"Stiff" Field Theory of Interest Rates and Psychological Future Time

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dc.creatorBaaquie, Belal
dc.creatorBouchaud, Jean-Philippe
dc.date2004-03-29
dc.date.accessioned2026-07-07T12:06:56Z
dc.date.available2026-07-07T12:06:56Z
dc.descriptionThe simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink (infinite curvature) of the normalized correlation function for coinciding maturities. Motivated by empirical results, we consider an extended action that contains a squared Laplacian term, which describes the bending stiffness of the FRC. With the extra ingredient of a `psychological' future time, describing how the perceived time between events depends on the time in the future, our theory accounts extremely well for the phenomenology of interest rate dynamics.
dc.description10 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0403713
dc.identifierhttp://arxiv.org/abs/cond-mat/0403713
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208801
dc.subjectOther Condensed Matter
dc.subjectStatistical Mechanics
dc.subjectGeneral Finance
dc.title"Stiff" Field Theory of Interest Rates and Psychological Future Time
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