Raymond J. Hawkins

Asymmetric Information and Quantization in Financial Economics

We show how a quantum formulation of financial economics can be derived from asymmetries with respect to Fisher information. Our approach leverages statistical derivations of quantum mechanics which provide a natural basis for interpreting quantum formulations of social sciences generally and of economics in particular. We illustrate the utility of this approach by deriving arbitrage-free derivative-security dynamics.

Relaxation Processes in Administered-Rate Pricing

We show how the theory of anelasticity unifies the observed dynamics and proposed models of administered-rate products. This theory yields a straightforward approach to rate model construction that we illustrate by simulating the observed relaxation dynamics of two administered rate products. We also demonstrate how the use of this formalism leads to a natural definition of market friction.

Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures

We show how time-dependent macroeconomic response follows from microeconomic dynamics using linear response theory and a time-correlation formalism. This theory provides a straightforward approach to time-dependent macroeconomic model construction that preserves the heterogeneity and complex dynamics of microeconomic agents. We illustrate this approach by examining the relationship between output and demand as mediated by changes in unemployment, or Okuns law. We also demonstrate that time dependence implies overshooting and how this formalism leads to a natural definition of economic friction.

Financial Economics from Fisher Information

In this chapter we will cover three general applications of Fisher information in the analysis of financial economics. The first two applications (Sections 2.1 and 2.2) demonstrate how constraints based on knowledge of system data can be used to construct probability laws. This is by the use of a form of extreme physical information (EPI) known as minimum Fisher information (MFI). The third application (Section 2.3) shows how optimum investment strategies can arise out of the application of EPI to a financial system. That is, a dynamical investment program that enforces an optimization of information flow, achieving I—J=extremum, can also, in certain cases, achieve a program of optimal capital investment.