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
Date Written: April 21, 2010
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: Suggested Citation