Quantum Financial Economics - Risk and Returns

Details Quantum Financial Economics - Risk and Returns Quantum Financial Economics - Risk and Returns

2011-07-13

arxiv.org/abs/1107.2562v2

Economy

Quantitative Finance

Risk Management

18 pages; 5 figures; Based on talk given at the conference "As Ci\^encias Sociais: Abordagens de Investiga\c{c}\~ao" (Lisbon,

Scientific paper

Financial volatility risk and its relation to a business cycle-related
intrinsic time is addressed through a multiple round evolutionary quantum game
equilibrium leading to turbulence and multifractal signatures in the financial
returns and in the risk dynamics. The model is simulated and the results are
compared with actual financial volatility data.

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