A Quantum Mechanical Financial Time Series Model

10 Pages Posted: 11 May 2021 Last revised: 30 Nov 2022

Date Written: May 11, 2021

Abstract

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, Schrödinger Equation, White Noise Process

JEL Classification: C22, C58, G14

Suggested Citation

Hirano, Kaname, A Quantum Mechanical Financial Time Series Model (May 11, 2021). Available at SSRN: https://ssrn.com/abstract=3843517 or http://dx.doi.org/10.2139/ssrn.3843517

Kaname Hirano (Contact Author)

Independent ( email )

Japan

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