``Quantum equilibrium-disequilibrium: asset price dynamics, symmetry breaking, and defaults as dissipative instantons

DOI10.1016/J.PHYSA.2019.122187OpenAlexW2887759046MaRDI QIDQ2164525

Igor Halperin, Matthew F. Dixon

Publication date: 15 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.03607

zbMATH Keywords

phase transitionsinstantonsmetastabilitysupersymmetryfrictionsnon-equilibrium markets

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (4)

Quantum coupled-wave theory of price formation in financial markets: price measurement, dynamics and ergodicity ⋮ Financial markets and the phase transition between water and steam ⋮ Forecasting price of financial market crash via a new nonlinear potential GARCH model ⋮ Non-equilibrium skewness, market crises, and option pricing: non-linear Langevin model of markets with supersymmetry

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Dynamical breaking of supersymmetry
• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• The Fokker-Planck equation. Methods of solution and applications.
• Fermions without Fermions: The Nicolai Map Revisited
• Instantons and Large N
• Liquidity and Asset Prices
• An Asymptotic Theory of Growth Under Uncertainty
• Black, Merton and Scholes - Their Central Contributions to Economics
• Statistical Field Theory
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Financial Derivatives
• Divergence of Perturbation Theory in Quantum Electrodynamics
• Preface

This page was built for publication: ``Quantum equilibrium-disequilibrium: asset price dynamics, symmetry breaking, and defaults as dissipative instantons