Książka = Book ; KS/3/2015/T5P08
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
[3], 149-166 pages ; 21 cm ; Bibliography p. 165-166
Heisenberg uncertainty principle is defined for the economic world. We want to find out why there are difficulties in forecasting stock and option prices at the basis of historical data. We will consider stochastic noise that is determined by human based psychological inclinations. As a improvement of our last, linear based Schr¨odinger model, we would like to propose new model based on nonlinear Schr¨odinger equation. Model was calibrated using market data. Calibration was performed using Levenberg-Marquardt algorithm.
Creative Commons Attribution BY 4.0 license
Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -
Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 15, 2021
Jul 19, 2021
36
https://rcin.org.pl/publication/235036
Wróblewski, M.
Myśliński, Andrzej Wróblewski, M.
Dromi, Shai M. Illouz, Eva Wróblewski, Michał Płuciennik, Jarosław