Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets
Article
Dupoyet, B, Fiebig, HR, Musgrove, DP. (2010). Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets
. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 389(1), 107-116. 10.1016/j.physa.2009.09.002
Dupoyet, B, Fiebig, HR, Musgrove, DP. (2010). Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets
. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 389(1), 107-116. 10.1016/j.physa.2009.09.002
We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index.