2020/08/08 by Igor Halperin, Halperin, Igor
Economics, Econometrics and Finance · #Adaptation and Self-Organizing Systems (nlin.AO) #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #General Finance (q-fin.GN) #Physics and Society (physics.soc-ph) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2008.03623
openalex publication_date 2020/08/08 · openalex created_date 2022/07/24 · openalex updated_date 2026/07/28
Classical quantitative finance models such as the Geometric Brownian Motion\nor its later extensions such as local or stochastic volatility models do not\nmake sense when seen from a physics-based perspective, as they are all\nequivalent to a negative mass oscillator with a noise. This paper presents an\nalternative formulation based on insights from physics.\n