Relativistically into finance
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 2021 |
| Outros Autores: | |
| Tipo de documento: | Artigo |
| Idioma: | eng |
| Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| Texto Completo: | http://hdl.handle.net/10400.5/21262 |
Resumo: | The change of information near the light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity into finance models. Time and space, under certain circumstances, are not dissociated and no longer can be interpreted as Euclidean. This paper provides an overview of research made on this field, while formally defining the key notions of spacetime and proper time. Further progression in this field does require a common ground of concepts and an understanding of how time dilation impacts financial models. For illustration purposes, we compute relativistic effects for option prices when viewed from the viewpoint of two distinct reference frames, based upon the classical Balck-Scholes model. We show relativistic effects are non-negligible and illustrate how they depend on option characteristics such as maturity of the contract and volatility of the underlying. |
| id |
RCAP_6be3ad81ec55c836b12e4d52d83123f3 |
|---|---|
| oai_identifier_str |
oai:www.repository.utl.pt:10400.5/21262 |
| network_acronym_str |
RCAP |
| network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| repository_id_str |
7160 |
| spelling |
Relativistically into financeeconophysicsspacetime financeproper timetime dilationThe change of information near the light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity into finance models. Time and space, under certain circumstances, are not dissociated and no longer can be interpreted as Euclidean. This paper provides an overview of research made on this field, while formally defining the key notions of spacetime and proper time. Further progression in this field does require a common ground of concepts and an understanding of how time dilation impacts financial models. For illustration purposes, we compute relativistic effects for option prices when viewed from the viewpoint of two distinct reference frames, based upon the classical Balck-Scholes model. We show relativistic effects are non-negligible and illustrate how they depend on option characteristics such as maturity of the contract and volatility of the underlying.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaCarvalho, Vitor H.Gaspar, Raquel M.2021-05-07T13:03:55Z2021-052021-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/21262engCarvalho, Vítor H. e Raquel M. Gaspar (2021). "Relativistically into finance". Instituto Superior de Economia e Gestão – REM Working paper nº 0175 – 20212184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:50:42Zoai:www.repository.utl.pt:10400.5/21262Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:05:52.921520Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
| dc.title.none.fl_str_mv |
Relativistically into finance |
| title |
Relativistically into finance |
| spellingShingle |
Relativistically into finance Carvalho, Vitor H. econophysics spacetime finance proper time time dilation |
| title_short |
Relativistically into finance |
| title_full |
Relativistically into finance |
| title_fullStr |
Relativistically into finance |
| title_full_unstemmed |
Relativistically into finance |
| title_sort |
Relativistically into finance |
| author |
Carvalho, Vitor H. |
| author_facet |
Carvalho, Vitor H. Gaspar, Raquel M. |
| author_role |
author |
| author2 |
Gaspar, Raquel M. |
| author2_role |
author |
| dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
| dc.contributor.author.fl_str_mv |
Carvalho, Vitor H. Gaspar, Raquel M. |
| dc.subject.por.fl_str_mv |
econophysics spacetime finance proper time time dilation |
| topic |
econophysics spacetime finance proper time time dilation |
| description |
The change of information near the light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity into finance models. Time and space, under certain circumstances, are not dissociated and no longer can be interpreted as Euclidean. This paper provides an overview of research made on this field, while formally defining the key notions of spacetime and proper time. Further progression in this field does require a common ground of concepts and an understanding of how time dilation impacts financial models. For illustration purposes, we compute relativistic effects for option prices when viewed from the viewpoint of two distinct reference frames, based upon the classical Balck-Scholes model. We show relativistic effects are non-negligible and illustrate how they depend on option characteristics such as maturity of the contract and volatility of the underlying. |
| publishDate |
2021 |
| dc.date.none.fl_str_mv |
2021-05-07T13:03:55Z 2021-05 2021-05-01T00:00:00Z |
| dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
| format |
article |
| status_str |
publishedVersion |
| dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/21262 |
| url |
http://hdl.handle.net/10400.5/21262 |
| dc.language.iso.fl_str_mv |
eng |
| language |
eng |
| dc.relation.none.fl_str_mv |
Carvalho, Vítor H. e Raquel M. Gaspar (2021). "Relativistically into finance". Instituto Superior de Economia e Gestão – REM Working paper nº 0175 – 2021 2184-108X |
| dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
| eu_rights_str_mv |
openAccess |
| dc.format.none.fl_str_mv |
application/pdf |
| dc.publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
| publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
| dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
| instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
| instacron_str |
RCAAP |
| institution |
RCAAP |
| reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
| repository.mail.fl_str_mv |
|
| _version_ |
1799131151255732224 |