Dorje C. Brody - Imperial College London

Dorje C. Brody
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Name
Dorje C. Brody
Affiliation
Imperial College London
City
London
Country
United Kingdom

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Quantum Physics (30)
 
Mathematics - Mathematical Physics (22)
 
Mathematical Physics (22)
 
High Energy Physics - Theory (13)
 
Mathematics - Probability (12)
 
Physics - Statistical Mechanics (5)
 
Mathematics - Differential Geometry (3)
 
Mathematics - Information Theory (2)
 
Mathematics - Optimization and Control (2)
 
Computer Science - Information Theory (2)
 
General Relativity and Quantum Cosmology (2)
 
Nonlinear Sciences - Exactly Solvable and Integrable Systems (1)
 
Mathematics - Algebraic Geometry (1)
 
Mathematics - Dynamical Systems (1)
 
Mathematics - Functional Analysis (1)
 
Mathematics - Number Theory (1)

Publications Authored By Dorje C. Brody

We propose an energy-driven stochastic master equation for the density matrix as a dynamical model for quantum state reduction. In contrast, most previous studies of state reduction have considered stochastic extensions of the Schr\"odinger equation, and have introduced the density matrix as the expectation of the random pure projection operator associated with the evolving state vector. After working out properties of the reduction process we construct a general solution to the energy-driven stochastic master equation. Read More

The classical derivation of the well-known Vasicek model for interest rates is reformulated in terms of the associated pricing kernel. An advantage of the pricing kernel method is that it allows one to generalize the construction to the L\'evy-Vasicek case, avoiding issues of market incompleteness. In the L\'evy-Vasicek model the short rate is taken in the real-world measure to be a mean-reverting process with a general one-dimensional L\'evy driver admitting exponential moments. Read More

A Hamiltonian operator $\hat H$ is constructed with the property that if the eigenfunctions obey a suitable boundary condition, then the associated eigenvalues correspond to the nontrivial zeros of the Riemann zeta function. The classical limit of $\hat H$ is $2xp$, which is consistent with the Berry-Keating conjecture. While $\hat H$ is not Hermitian in the conventional sense, ${\rm i}{\hat H}$ is ${\cal PT}$ symmetric with a broken ${\cal PT}$ symmetry, thus allowing for the possibility that all eigenvalues of $\hat H$ are real. Read More

In recent reports, suggestions have been put forward to the effect that parity and time-reversal (PT) symmetry in quantum mechanics is incompatible with causality. It is shown here, in contrast, that PT-symmetric quantum mechanics is fully consistent with standard quantum mechanics. This follows from the surprising fact that the much-discussed metric operator on Hilbert space is not physically observable. Read More

In certain circumstances tools of Riemannian geometry are sufficient to address questions arising in the more general Finslerian context. We show that one such instance presents itself in the characterisation of geodesics in Randers spaces of constant flag curvature. To achieve a simple, Riemannian derivation of this special family of curves, we exploit the connection between Randers spaces and the Zermelo problem of time-optimal navigation in the presence of background fields. Read More

We introduce a family of operations in quantum mechanics that one can regard as "universal quantum measurements" (UQMs). These measurements are applicable to all finite-dimensional quantum systems and entail the specification of only a minimal amount of structure. The first class of UQM that we consider involves the specification of the initial state of the system---no further structure is brought into play. Read More

If X and Y are independent, Y and Z are independent, and so are X and Z, one might be tempted to conclude that X, Y, and Z are independent. But it has long been known in classical probability theory that, intuitive as it may seem, this is not true in general. In quantum mechanics one can ask whether analogous statistics can emerge for configurations of particles in certain types of entangled states. Read More

The quantum navigation problem of finding the time-optimal control Hamiltonian that transports a given initial state to a target state through quantum wind, that is, under the influence of external fields or potentials, is analysed. By lifting the problem from the state space to the space of unitary gates realising the required task, we are able to deduce the form of the solution to the problem by deriving a universal quantum speed limit. The expression thus obtained indicates that further simplifications of this apparently difficult problem are possible if we switch to the interaction picture of quantum mechanics. Read More

