From Nuclear Reactions to High-Frequency Trading: an R-function Approach

The R-function theory of Thomas is used to model neutron inelastic scattering and the fine, intermediate, and gross structure observed in the Dow Jones Industrial Average on a typical trading day.

http://arxiv.org/abs/1203.6021

In
 nuclei,
 the
 gross,
 intermediate
 and
 fine
 structures
 are

attributed
 to
 the
 evolution
 of
 nuclear
 reactions
 from
 the
 underlying

“single‐particle”
 states
 to
 “few‐particle‐few‐hole”
 states
 to
 “many‐
particle‐many‐hole”
 compound
 states,
 respectively
 (see
 Bohr
 and

Mottelson,
 1975).
 
 In
 the
 fluctuations
 of
 an
 economic
 index,
 the
 three

structural
 forms
 are
 associated
 with
 long,
 medium,
 and
 short‐range

time‐correlations 
in
 the
 complex 
trading 
options
 that 
take
 place
among

all
 elements
 that
 contribute
 to
 the
 index.
 
 The
 fine
 structure
 is
 a

characteristic 
feature
of
 High ­Frequency
Trading.


 Thomas’
 R–function
 theory
 is
 developed
 to
 describe
 the
 fine,

intermediate,
 and
 gross
 structures
 observed
 in
 both
 inelastic
 neutron

scattering ,
and 
the
 prices
 of
 stocks
 reported 
on 
a 
typical
 trading
 day.