A thermodynamical view on asset pricing

摘要: Abstract The dynamics of stock market systems was analyzed from the stand point viscoelasticity, i.e. conservative and nonconservative (or elastic viscous) forces. Asset values were modeled as a geometric Brownian motion by generating random Wiener processes at different volatilities drift conditions. Specifically, relation between return value noise investigated. Using scattering diagram, asset placed into ‘potentiality–actuality’ framework, using Euclidean distance, transformed vectorial forms. Depending on whether forthcoming vector is aligned or deviated direction advancement former vector, it possible to split its components. in-phase, parallel) component represents work-like term whereas out-of-phase, vertical) heat-like providing treatment prices in thermodynamical terms. resistances exhibited against these components, so-called modulus, determined either case. It observed that branching occurred modulus especially when plotted with respect distance noise, length. also interesting patterns formed change noise. magnitudes terms calculated mathematical expressions. peaks both reveal around zero very low term. increase volatility acts same way, they decrease number ones larger magnitudes. Most interestingly, decreases but increases overall. Finally, observation golden ratio various interpreted physical resistance flow.