Physics_of_financial_markets

Physics of financial markets

Physics of financial markets

Discipline that studies financial markets as physical systems

Physics of financial markets is a discipline that studies financial markets as physical systems. It seeks to understand the nature of financial processes and phenomena by employing the scientific method and avoiding beliefs, unverifiable assumptions and immeasurable notions, not uncommon to economic disciplines.

Physics of financial markets addresses issues such as theory of price formation, price dynamics,[1][2] market ergodicity,[3][4][5] collective phenomena, market self-action, and market instabilities.

Physics of financial markets should not be confused with mathematical finance, which are only concerned with descriptive mathematical modeling of financial instruments without seeking to understand nature of underlying processes.

See also

References

  1. [1]
    Nastasiuk, Vadim A. (2014). "Emergent quantum mechanics of finances". Physica A: Statistical Mechanics and Its Applications. 403. Elsevier BV: 148–154. arXiv:1312.3247. Bibcode:2014PhyA..403..148N. doi:10.1016/j.physa.2014.02.037. ISSN 0378-4371. S2CID 122848354.
  2. [2]
    Nastasiuk, V.A. (2015). "Fisher information and quantum potential well model for finance". Physics Letters A. 379 (36). Elsevier BV: 1998–2000. arXiv:1504.03822. Bibcode:2015PhLA..379.1998N. doi:10.1016/j.physleta.2015.06.052. ISSN 0375-9601.
  3. [3]
    Peters, O.; Klein, W. (2013-03-08). "Ergodicity Breaking in Geometric Brownian Motion". Physical Review Letters. 110 (10): 100603. arXiv:1209.4517. Bibcode:2013PhRvL.110j0603P. doi:10.1103/physrevlett.110.100603. ISSN 0031-9007. PMID 23521245. S2CID 27561974.
  4. [4]
    Peters, Ole (2011). "Optimal leverage from non-ergodicity". Quantitative Finance. 11 (11). Informa UK Limited: 1593–1602. arXiv:0902.2965. doi:10.1080/14697688.2010.513338. ISSN 1469-7688. S2CID 18047037.
  5. [5]
    Lillo, Fabrizio; Mantegna, Rosario N. (2000-11-01). "Variety and volatility in financial markets". Physical Review E. 62 (5). American Physical Society (APS): 6126–6134. arXiv:cond-mat/0006065. Bibcode:2000PhRvE..62.6126L. doi:10.1103/physreve.62.6126. ISSN 1063-651X. PMID 11101943. S2CID 29760898.
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