Publication: Inverted anhamonic oscillator model for distribution of financial returns
Issued Date
2018-12-19
Resource Type
ISSN
17426596
17426588
17426588
Other identifier(s)
2-s2.0-85059457330
Rights
Mahidol University
Rights Holder(s)
SCOPUS
Bibliographic Citation
Journal of Physics: Conference Series. Vol.1144, No.1 (2018)
Suggested Citation
Nawee Jaroonchokanan, Sujin Suwanna Inverted anhamonic oscillator model for distribution of financial returns. Journal of Physics: Conference Series. Vol.1144, No.1 (2018). doi:10.1088/1742-6596/1144/1/012101 Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/47347
Research Projects
Organizational Units
Authors
Journal Issue
Thesis
Title
Inverted anhamonic oscillator model for distribution of financial returns
Author(s)
Other Contributor(s)
Abstract
© Published under licence by IOP Publishing Ltd. We construct a quantum-mechanical model to explain the distribution of financial returns in a stock market when it exhibits an upward trend. By combining a critical phenomenon effect in the form of a power law and the Schrodinger equation, we show that an appropriate potential of the financial returns is given by a time-dependent inverted anharmonic oscillator, whose coefficients depend on the critical time and exponent, which are empirically obtained from the Stock Exchange of Thailand (SET) from 1992 to 1994, during the critical phase of the Asian financial crisis. With the derived potential, we simulate the dynamics of returns as a function of time by employing the time-dependent variational method and the fourth-order Runge-Kutta method. Then we compute key characteristics of the return distribution such as mean, variance, skewness, and kurtosis and compare them with real financial data from SET. The results are found that the mean, skewness and kurtosis show good agreement with actual data computed from SET, but the variance is higher than that from the SET data.