Distribution of Return Transition for Bohm-Vigier Stochastic Mechanics in Stock Market-Reference-Cited by-同舟云学术

Distribution of Return Transition for Bohm-Vigier Stochastic Mechanics in Stock Market

Published:2023-07-17 Issue:7 Volume:15 Page:1431
ISSN:2073-8994
Container-title:Symmetry
language:en
Short-container-title:Symmetry

Author:

Liu Chang¹,Chang Chuo²,Chang Zhe³⁴

Affiliation:

1. School of Economics & Management, University of Science and Technology Beijing, Beijing 100083, China

2. PBC School of Finance, Tsinghua University, Beijing 100083, China

3. Institute of High Energy Physics, Chinese Academy of Sciences, Beijing 100049, China

4. University of Chinese Academy of Sciences, Beijing 100049, China

Abstract

The Bohm-Vigier stochastic model is assumed as a natural generalization of the Black-Scholes model in stock market. The behavioral factor of stock market recognizes as a hidden sector in Bohmian mechanics. A Fokker-Planck equation description for the Bohm-Vigier stochastic model is presented. We find the familiar Boltzmann distribution is a stationary solution of the Fokker-Planck equation for the Bohm-Vigier model. The return transition distribution of stock market, which corresponds with a time-dependent solution of the Fokker-Planck equation, is obtained.

Funder

National Natural Science Foundation of China

Key Research Program of the Chinese Academy of Sciences

China Postdoctoral Science Foundation

Publisher

MDPI AG

Subject

Physics and Astronomy (miscellaneous),General Mathematics,Chemistry (miscellaneous),Computer Science (miscellaneous)

Link

https://www.mdpi.com/2073-8994/15/7/1431/pdf

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