I have been looking into QM/Linear Algebra applications of CCAR and other Stress Testing in the finance industry. I would like to formulate that in the Quantum Mechanical way using operators that would act as bra or kets. Any takers on diving into that?
For one scientific curiosity. But when working in finance I thought that the algorithms for calculation of Stress Testing impact could be enhanced by additional research, since most calculations use mostly "brute force". On a high level the financial stresses can be formulated as a matrix that contains the shocks which can be anything from a Dirac delta or Heaviside step function to exponential or random. At time t_0 the state of the system is well defined, but it decays over time within certain boundaries. I found some recent scholarly articles on financial stress and linear algebra formulations as well as a QM formulation of the Black-Scholes equation. So it seems other people in the community have had similar ideas. Honestly I never had a lot of time to go into this deeper, and for now it is more of a conceptual idea that I need to research more to find a mathematical formulation. I will start with existing research and papers and see if I can align this with my ideas.
To start of; if you want to apply quantum algorithms, check if someone has already done the work:
https://math.nist.gov/quantum/zoo/
Second, there are plenty of resources for quantum applications in finance, though by now a bit dated: https://atos.net/wp-content/uploads/2017/02/Ascent_White-Paper_Quantum-Finance-FINAL-Nov2016-1.pdf
- Badges
- Science topic
- Similar topics
- Physical Sciences
- Quantum Physics
- Quantum Mechanics