Related papers: Quantum Financial Economics - Risk and Returns

Quantum game theory is combined with risk mathematics' formalism to provide an approach to evolutionary scenario analysis. The formalism is addressed in its general form and is then applied to an extreme risks modelling case, to model a…

Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…

Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and…

Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…

In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…

Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…

The last financial and economic crisis demonstrated the dysfunctional long-term effects of aggressive behaviour in financial markets. Yet, evolutionary game theory predicts that under the condition of strategic dependence a certain degree…

Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…

We continue the analysis of quantum-like description of market phenomena and economics. We show that it is possible to define a risk inclination operator acting in some Hilbert space that has a lot of common with quantum description of the…

We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…

Quantum computing is becoming strategically relevant to finance because several core financial bottlenecks are already defined by combinatorial search, expectation estimation, rare-event analysis, representation learning, and long-horizon…

By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…

We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…

Quantum theory provides a comprehensive framework for quantifying uncertainty, often applied in quantum finance to explore the stochastic nature of asset returns. This perspective likens returns to microscopic particle motion, governed by…

We present a quantum algorithm for portfolio optimization. We discuss the market data input, the processing of such data via quantum operations, and the output of financially relevant results. Given quantum access to the historical record…

The quest for understanding the complex phenomena of the world has led to the development of various fields of science, each with its own methods, models, and assumptions. However, sometimes these fields can intersect and inspire each…

We present and analyze a quantum algorithm to estimate credit risk more efficiently than Monte Carlo simulations can do on classical computers. More precisely, we estimate the economic capital requirement, i.e. the difference between the…

Speculative trading can drive pronounced market instabilities, yet existing regulatory and macroprudential tools intervene only after such dynamics emerge. Quantum technologies offer a fundamentally new means of shaping economic behavior by…

We introduce a quantum version of the Game of Life and we use it to study the emergence of complexity in a quantum world. We show that the quantum evolution displays signatures of complex behaviour similar to the classical one, however a…

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…