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

cited authors

  • Dupoyet, B; Fiebig, HR; Musgrove, DP

authors

abstract

  • 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.

publication date

  • January 1, 2010

published in

Digital Object Identifier (DOI)

start page

  • 107

end page

  • 116

volume

  • 389

issue

  • 1