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Henkel, Christof (2017): From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. In: Physica A-Statistical Mechanics and Its Applications, Vol. 469: pp. 447-458

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We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Ito-diffusion price processes in the large market limit.

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