Related papers: Quantum Financial Economics - Risk and Returns
Machine learning and quantum machine learning (QML) have gained significant importance, as they offer powerful tools for tackling complex computational problems across various domains. This work gives an extensive overview of QML uses in…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Fluctuation theorems establish exact relations for nonequilibrium dynamics, profoundly advancing the field of stochastic thermodynamics. In this work, we extend quantum fluctuation theorems beyond the traditional thermodynamic framework to…
In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
Currency arbitrage leverages price discrepancies in currency exchange rates across different currency pairs to gain risk-free profits. It involves multiple trading, where short-lived price discrepancies require real-time, high-speed…
Accurate and efficient pricing of multi-asset basket options poses a significant challenge, especially when dealing with complex real-world data. In this work, we investigate the role of quantum-enhanced uncertainty modeling in financial…
In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are…
The Quantum Decision Theory, developed recently by the authors, is applied to clarify the role of risk and uncertainty in decision making and in particular in relation to the phenomenon of dynamic inconsistency. By formulating this notion…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
This is a short review of the background and recent development in quantum game theory and its possible application in economics and finance. The intersection of science and society is discussed and Quantum Anthropic Principle is put…
We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
We continue the analysis of quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory and quantum computing. The present paper is devoted to quantum English auction which are a…
The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…
Instabilities of equilibrium quantum mechanics are common and well-understood. They are manifested for example in phase transitions, where a quantum system becomes so sensitive to perturbations that a symmetry can be spontaneously broken.…
Recent development in quantum computation and quantum information theory allows to extend the scope of game theory for the quantum world. The authors have recently proposed a quantum description of financial market in terms of quantum game…
By analyzing the relationships between a socioeconomical system modeled through evolutionary game theory and a physical system modeled through quantum mechanics we show how although both systems are described through two theories apparently…
In the present article we use the quantum formalism to describe the effects of risk and ambiguity in decision theory. The main idea is that the probabilities in the classic theory of expected utility are estimated probabilities, and thus do…