Related papers: Quantum Financial Economics - Risk and Returns
This is the second paper in a cycle investigating the exact solution of loop equations in decaying turbulence. We perform numerical simulations of the Euler ensemble, suggested in the previous work, as a solution to the loop equations. We…
Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. We are the first to study whether Quantum Monte Carlo (QMC) algorithm can improve the runtime of economic applications and…
Quantum algorithms have gained increasing attention for addressing complex combinatorial problems in finance, notably portfolio optimization. This study systematically benchmarks two prominent variational quantum approaches, Variational…
Financial market prediction and optimal trading strategy development remain challenging due to market complexity and volatility. Our research in quantum finance and reinforcement learning for decision-making demonstrates the approach of…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
We characterize good clocks, which are naturally subject to fluctuations, in statistical terms. We also obtain the master equation that governs the evolution of quantum systems according to these clocks and find its general solution. This…
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate…
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
We discuss classical and quantum computations in terms of corresponding Hamiltonian dynamics. This allows us to introduce quantum computations which involve parallel processing of both: the data and programme instructions. Using mixed…
Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk and the conditional value at risk of a credit portfolio have…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…
Quantitative verification techniques have been developed for the formal analysis of a variety of probabilistic models, such as Markov chains, Markov decision process and their variants. They can be used to produce guarantees on quantitative…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
Increasing fidelity is the ultimate challenge of quantum information technology. In addition to decoherence and dissipation, fidelity is affected by internal imperfections such as impurities in the system. Here we show that the quality of…
We analyze the quantum entanglement at the equilibrium in a class of exactly solvable one-dimensional spin models at finite temperatures and identify a region where the quantum fluctuations determine the behavior of the system. We probe the…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…