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The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective

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arxiv 2008.03623 v1 pith:DYVW52FA submitted 2020-08-09 q-fin.GN nlin.AOphysics.soc-ph

Igor Halperin This is my paper · ORCID
classification q-fin.GNnlin.AOphysics.soc-ph
keywords financeclassicalmodelsperspectivequantitativealternativebrownianequivalent
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Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper presents an alternative formulation based on insights from physics.

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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers

    q-fin.ST 2025-09 conditional novelty 5.0 of 10

    High-frequency Uniswap v3 crypto data show non-quadratic potentials, with double-well shapes at short sampling frequencies that the author links to market stress.

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