A new distribution of stock market return by Schrödinger equation

This paper proposes a new distribution of stock market return by Schrödinger equation. Firstly, we assume that a stock market behaves as a particle evolving in a δ function potential well and deduce out that the stock market return has an exponential distribution. Secondly, we test the model and get that the model has the same effectiveness as the Levy stable distribution by daily data of Chinese and American stock markets. Thirdly, we investigate kurtosis for different time units by high frequency data and find that the kurtosis becomes larger as the time unit gets smaller. Lastly, we give some economic analysis on the new distribution.