Physics of financial markets

Physics of financial markets is a discipline that studies financial markets from the perspective of physics. It seeks to understand the nature of financial processes and phenomena by employing the scientific method and avoiding beliefs, unverifiable assumptions and immeasurable notions, not uncommon to finance and economic disciplines. Physics of financial markets addresses issues such issues as theory of price formation,[1][2][3][4] price dynamics,[5][1][6][7] market ergodicity,[8][9][10][11] collective phenomena, market self-action, and market instabilities. Physics of financial markets should not be confused for quantitative finance and econophysics, which are only concerned with modeling financial instruments without seeking to understand nature of underlying processes.

References
  1. J. Sarkissian (2013), "Coupled mode theory of stock price formation".
  2. J. Sarkissian (April, 2016), "Quantum Theory of Securities Price Formation in Financial Markets". Available at SSRN: http://ssrn.com/abstract=2765298
  3. J. Sarkissian (June, 2016), "Spread, volatility, and volume relationship in financial markets and market making profit optimization". Available at SSRN: http://ssrn.com/abstract=2799798
  4. J. Sarkissian, "Option pricing under quantum theory of securities price formation" (October 4, 2016). Available at SSRN: http://ssrn.com/abstract=2848014
  5. El Sherbini, Akram (2019). "Linear Momentum and Performance Indicators" (PDF). IFTA Journal: 4–18.
  6. Nastasiuk, Vadim A. (2014). "Emergent quantum mechanics of finances". Physica A: Statistical Mechanics and Its Applications. Elsevier BV. 403: 148–154. arXiv:1312.3247. doi:10.1016/j.physa.2014.02.037. ISSN 0378-4371.
  7. Nastasiuk, V.A. (2015). "Fisher information and quantum potential well model for finance". Physics Letters A. Elsevier BV. 379 (36): 1998–2000. arXiv:1504.03822v1. doi:10.1016/j.physleta.2015.06.052. ISSN 0375-9601.
  8. J. Sarkissian, "Express Measurement of Market Volatility Using Ergodicity Concept" (July 20, 2016). Available at SSRN: http://ssrn.com/abstract=2812353
  9. Peters, O.; Klein, W. (2013-03-08). "Ergodicity Breaking in Geometric Brownian Motion". Physical Review Letters. 110 (10): 100603. arXiv:1209.4517. doi:10.1103/physrevlett.110.100603. ISSN 0031-9007. PMID 23521245.
  10. Peters, Ole (2011). "Optimal leverage from non-ergodicity". Quantitative Finance. Informa UK Limited. 11 (11): 1593–1602. arXiv:0902.2965. doi:10.1080/14697688.2010.513338. ISSN 1469-7688.
  11. Lillo, Fabrizio; Mantegna, Rosario N. (2000-11-01). "Variety and volatility in financial markets". Physical Review E. American Physical Society (APS). 62 (5): 6126–6134. arXiv:cond-mat/0006065. doi:10.1103/physreve.62.6126. ISSN 1063-651X. PMID 11101943.
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