12 citations · 18 across the 3 of their papers we have counts for
4 papers
Quantum coupled-wave theory of price formation in financial markets: price measurement, dynamics and ergodicity
Jack Sarkissian
We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between…
Spread, volatility, and volume relationship in financial markets and market making profit optimization
Jack Sarkissian
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When tra…
Quantum theory of securities price formation in financial markets
Jack Sarkissian
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by tradi…
Coupled mode theory of stock price formation
Jack Sarkissian
We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues o…