Gauge Invariant Lattice Quantum Field Theory : Implications for Statistical Properties in High Frequency Financial Markets

We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index

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Year of publication:	2019
Authors:	Dupoyet, Brice V.
Other Persons:	Fiebig, Rudolf H (contributor) ; Musgrove, David (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Finanzmarkt \| Financial market \| Statistische Methodenlehre \| Statistical theory \| Stochastischer Prozess \| Stochastic process

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