Publicação
Relativistically into finance
| dc.contributor.author | Carvalho, Vitor H. | |
| dc.contributor.author | Gaspar, Raquel M. | |
| dc.date.accessioned | 2021-05-07T13:03:55Z | |
| dc.date.available | 2021-05-07T13:03:55Z | |
| dc.date.issued | 2021-05 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Carvalho, Vítor H. and Raquel M. Gaspar (2021). "Relativistically into finance". Instituto Superior de Economia e Gestão – REM Working paper nº 0175 – 2021 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/21262 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG - REM - Research in Economics and Mathematics | pt_PT |
| dc.relation.ispartofseries | REM Working paper;nº 0175 – 2021 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0175_2021.pdf | pt_PT |
| dc.subject | Econophysics | pt_PT |
| dc.subject | Spacetime Finance | pt_PT |
| dc.subject | Proper Time | pt_PT |
| dc.subject | Time Dilation | pt_PT |
| dc.title | Relativistically into finance | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |