arXiv subjects

Giovanni Paolinelli

Publications and source records attributed to Giovanni Paolinelli.

2 recordsLinked to original sources

arXiv2018

A model for stocks dynamics based on a non-Gaussian path integral

We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time scales. The result is a model with a very small number of parameters that provides very good fits of some stock prices and indices fluctuations.

q-fin.CP↗

arXiv2018

A path integral based model for stocks and order dynamics

We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 index.

q-fin.CP↗