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Quntum tunneling in financial markets?

  1. Jul 30, 2013 #1
    Is it possible that nuclear physics and financial markets to fallow the same laws of Nature? This paper suggest it.

    https://www.researchgate.net/publication/251876307_Quantum_Tunneling_of_Stock_Price_in_Range_Bound_Market_Conditions[/url]
     
  2. jcsd
  3. Jul 30, 2013 #2

    bhobba

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    Financial markets do not follow laws of nature - they are man made constructs.

    What is more likely is that as an emergent phenomena it replicates mathematical structures found at a lower level. Guys like Murray Gell-Mann believe this is the very essence of mathematical beauty in the world. For example pi crops up all over the place. Its not because there are secret circles hidden in phenomena but rather it is fundamental to the mathematical structure of the world.

    Thanks
    Bill
     
  4. Jul 30, 2013 #3
    Cars are man made constructs too...and it fallows the laws of nature.
     
  5. Jul 30, 2013 #4

    bhobba

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    Last edited: Jul 30, 2013
  6. Jul 30, 2013 #5

    ZapperZ

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    Just because someone somewhere found some similarities to something in physics does NOT make it a valid description. I can show you a rebuttal to something of that nature here where someone thinks that a theory in psychology can be described by some fluid dynamics equation:

    http://www.huffingtonpost.com/2013/...oaxer-blasts-psychology-theory_n_3618286.html

    And to think that the financial market can behave THAT predictably, after so many unexpected crashes and meltdowns, is ignoring the numerous observations and facts.

    BTW, unless this has been published in a peer-reviewed journal (check the source, it is only on ArXiv so far), it is not a valid topic for discussion in this area of physics in this forum.

    Zz.
     
    Last edited: Jul 30, 2013
  7. Jul 30, 2013 #6
    I didn't read the entire article, but I did peruse it. He comes up with a version of the Shroedinger eqn with the stock price s taking the place of position. He has a potential function of [itex]\frac{1}{s^2}[/itex]. I didn't see where he changed over to something like [itex]\frac{1}{(s - s_0)^2}[/itex] so his ranges run from negative money to positive, an unusual range to say the least. What's more, the shape of the potential is wrong for tunneling since it has no 'wall' like a particle in a box would have. I didn't read what variable represents energy in this equation, but perhaps it is [itex]\frac{1}{2}m(s')^2[/itex] where m is something like the mass of the stock. If a stock has a fixed mass, there is a fixed energy to the stock which in conjunction with the potential defines the endpoints of the range. Perhaps knowing the endpoints of the range would then tell you the energy and mass of the stock. Then he calculates the transition and reflection probabilities at the ends of the range and I suppose this models the behavior of real stocks both while range bound, and when they tunnel out of their ranges.

    I find some differences between this description of stock behavior and quantum tunneling. In the later case, the particle appears on the opposite side of a classically forbidden region. I don't know that stock prices have classically forbidden regions. Another is that the range in quantum tunneling is static. The range that a stock trades in is caused by sellers at the high end and buyers at the low end. The forces exerted by these buyers and sellers is time dependent. You can't tell the difference between a shift in the range, or a price that has tunneled out of an existing range. Certainly, as soon as a stock price were to tunnel out of it's range, that range would cease to have any existence, unlike say an alpha particle which has escaped a nucleus which continues to exist. The stock price s is quantized, but the position x of a particle in a box is not.
     
  8. Jul 30, 2013 #7

    ZapperZ

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    Vic: maybe you can put a bit more of a careful analysis of the paper and then write a short rebuttal and upload to ArXiv. Many of these people in the finance world have "physics envy", and some of them need to be straightened out.

    Zz.
     
  9. Jul 30, 2013 #8
    Well, Vic you should read the entire article. You will see that there are walls exactly like in alpha decay theory. Of course there are no masses or energies involved since the equation refers to stocks. Try not to think so rigidly and raw transmute observables from quantum world to finance.

    The equation is deduced fom financial realities so ...contains quantities from finance.

    Zapper, the equation in the paper has noting do with predicting financial crushes. It reffers to the probability that a quantum tunneling like effect could happen in certain market conditions. It also deduced that probability by means of transmission coefficient.
     
  10. Jul 30, 2013 #9
    Zapper ...the only envy I can see here is yours.
     
  11. Jul 30, 2013 #10

    ZapperZ

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    No, you missed the point. My comment was directed to your assertion that a car is man-made and obeys the law of nature. I'm showing evidence that such an assertion is false because an attempt at trying to confined human behavior (and financial markets ARE dictated by human behavior) to such well-defined physical laws is not valid!

    You didn't address Vic's assertion that the quantities in the paper included parts in the unphysical region. And it appears that the author also have never heard of the WKB method in coming up with the solution the transmission coefficient.

    And note my point about waiting for it to be published.

    Zz.
     
  12. Jul 30, 2013 #11

    ZapperZ

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  13. Jul 30, 2013 #12

    Borg

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    And, people here have doubts about it.
    It's interesting that the paper was uploaded on the 29th, your PF account was created on the 30th, both have similar names and this is the only thing that you're posting about. Even the grammatical mistakes are similar. Looks like you're trying to get people to agree with a paper that you wrote and don't like the responses that you're getting.
     
  14. Jul 30, 2013 #13
    My idea was to debate the new concept of quantum tunneling in finance and not peoples behavior, either they work in finance or physics.
     
  15. Jul 30, 2013 #14

    ZapperZ

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    Then what you are attempting to do is to discuss a speculative, unpublished idea. This is in clear violation of the PF Rules that you had agreed to (read it again!).

    Thread closed.

    Zz.
     
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