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Journal of Physics Conference Series

Conformal symmetry in quantum finance

Juan M. Romero, Elio Agustín Martínez Miranda, Ulises Lavana

Published May 12, 2014• 5 citations
Publisher

Abstract

The quantum finance symmetries are studied. In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited and the particle mass is identified as the inverse of square of the volatility. Furthermore, using financial variables, a Schrödinger algebra representation is constructed. In addition, it is shown that the operators of this last representation are not hermitian and not conserved.

DOI
10.1088/1742-6596/512/1/012029

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The quantum finance symmetries are studied. In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited and the particle mass is identified as the inverse of square of the volatility. Furthermore, using financial variables, a Schrödinger algebra representation is constructed. In addition, it is shown that the operators of this last representation are not hermitian and not conserved.
Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained.Namely, it is shown that Black-Scholes equation is invariant under Schrödinger group.In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited.To get the Black-Scholes equation symmetries, the particle mass is identified as the inverse of square of the volatility.Furthermore, using financial variables, a Schrödinger algebra representation is constructed.
The Galilean symmetry of a free particle in one-dimensional space is examined under the scope of non-Abelian quantum kinematics. Within the Hilbert space that carries the regular ray representation of the Galilei group the Schrödinger operator appears as one of the three fundamental invariants of the extended kinematic algebra. By means of a superselection rule the physical Hilbert subspaces of the system are identified, in which a complementary ray representation of the Galilean transformation produces the time-dependent Schrödinger equation, and the Feynman space-time propagator. The quantization approach used in this paper is purely group theoretic and relativistic.
There is developed a current algebra representation scheme for reconstructing algebraically factorized quantum Hamiltonian and symmetry operators in the Fock type space and its application to quantum Hamiltonian and symmetry operators in case of quantum integrable spatially many- and one-dimensional dynamical systems. As examples, we have studied in detail the factorized structure of Hamiltonian operators, describing such quantum integrable spatially many- and one-dimensional models as generalized oscillatory, Calogero-Sutherland, Coulomb type and nonlinear Schrödinger dynamical systems of spinless bose-particles.