Videos & Live
Sessions on Quantum Theory of Price Formation: Fundamentals and Applications
These are short 10-15 minute sessions, allowing the professional audience to attend while having a coffee-break. The format is presentation or discussion around practical topics of asset management, execution, pricing, as well as fundamental topics.
Upcoming
Upcoming: 1pm EST – September 19, 2023
Price Impact Evaluation using the Quantum Coupled-Wave Model
This session will address a question asked previously by the audience.
It’s good to know the costs of execution before they occur. Price impact is one of them. I will show how to evaluate this cost using the quantum coupled-wave model of price formation. We will then discuss how price impact forms, what factors influence it, and how it can be managed.
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Past sessions
Scaling of Price Uncertainty
At large time horizon price uncertainty scales nearly as a square-root of time. At small time horizon the scaling stops. This occurs due to quantum effects taking over the random walk.
How do the two different behaviors reconcile? How do we go from one behavior to the other? How does quantum limit transition into diffusion? In this session we get to the bottom of it.
Ensemble Theory of Price Uncertainty
The old supply-demand paradigm needs a revision because it doesn’t recognize inherent price uncertainty. Price uncertainty comes back into picture as a result of statistical balance between buy and sell trading orders minimizing market’s free energy. Then, price impact can be computed by inverting the formula for imbalance.
Coupled-Wave Model of Price Dynamics
Coming from physics perspective, we will see why price determination is a quantum measurement process and why the common classical stochastic methods are insufficient. Building on this fact, we will go through quantum framework for price dynamics in the coupled-wave approximation which involves only two price levels.
Quantum Physics From the Perspective of Finance
For over two decades physicists have been bringing physical models into finance. When the same models land in finance they turn quite differently from their material counterparts. Let’s examine the similarities as well as the differences.
Quantum Domain Walls on Wall Street
Buyer and seller interaction in financial markets creates a domain wall of imbalance field flipping its sign inside the bid-ask spread. The same solution comes out as a result of (a) quantum and (b) statistical approaches independently due to a “lucky” coincidence applicable only in balanced markets.
Quantum Mechanism of Price Stabilization in Financial Markets
This session is a response to questions from mathematicians about how decision and control theory is replaced in quantum framework. In physical approach elements of nature are assigned no cognitive or social aspects. Instead, the response of the medium is modelled through the material equations looping back to the dynamic equations. We will go over how it is applied in quantum pricing using an example of price crash.