K. Ilinski: Key results in financial economics

Gauge modelling non-equilibrium price dynamics: non-equilibrium corrections of equilibrium pricing models

All standard academic pricing models are in fact equilibrium models because they assume that whatever has to happen already happened and all inefficiencies are “washed out” by market participants. One needs dynamical equations for time evolution of market variables if one wants to describe time evolution of the world where inefficiencies (arbitrage) exists finite time, there are no truly riskless portfolios and participants not fully rational. Theoretical physics prescribes how to select a type of dynamical equations from a host of all possible dynamical equations if the special type of the symmetry (local scaling (gauge) symmetry) of financial markets is fully utilized. see more

Kirill Ilinski, “Physics of Finance”, John Wiley & Sons 2001

For quick introduction: Kirill Ilinski “Gauge Physics of Finance: simple introduction”, cond-mat/9811197, (November, 1998)

Back

Back to pages Kirill Ilinski, Reseach