4 papers
Modelling Financial Market Imperfection Using Open Quantum Systems
Will Hicks
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price.…
Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
Will Hicks
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example…
Information Entropy of the Financial Market: Modelling Random Processes Using Open Quantum Systems
Will Hicks
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 ho…
Wild Randomness, and the application of Hyperbolic Diffusion in Financial Modelling
Will Hicks
The application of the Cauchy distribution has often been discussed as a potential model of the financial markets. In particular the way in which single extreme, or "Black Swan", e…