Index
285
Portfolio insurance, 64–66
Power laws, 120–123, 134, 140
Price of risk, 23
Projection operator, 146
Prospect theory, 118
Anchoring, 118
Loss aversion, 118
Non-linearity, 118
Reference point, 118
Pseudo-inverse, 71
Put-call parity, 42
Put option, 7, 42, 54, 62, 64–66, 67
p-values, 84–85
Q
QFT. See Quantum Fourier-transform
QR-code, 222
Quantum computing, 224–229, 259
CNOT operator, 225
controlled-R k operator, 226
Hadamard operator, 225
inverter, 225
phase estimation, 227
qubit, 225
Quantum Fourier-transform, 226–229
Quantum mechanics, 146–148
R
R 2 , 76–77, 245
Real business cycle, 171
Regression, 69–76
Renormalization group, 130
Riccati equation, 188, 254
Richter’s law, 120
Roaring twenties, 117
Robinson Crusoe model, 173, 176, 189, 254
S
Sample average, 80
Sample variance, 80
Scale invariance
continuous, 122–123
discrete, 140–142
Scholes, M., 49
Schrödinger equation, 145, 147, 159
Schrödinger’s cat, 225
Seasonality, 92–93, 247
Security market line, 25
Shakespeare’s Hamlet, 196
Shannon, C., 195
Sharpe ratio, 22–24
Shiller, R., 116
Shor’s algorithm, 224
Shorting, 6
Short position, 11, 233
Signal-to-noise ratio, 206
Solow model, 172, 276
Sornette, D., 139
Soros, G., 233
Source coding theorem, 197
South sea bubble, 115
Speculator, 11, 15, 66, 115, 119
SSE. See Explained sum of squares
SSR. See Sum of squared residuals
SST. See Total sum of squares
State-space formalism, 184
State variables, 178, 181
Statistical mechanics, 198
Straddle, 66
Straight-line fit, 69, 70, 245
Strangle, 67
Strap, 67
Stratonovich calculus, 36
Strip, 67
Student’s dilemma, 177
Student’s t-distribution, 79–84, 247, 261
Sum of squared residuals, 76
T
Tally stick, 234
Test-statistic, 80
Thaler, R., 117
Thermodynamics, 198
Time series, 91–111
Tobin’s separation theorem, 24
Total sum of squares, 76
Totient function, 213
Trade commissions, 12
Trend, 92, 247
Tronics boom, 115
Tulip mania, 114
Tversky, A., 117
U
U.S. Securities and Exchange Commission,
12
Utility function, 117, 174–175, 177, 180
V
Valuation, 26–27
Value at risk, 63–64, 245
VaR. See Value at risk
285
Portfolio insurance, 64–66
Power laws, 120–123, 134, 140
Price of risk, 23
Projection operator, 146
Prospect theory, 118
Anchoring, 118
Loss aversion, 118
Non-linearity, 118
Reference point, 118
Pseudo-inverse, 71
Put-call parity, 42
Put option, 7, 42, 54, 62, 64–66, 67
p-values, 84–85
Q
QFT. See Quantum Fourier-transform
QR-code, 222
Quantum computing, 224–229, 259
CNOT operator, 225
controlled-R k operator, 226
Hadamard operator, 225
inverter, 225
phase estimation, 227
qubit, 225
Quantum Fourier-transform, 226–229
Quantum mechanics, 146–148
R
R 2 , 76–77, 245
Real business cycle, 171
Regression, 69–76
Renormalization group, 130
Riccati equation, 188, 254
Richter’s law, 120
Roaring twenties, 117
Robinson Crusoe model, 173, 176, 189, 254
S
Sample average, 80
Sample variance, 80
Scale invariance
continuous, 122–123
discrete, 140–142
Scholes, M., 49
Schrödinger equation, 145, 147, 159
Schrödinger’s cat, 225
Seasonality, 92–93, 247
Security market line, 25
Shakespeare’s Hamlet, 196
Shannon, C., 195
Sharpe ratio, 22–24
Shiller, R., 116
Shor’s algorithm, 224
Shorting, 6
Short position, 11, 233
Signal-to-noise ratio, 206
Solow model, 172, 276
Sornette, D., 139
Soros, G., 233
Source coding theorem, 197
South sea bubble, 115
Speculator, 11, 15, 66, 115, 119
SSE. See Explained sum of squares
SSR. See Sum of squared residuals
SST. See Total sum of squares
State-space formalism, 184
State variables, 178, 181
Statistical mechanics, 198
Straddle, 66
Straight-line fit, 69, 70, 245
Strangle, 67
Strap, 67
Stratonovich calculus, 36
Strip, 67
Student’s dilemma, 177
Student’s t-distribution, 79–84, 247, 261
Sum of squared residuals, 76
T
Tally stick, 234
Test-statistic, 80
Thaler, R., 117
Thermodynamics, 198
Time series, 91–111
Tobin’s separation theorem, 24
Total sum of squares, 76
Totient function, 213
Trade commissions, 12
Trend, 92, 247
Tronics boom, 115
Tulip mania, 114
Tversky, A., 117
U
U.S. Securities and Exchange Commission,
12
Utility function, 117, 174–175, 177, 180
V
Valuation, 26–27
Value at risk, 63–64, 245
VaR. See Value at risk