Strings and brane world scenarios in financial market data

Richard Pincak, Lubos Nagy

Abstract


In the paper, we study the projections of the real exchange rate dynamics onto the string-like topology. Our approach is inspired by the contemporary movements in the string theory. The string map of data is defined here by the boundary conditions, characteristic length, real valued and the method of redistribution of information. As a practical matter, this map represents the detrending and data standardization procedure. We introduced maps onto 1-end-point and 2-end-point open strings that satisfy the Dirichlet and Neumann boundary conditions. The questions of the choice of extra-dimensions, symmetries, duality and ways to the partial compactification are discussed. Subsequently, we pass to higher dimensional and more complex objects. The 2D-Brane was suggested which incorporated bid-ask spreads. The systematic way which allows one suggest more structured maps suitable for a simultaneous study of several currency pairs was analyzed by means of the Gâteaux generalized differential calculus. The effect of the string and brane maps on test data was studied by comparing their mean statistical characteristics. The possible utilizations of the string theory approach in financial market are slight. 


Keywords


Financial market, String theory, Nonlinear statistics

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[DOI: 10.1478/AAPP.91S2B1] About DOI

Url Resolver: : http://dx.doi.org/10.1478/AAPP.91S2B1


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