We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive...

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic...

The Black–Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic...

The author previously developed a numerical multivariate path-integral algorithm, PATHINT, which has been applied to several classical physics systems, including statistical mechanics of neocortical interactions, options in financial markets, and other nonlinear systems including chaotic...

The author previously developed a numerical multivariate path-integral algorithm, PATHINT, which has been applied to several classical physics systems, including statistical mechanics of neocortical interactions, options in financial markets, and other nonlinear systems including chaotic...

Background:A path-integral algorithm, PATHINT used previously for several systems, has been generalized from 1 dimension to N dimensions, and from classical to quantum systems into qPATHINT. Previous publications applied qPATHINT to two systems developed by the author, in neocortical...

Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely fast accurate computation of probability distributions of a large class of general nonlinear diffusion processes

Methods of path integrals are used to develop multi-factor probabilities of bid-ask variables for use in high-frequency trading (HFT). Adaptive Simulated Annealing (ASA) is used to fit the nonlinear forms so developed to a day of bitmex tick data. Maxima algebraic code is used to develop the...

Hybrid Classical-Quantum computing has already arrived at several commercial quantum computers, offered to researchers and businesses. Here, applications are made to a model of financial options, Statistical Mechanics of Financial Markets (SMFM). These applications were published in many papers...

Background: Forecasting nonlinear stochastic systems most often is quite difficult, without giving in to temptations to simply simplify models for the sake of permitting simple computations.Objective: Here, two basic algorithms, Adaptive Simulated Annealing (ASA) and path-integral codes...