A quantum navigation problem concerns the identification of a time-optimal Hamiltonian that realises a required quantum process or task, under the influence of a prevailing `background' Hamiltonian that cannot be manipulated. When the task is to transform one quantum state into another, finding the solution in closed form to the problem is nontrivial even in the case of time-independent Hamiltonians. An elementary solution, based on trigonometric analysis, is found here when the Hilbert space dimension is two. Read More

The solution to the problem of finding a time-optimal control Hamiltonian to generate a given unitary gate, in an environment in which there exists an uncontrollable ambient Hamiltonian (e.g., a background field), is obtained. Read More

A model for the thermodynamics of a quantum heat bath is introduced. Under the assumption that the bath molecules have finitely many degrees of freedom and are weakly interacting, we present a general derivation of the equation of state of the bath in the thermodynamic limit. The relation between the temperature and the specific energy of the bath depends on (i) the spectral properties of the molecules, and (ii) the choice of probability measure on the state space of a representative molecule. Read More

The Wiener chaos approach to interest rate modelling arises from the observation that the pricing kernel admits a representation in terms of the conditional variance of a square-integrable random variable, which in turn admits a chaos expansion. When the expansion coefficients factorise into multiple copies of a single function, then the resulting interest rate model is called coherent, whereas a generic interest rate model will necessarily be incoherent. Coherent representations are nevertheless of fundamental importance because incoherent ones can always be expressed as a linear superposition of coherent elements. Read More

The Hermiticity condition in quantum mechanics required for the characterisation of (a) physical observables and (b) generators of unitary motions can be relaxed into a wider class of operators whose eigenvalues are real and whose eigenstates are complete. In this case, the orthogonality of eigenstates is replaced by the notion of biorthogonality that defines the relation between the Hilbert space of states and its dual space. The resulting quantum theory, which might appropriately be called 'biorthogonal quantum mechanics', is developed here in some detail in the case for which the Hilbert space dimensionality is finite. Read More

This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model makes use of the concept of market information about future supply and demand as a basis for valuation. Physical ownership of a commodity is regarded as providing a stream of "convenience dividends" equivalent to a continuous cash flow. Read More

Information geometry provides a tool to systematically investigate parameter sensitivity of the state of a system. If a physical system is described by a linear combination of eigenstates of a complex (that is, non-Hermitian) Hamiltonian, then there can be phase transitions where dynamical properties of the system change abruptly. In the vicinities of the transition points, the state of the system becomes highly sensitive to the changes of the parameters in the Hamiltonian. Read More

The well-known theorem of Dybvig, Ingersoll and Ross shows that the long zero-coupon rate can never fall. This result, which, although undoubtedly correct, has been regarded by many as surprising, stems from the implicit assumption that the long-term discount function has an exponential tail. We revisit the problem in the setting of modern interest rate theory, and show that if the long "simple" interest rate (or Libor rate) is finite, then this rate (unlike the zero-coupon rate) acts viably as a state variable, the value of which can fluctuate randomly in line with other economic indicators. Read More

Wigner's theorem asserts that an isometric (probability conserving) transformation on a quantum state space must be generated by a Hamiltonian that is Hermitian. It is shown that when the Hermiticity condition on the Hamiltonian is relaxed, we obtain the following complex generalisation of Wigner's theorem: a holomorphically projective (complex geodesic-curves preserving) transformation on a quantum state space must be generated by a Hamiltonian that is not necessarily Hermitian. Read More

When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors are then buyers or sellers depending on how their individual pricing kernels compare to that of the market. In Brownian-based models, we can represent such heterogeneous attitudes by letting the market price of risk be a random variable, the distribution of which corresponds to the variability of attitude across the market. Read More

A model is proposed that describes the evolution of a mixed state of a quantum system for which gain and loss of energy or amplitude are present. Properties of the model are worked out in detail. In particular, invariant subspaces of the space of density matrices corresponding to the fixed points of the dynamics are identified, and the existence of a transition between the phase in which gain and loss are balanced and the phase in which this balance is lost is illustrated in terms of the time average of observables. Read More

Levy processes, which have stationary independent increments, are ideal for modelling the various types of noise that can arise in communication channels. If a Levy process admits exponential moments, then there exists a parametric family of measure changes called Esscher transformations. If the parameter is replaced with an independent random variable, the true value of which represents a "message", then under the transformed measure the original Levy process takes on the character of an "information process". Read More

