投資
企業間連携における監督の類似性
量子忠実度は、株式における依存構造を捉えるために用いられます。
Gaussian GenAI：合成市場データ生成
混合モデルを用いて金融時系列を生成する方法を提示
金利モデルにおける平均回帰の推定
金利モデルにおける要因の平均回帰の速度の推定
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
重要度サンプリングを用いた取引戦略の選択
サンプリング技法は、決定規則を比較する上で、A-Bテストよりも効率的です。
量子認知機械学習：金融予測
量子認知に基づく機械学習アルゴリズム学習の新しいパラダイムを提示
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Fat tails and optimal LDI portfolios
A portfolio optimisation technique for pension funds and insurance portfolios is presented