2020/09/01 by Will Hicks, Hicks, Will
Economics, Econometrics and Finance · Physics and Astronomy · #91B28 #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Quantum Mechanics and Applications #Stochastic processes and financial applications #msc:91B28 #q-fin.MF
paper · pdf · doi:10.48550/arxiv.2009.00360
18 pages, 1 figure
openalex publication_date 2020/09/01 · arxiv created 2021/04/06 · arxiv updated 2021/04/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Financial models based on the Wick product, and White Noise formalism have previously been suggested in order to incorporate integrals with respect to fractional Brownian motion. It has also been pointed out that this leads naturally to a quantum mechanical interpretation of the financial market. In this article we pursue this idea further, and in particular show how the framework of quantum probability can be used to construct Martingales, without relying on Brownian integrals. We go on to suggest benefits of doing so, and avenues for future work.