3 papers
q-fin.TR2020
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…
q-fin.TR2016
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…
q-fin.TR2016
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…