{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/quantum-equilibrium-disequilibrium-asset","title":"\"Quantum Equilibrium-Disequilibrium\": Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons","arxiv_id":"1808.03607","date":"2019-05-28","proceeding":null,"authors":[],"abstract":"We propose a simple non-equilibrium model of a financial market as an open\nsystem with a possible exchange of money with an outside world and market\nfrictions (trade impacts) incorporated into asset price dynamics via a feedback\nmechanism. Using a linear market impact model, this produces a non-linear\ntwo-parametric extension of the classical Geometric Brownian Motion (GBM)\nmodel, that we call the \"Quantum Equilibrium-Disequilibrium\" (QED) model. The\nQED model gives rise to non-linear mean-reverting dynamics, broken scale\ninvariance, and corporate defaults. In the simplest one-stock (1D) formulation,\nour parsimonious model has only one degree of freedom, yet calibrates to both\nequity returns and credit default swap spreads. Defaults and market crashes are\nassociated with dissipative tunneling events, and correspond to instanton\n(saddle-point) solutions of the model. When market frictions and\ninflows/outflows of money are neglected altogether, \"classical\" GBM\nscale-invariant dynamics with an exponential asset growth and without defaults\nare formally recovered from the QED dynamics. However, we argue that this is\nonly a formal mathematical limit, and in reality the GBM limit is non-analytic\ndue to non-linear effects that produce both defaults and divergence of\nperturbation theory in a small market friction parameter.","url_abs":"http://arxiv.org/abs/1808.03607v2","url_pdf":"http://arxiv.org/pdf/1808.03607v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"quantum-equilibrium-disequilibrium-asset","repo_url":"https://github.com/gowen100/Machine-Learning","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"tf","reach":null}],"tasks":[{"task_slug":"friction","task_name":"Friction"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}