Search Results for author: Alan Au

Found 5 papers, 0 papers with code

Spontaneous symmetry breaking in Quantum Finance

no code implementations5 Nov 2020 Ivan Arraut, Alan Au, Alan Ching-biu Tse

We analyze the phenomena of spontaneous symmetry breaking in Quantum Finance by using as a starting point the Black-Scholes (BS) and the Merton-Garman (MG) equations expressed in the Hamiltonian form.

On the multiplicity of the martingale condition: Spontaneous symmetry breaking in Quantum Finance

no code implementations18 Apr 2020 Ivan Arraut, Alan Au, Alan Ching-biu Tse

We demonstrate that the martingale condition in the stock market can be interpreted as a vacuum condition when we express the financial equations in the Hamiltonian form.

On the probability flow in the Stock market I: The Black-Scholes case

no code implementations20 Dec 2019 Ivan Arraut, Alan Au, Alan Ching-biu Tse, Joao Alexandre Lobo Marques

Finally, we find the conditions under which the probability might be conserved in the market, challenging in this way the non-Hermitian nature of the Black-Scholes Hamiltonian.

The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance

no code implementations14 May 2019 Ivan Arraut, Alan Au, Alan Ching-biu Tse, Carlos Segovia

We work over the special case where we can predict the evolution of the system by joining a single price for the Option, defined at some specific time with a pair of prices defined at another instant.

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