2024/06/28 by Will Hicks, Hicks, Will · 1 citation
Economics, Econometrics and Finance · #91-10 #Complex Systems and Time Series Analysis #FOS: Economics and business #Mathematical Finance (q-fin.MF)
paper · pdf · doi:10.48550/arxiv.2406.20027
openalex publication_date 2024/06/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more flexible alternative to classical methods in terms of modelling the entropy gain of a random process. We start by describing an open quantum system that can be used to model the state of a financial market. We then go on to show how to represent an essentially classical diffusion in this framework. Finally, we show how by relaxing certain assumptions, one can generate interesting and essentially non-classical results, which are highlighted through numerical simulations.