A quantum spline is a smooth curve parameterised by time in the space of unitary transformations, whose associated orbit on the space of pure states traverses a designated set of quantum states at designated times, such that the trace norm of the time rate of change of the associated Hamiltonian is minimised. The solution to the quantum spline problem is obtained, and is applied in an example that illustrates quantum control of coherent states. An efficient numerical scheme for computing quantum splines is discussed and implemented in the examples. Read More

The space of probability distributions on a given sample space possesses natural geometric properties. For example, in the case of a smooth parametric family of probability distributions on the real line, the parameter space has a Riemannian structure induced by the embedding of the family into the Hilbert space of square-integrable functions, and is characterised by the Fisher-Rao metric. In the nonparametric case the relevant geometry is determined by the spherical distance function of Bhattacharyya. Read More

The geometric L\'evy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying L\'evy process has been specified, the GLM has four parameters: the initial price, the interest rate, the volatility, and the risk aversion. Read More

In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically short. Hence, viewed as a tradable asset, information shares the characteristics of a perishable commodity: while it can be stored and transmitted freely, its worth diminishes rapidly in time. Read More

The dynamical aspects of a spin-1/2 particle in Hermitian coquaternionic quantum theory is investigated. It is shown that the time evolution exhibits three different characteristics, depending on the values of the parameters of the Hamiltonian. When energy eigenvalues are real, the evolution is either isomorphic to that of a complex Hermitian theory on a spherical state space, or else it remains unitary along an open orbit on a hyperbolic state space. Read More

Quaternionic quantum Hamiltonians describing nonrelativistic spin particles require the ambient physical space to have five dimensions. The quantum dynamics of a spin-1/2 particle system characterised by a generic such Hamiltonian is worked out in detail. It is shown that there exists, within the structure of quaternionic quantum mechanics, a canonical reduction to three spatial dimensions upon which standard quantum theory is retrieved. Read More

The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that can be interpreted as the timing of future cash demand, and an independent noise component. The conditional expectation of the signal, in particular, determines the market risk premium vector. Read More

In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for the martingale family, parameterised by a function that determines the behaviour of the market risk premium. These distributions include jump and diffusion characteristics that generate various properties for discount bond returns. Read More

While real Hamiltonian mechanics and Hermitian quantum mechanics can both be cast in the framework of complex canonical equations, their complex generalisations have hitherto been remained tangential. In this paper quaternionic and coquaternionic (split-signature analogue of quaternions) extensions of Hamiltonian mechanics are introduced, and are shown to offer a unifying framework for complexified classical and quantum mechanics. In particular, quantum theories characterised by complex Hamiltonians invariant under space-time reflection are shown to be equivalent to certain coquaternionic extensions of Hermitian quantum theories. Read More

Suppose that a system is known to be in one of two quantum states, $|\psi_1 > $ or $|\psi_2 >$. If these states are not orthogonal, then in conventional quantum mechanics it is impossible with one measurement to determine with certainty which state the system is in. However, because a non-Hermitian PT-symmetric Hamiltonian determines the inner product that is appropriate for the Hilbert space of physical states, it is always possible to choose this inner product so that the two states $|\psi_1 > $ and $|\psi_2 > $ are orthogonal. Read More

In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market then determines the overall magnitude of asset volatility. By letting this information flow rate random, we obtain an elementary stochastic volatility model within the information-based approach. Read More

Given a pure state vector |x> and a density matrix rho, the function p(x|rho)= defines a probability density on the space of pure states parameterised by density matrices. The associated Fisher-Rao information measure is used to define a unitary invariant Riemannian metric on the space of density matrices. An alternative derivation of the metric, based on square-root density matrices and trace norms, is provided. Read More

We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of the market factors, represented by the values of a set of market factor information processes. The market filtration is taken to be generated jointly by the various information processes and by the default indicator processes of the various bonds. Read More

This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Read More

In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can nevertheless pursue a profitable trading strategy. A large volume of blog data is used to demonstrate the existence of an inefficiency in the market. Read More

The state spaces of generalised coherent states associated with special unitary groups are shown to form rational curves and surfaces in the space of pure states. These curves and surfaces are generated by the various Veronese embeddings of the underlying state space into higher-dimensional state spaces. This construction is applied to the parameterisation of generalised coherent states, which is useful for practical calculations and provides an elementary combinatorial approach to the geometry of the coherent state space. Read More

