David Orrell. Writer and Mathematician
The Quantum Stock Market: And the Road Not Taken in Finance
Publisher: MIT Press
Publisher's synopsis
A new paradigm based on quantum probability that can model stock markets and price options—and also upends classical quantitative finance.
In The Quantum Stock Market, David Orrell combines theory and new empirical findings to argue for a new approach to finance based on quantum probability. The main finding, a property called q-variance, may be unique in finance in that it was discovered as the result of a prediction, affects financial markets in general, has no tunable parameter, and has important consequences for a range of topics including the pricing of financial options. The property, which somehow eluded detection for over a century, has been verified by experts in the field. And the fact that it is incompatible with classical finance—which is perhaps why it went undetected—suggests that the field must be reinvented.
Orrell argues for nothing less than a paradigm shift in finance. As with any new work that challenges existing methods the ideas have already received pushback, from leaders in the field of finance to physicists skeptical of applying quantum probability outside its traditional domain. Written in an interdisciplinary style that mixes mathematical equations, data analysis, and informed comments on the field of finance, The Quantum Stock Market should be read by anyone who wants to be on the right side of a paradigm shift.
“In my career I've seen too many new models to get excited by yet another, but Orrell’s is different. His model might be nonsense, it might just be brilliant. At the very least it will annoy all the right people. Buy it now, before everyone else does!” Paul Wilmott, creator, Wilmott Magazine; author of Paul Wilmott Introduces Quantitative Finance
“The Quantum Stock Market is a wonderful book. The author masterfully creates a quantum model of the stock market based on empirical facts. This is a great achievement. Orrell presents compelling arguments that a quantum approach offers a badly needed change of paradigm of both finance and economic theories.” Sergio Focardi, Professor of Financial Engineering and Risk Management, DIME, University of Genoa; coauthor of Adaptive Finance and Causal Modeling for Finance and Business