing Systems (nlin.AO), Applications of statistical and quantum mechanics to economics (econophysics), Quantitative Finance - Risk Management
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