Financial time operator for random walk markets

DOI10.1016/J.CHAOS.2013.08.010zbMath1355.91056OpenAlexW1987257353MaRDI QIDQ508162

Ioannis E. Antoniou, Ilias Gialampoukidis, Karl Gustafson

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2013.08.010

zbMATH Keywords

stock marketfinancial time operatornon-stationary Bernoulli process

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Statistical methods; economic indices and measures (91B82) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Related Items (3)

Age, innovations and time operator of networks ⋮ Antieigenvalue analysis for continuum mechanics, economics, and number theory ⋮ Time operator of Markov chains and mixing times. Applications to financial data

Cites Work

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• Estimating variance from high, low and closing prices
• Canonical commutation relations of quantum mechanics and stochastic regularity
• Wavelets and stochastic processes
• Time operator for diffusion.
• The time operator of the cusp map
• From deterministic dynamics to probabilistic descriptions

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