A Quantum Mechanical Financial Time Series Model
10 Pages Posted: 11 May 2021
Date Written: May 11, 2021
This paper introduces a time series model derived from the reverse engineering of the Schrodinger equation. The model is a wave packet model which has a stochastic drift as a superposition of trigonometric functions. The model can be thought of as a financial time series model that includes a model of a real-world measure that allows the opportunity to profit from market timing strategies and a model of an efficient market hypothesis that does not allow it.
Keywords: State Space Model, Wave Packet Model, Schrodinger Equation, White Noise Process
JEL Classification: C22,C58,G14
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