This book provides technical introduction into quantum nature of financial markets on microstructural level. Coming from examination of price formation process the book explains why it is a quantum process and why the common stochastic methods are insufficient. Building on this fact, quantum framework is developed as it applies to finance, not elementary particles. Although there is a basic similarity, the resulting picture is much different from traditional quantum physics.
Quantum physics is known as a discipline for calculations, not philosophy. That style is maintained throughout the book. The book is most appropriate for institutional finance professionals who have formal education in physics. The book is not intended for individuals that are looking for a general read, are unfamiliar with physics concepts, or amateur traders.
This book summarizes years of author’s own research prompted by the need to enhance quality of decision making in his asset management and trading work. This includes modeling market impact, block trade pricing, order book dynamics, risk management of illiquid securities, etc. Armed with the material of this book the readers should be able to apply it to solve quantitative tasks on a trading desk or perform their own research in this direction.
Quantum physics is known as a discipline for calculations, not philosophy. That style is maintained throughout the book. The book is most appropriate for institutional finance professionals who have formal education in physics. The book is not intended for individuals that are looking for a general read, are unfamiliar with physics concepts, or amateur traders.
This book summarizes years of author’s own research prompted by the need to enhance quality of decision making in his asset management and trading work. This includes modeling market impact, block trade pricing, order book dynamics, risk management of illiquid securities, etc. Armed with the material of this book the readers should be able to apply it to solve quantitative tasks on a trading desk or perform their own research in this direction.