We present a rough outline for an idea that characterises the observed, macroscopic realisation of the electromagnetic field in terms of a probability distribution on the underlying quantum electrodynamic state space. Read More

The dynamical equation satisfied by the density matrix, when a quantum system is subjected to one or more constraints arising from conserved quantities, is derived. The resulting nonlinear motion of the density matrix has the property that the evolution is independent of the specific composition of the pure-state mixture generating the initial state of the system. Read More

2009May
Affiliations: 1Imperial College London, 2Imperial College London
Category:

A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the bond price. Analysis of the bond price dynamics shows that the bond volatility is determined by prices of certain weighted perpetual annuities. Read More

Using a sheaf-theoretic extension of conventional principal bundle theory, the Dirac monopole is formulated as a spherically symmetric model free of singularities outside the origin such that the charge may assume arbitrary real values. For integral charges, the construction effectively coincides with the usual model. Spin structures and Dirac operators are also generalised by the same technique. Read More

A new framework for deriving equations of motion for constrained quantum systems is introduced, and a procedure for its implementation is outlined. In special cases the framework reduces to a quantum analogue of the Dirac theory of constrains in classical mechanics. Explicit examples involving spin-1/2 particles are worked out in detail: in one example our approach coincides with a quantum version of the Dirac formalism, while the other example illustrates how a situation that cannot be treated by Dirac's approach can nevertheless be dealt with in the present scheme. Read More

A framework for the investigation of disordered quantum systems in thermal equilibrium is proposed. The approach is based on a dynamical model--which consists of a combination of a double-bracket gradient flow and a uniform Brownian fluctuation--that `equilibrates' the Hamiltonian into a canonical distribution. The resulting equilibrium state is used to calculate quenched and annealed averages of quantum observables. Read More

Using the square-root map p-->\sqrt{p} a probability density function p can be represented as a point of the unit sphere S in the Hilbert space of square-integrable functions. If the density function depends smoothly on a set of parameters, the image of the map forms a Riemannian submanifold M in S. The metric on M induced by the ambient spherical geometry of S is the Fisher information matrix. Read More

A framework for statistical-mechanical analysis of quantum Hamiltonians is introduced. The approach is based upon a gradient flow equation in the space of Hamiltonians such that the eigenvectors of the initial Hamiltonian evolve toward those of the reference Hamiltonian. The nonlinear double-bracket equation governing the flow is such that the eigenvalues of the initial Hamiltonian remain unperturbed. Read More

Consider the set of all Hamiltonians whose largest and smallest energy eigenvalues, E_max and E_min, differ by a fixed energy \omega. Given two quantum states, an initial state |\psi_I> and a final state |\psi_F>, there exist many Hamiltonians H belonging to this set under which |\psi_I> evolves in time into |\psi_F>. Which Hamiltonian transforms the initial state to the final state in the least possible time \tau? For Hermitian Hamiltonians, $\tau$ has a nonzero lower bound. Read More

A general prescription for the treatment of constrained quantum motion is outlined. We consider in particular constraints defined by algebraic submanifolds of the quantum state space. The resulting formalism is applied to obtain solutions to the constrained dynamics of systems of multiple spin-1/2 particles. Read More

An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whereas the informed trader has access to a further information source which is obscured by an additional noise that may be correlated with the market noise. The informed trader uses the extraneous information source to seek statistical arbitrage opportunities, while at the same time accommodating the additional risk. Read More

On the basis of extensive numerical studies it is argued that there are strong analogies between the probabilistic behavior of quantum systems defined by Hermitian Hamiltonians and the deterministic behavior of classical mechanical systems extended into the complex domain. Three models are examined: the quartic double-well potential $V(x)=x^4-5x^2$, the cubic potential $V(x)=frac{1}{2}x^2-gx^3$, and the periodic potential $V(x)=-\cos x$. For the quartic potential a wave packet that is initially localized in one side of the double-well can tunnel to the other side. Read More

The validity of the so-called "typicality" argument for a generalised microcanonical ensemble proposed recently is examined. Read More

We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the determination of optimal insurance claims reserve policies, and in the pricing of reinsurance contracts. In the insurance setting, the aggregate claims play the role of the cumulative gains, and the terminal cash flow represents the totality of the claims payable for the given accounting period. Read More