Path integral for equities: Dynamic correlation and empirical analysis

This paper develops a model to describe the unequal time correlation between rate of returns of different stocks. A non-trivial fourth order derivative Lagrangian is defined to provide an unequal time propagator, which can be fitted to the market data. A calibration algorithm is designed to find the...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Physica A 2012-02, Vol.391 (4), p.1408-1427
Hauptverfasser:	Baaquie, Belal E., Cao, Yang, Lau, Ada, Tang, Pan
Format:	Artikel
Sprache:	eng
Schlagworte:	Calibration Correlation Correlation analysis Derivatives Empirical analysis Equity Gaussian Higher derivative Lagrangian Mathematical models Quantum finance Raw materials
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!