Related papers: Quant Bust 2020
In May 2022, an apparent speculative attack, followed by market panic, led to the precipitous downfall of UST, one of the most popular stablecoins at that time. However, UST is not the only stablecoin to have been depegged in the past.…
We consider a dynamic pricing problem for repeated contextual second-price auctions with multiple strategic buyers who aim to maximize their long-term time discounted utility. The seller has limited information on buyers' overall demand…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
We propose nearly-optimal control strategies for changing states of a quantum system. We argue that quantum control optimization can be studied analytically within some protocol families that depend on a small set of parameters for…
We explore a scenario involving two sites and a sequential game between a defender and an attacker, where the defender is responsible for securing the sites while the attacker aims to attack them. Each site holds a loss value for the…
A family of existing protocols for quantum sealed-bid auction is critically analyzed, and it is shown that they are vulnerable under several attacks (e.g., the participant's and non-participant's attacks as well as the collusion attack of…
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…
We consider in detail an investment strategy, titled "The Bounce Basket", designed for someone to express a bullish view on the market by allowing them to take long positions on securities that would benefit the most from a rally in the…
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…
In this paper, we present a quantum version of some portions of Mathematical Finance, including theory of arbitrage, asset pricing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. As…
This paper investigates the experimental performance of a discrete portfolio optimization problem relevant to the financial services industry on the gate-model of quantum computing. We implement and evaluate a portfolio rebalancing use case…
Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we consider a market graph as an intuitive way to represent…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
Quantum Neural Networks (QNNs), now offered as QNN-as-a-Service (QNNaaS), have become key targets for model extraction attacks. Existing methods use ensemble learning to train substitute QNNs, but our analysis reveals significant…
In this paper we examine the process involved in the design and implementation of a port-graph model to be used for the analysis of an agent-based rational negligence model. Rational negligence describes the phenomenon that occurred during…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, $N$ agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…