Gauge Invariant Lattice Quantum Field Theory: Implications for Statistical Properties in High Frequency Financial Markets

Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 1, 1 January 2010, Pages 107-116

7 Pages Posted: 17 May 2019

See all articles by Brice V. Dupoyet

Brice V. Dupoyet

Florida International University - College of Business Administration - Finance

Rudolf H Fiebig

Florida International University (FIU) - Department of Physics

David Musgrove

American Real Estate Society - Florida International University

Date Written: April 21, 2010

Abstract

We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index.

Keywords: Econophysics, Financial markets, Statistical field theory, Gauge invariance

JEL Classification: G10

Suggested Citation

Dupoyet, Brice and Fiebig, Rudolf H and Musgrove, David, Gauge Invariant Lattice Quantum Field Theory: Implications for Statistical Properties in High Frequency Financial Markets (April 21, 2010). Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 1, 1 January 2010, Pages 107-116. Available at SSRN: https://ssrn.com/abstract=3357724 or http://dx.doi.org/10.2139/ssrn.3357724

Brice Dupoyet (Contact Author)

Florida International University - College of Business Administration - Finance ( email )

University Park, RB 209 A
11200 SW 8th Street
Miami, FL 33199
United States
305-348-3328 (Phone)
305-348-4245 (Fax)

Rudolf H Fiebig

Florida International University (FIU) - Department of Physics ( email )

FL
United States

David Musgrove

American Real Estate Society - Florida International University ( email )

1101 Brickell Ave Ste 1100S
Miami, FL 33131-3113
United States

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