Physics of Finance

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dc.creatorIlinski, Kirill
dc.date1997-10-18
dc.date.accessioned2026-07-07T12:43:39Z
dc.date.available2026-07-07T12:43:39Z
dc.descriptionWe give a brief introduction to the Gauge Theory of Arbitrage. Treating a calculation of Net Present Values (NPV) and currencies exchanges as a parallel transport in some fibre bundle, we give geometrical interpretation of the interest rate, exchange rates and prices of securities as a proper connection components. This allows us to map the theory of capital market onto the theory of quantized gauge field interacted with a money flow field. The gauge transformations of the matter field correspond to a dilatation of security units which effect is eliminated by a gauge transformation of the connection. The curvature tensor for the connection consists of the excess returns to the risk-free interest rate for the local arbitrage operation. Free quantum gauge theory is equivalent to the assumption about the log-normal walks of assets prices. In general case the consideration maps the capital market onto lattice QED.
dc.description17 pages, LaTeX, to appear in Proceeding of Budapest's conference on Econophysics (July 1997)
dc.identifierhttps://arxiv.org/abs/hep-th/9710148
dc.identifierhttp://arxiv.org/abs/hep-th/9710148
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/220494
dc.subjectHigh Energy Physics - Theory
dc.subjectStatistical Mechanics
dc.subjectHigh Energy Physics - Lattice
dc.subjectHigh Energy Physics - Phenomenology
dc.subjectPhysics and Society
dc.subjectPricing of Securities
dc.titlePhysics of Finance
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