In this paper we propose an option pricing model based on the Ornstein–Uhlenbeck process. It is a fresh look at the option pricing which is grounded on the quantum game theory and it is more subtle. We show the differences between a classical look which is price changing by a Wiener process...

Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is 1/f-like: ∝ ω- 3/2 (where ω is the frequency), that the...

Mapping time series into a visibility graph network, the characteristics of the gold price time series and return temporal series, and the mechanism underlying the gold price fluctuation have been explored from the perspective of complex network theory. The network degree distribution...

Most parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the...

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We...

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are...