Waves
By 
Didier Darcet
1 June 2019

Quantum-like Market Memory

This letter presents visual analogies between quantum physics and market behaviour with regards to risk memory. As shown in the previous publication, market risk memory exists, which is inconsistent with the theoretical picture proposed by traditional financial mathematics. Such an inconsistency, between theory and reality, is at the heart of quantum physics, known as the wave-particle duality. As for particles, represented by wave functions, market distribution of returns are distorted by intercations, i.e. transactions. Such distortions can be measured, and affect all common financial risk measures, such as Value-at-Risk.


magnifiermenu