资源描述:
《Physics of Finance.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、PhysicsofFinanceKirillIlinski∗IPhysGroup,CAPE,14-thlineofVasilievskii’sIsland,29St-Petersburg,199178,RussianFederationSchoolofPhysicsandSpaceResearch,UniversityofBirmingham,EdgbastonB152TT,Birmingham,UnitedKingdomTheor.Department,InstituteforSpectroscopy,Troitsk,Moscowregion,142092,Ru
2、ssianFederationWegiveabriefintroductiontotheGaugeTheoryofArbitrage[1].Treat-ingacalculationofnetpresentvalues(NPV)andcurrenciesexchangesasaparalleltransportinsomefibrebundle,wegivegeometricalinterpreta-tionoftheinterestrate,exchangeratesandpricesofsecuritiesasaproperconnectioncomponent
3、s.Thisallowsustomapthetheoryofcapitalmarketontothetheoryofquantizedgaugefieldinteractedwithamoneyflowfield.arXiv:hep-th/9710148v118Oct1997Thegaugetransformationsofthematterfieldcorrespondtoadilatation(redefinition)ofsecurityunitswhicheffectiseliminatedbyapropertuneoftheconnection.Thecurvatu
4、retensorfortheconnectionconsistsoftheexcessreturnstotherisk-freeinterestrateforthelocalarbitrageoperation.Freequantumgaugetheoryisequivalenttotheassumptionaboutthelog-normalwalksofassetsprices.IngeneralcasetheconsiderationmapsthecapitalmarketontoQED,i.e.quantumsystemofparticleswithpos
5、itive(securities)andnegative(”debts”)chargeswhichinteractwitheachotherthroughelectromagneticfield(gaugefieldofthearbitrage).Inthecaseofalocalvirtualarbitrageopportunitymoneyflowsintheregionofcon-figurationspace(moneypoorintheprofitablesecurity)while”debts”trytoescapefromtheregion.Enteringp
6、ositivechargesandleavingnegativeonesscreenuptheprofitablefluctuationandrestoretheequilibriumintheregionwherethereisnoarbitrageopportunityanymore,i.e.speculatorswashedoutthearbitrageopportunity.∗E-mail:kni@th.ph.bham.ac.uk1InformalsketchThereisacommonbeliefthatnature(andahumansociety,inp
7、articular)couldbedescribedinsomeunifiedtermsandconceptsofphysicsmayfindtheirusehere.Thepresentpaperfollowsthelastpointandtriestodrawparallelsbetweenthetheoryoffinancialmarketsandquantumgaugetheory.Sinceitisdifficulttobeequallycomprehensibleforbothphysicistsandeconomistswegivetheintroductio
8、nwhic