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International Journal of Theoretical Physics

, Volume 52, Issue 11, pp 4083–4099 | Cite as

Quantum-Like Tunnelling and Levels of Arbitrage

  • Emmanuel Haven
  • Andrei Khrennikov
Article

Abstract

We apply methods of wave mechanics to financial modelling. We proceed by assigning a financial interpretation to wave numbers. This paper makes a plea for the use of the concept of ‘tunnelling’ (in the mathematical formalism of quantum mechanics) in the modelling of financial arbitrage. Financial arbitrage is a delicate concept to model in social science (i.e. in this case economics and finance) as its presence affects the precision of benchmark financial asset prices. In this paper, we attempt to show how ‘tunnelling’ can be used to positive effect in the modelling of arbitrage in a financial asset pricing context.

Keywords

Quantum-like models Finance Wave numbers Arbitrage 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.School of Management and Institute of FinanceUniversity of LeicesterLeicesterUK
  2. 2.International Centre for Mathematical ModellingLinnaeus UniversityVäxjöSweden

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