8 papers
Factor-Augmented Machine Learning Panel Regressions
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a fac…
On the Classical Shadow Nonparametric Bootstrap
Eric Ghysels, Jack Morgan
Classical shadows are an efficient method for constructing an approximate classical description of a quantum state using very few measurements. In the paper we propose to enhance c…
Nowcasting and aggregation: Why small Euro area countries matter
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
The paper studies the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro release…
Improving Quantum Recurrent Neural Networks with Amplitude Encoding
Jack Morgan, Hamed Mohammadbagherpoor, Eric Ghysels
Recurrent Neural Networks (RNNs) are widely used to model complex temporal dependencies in sequential data. Quantum Recurrent Neural Networks (QRNNs) extend this idea to quantum ma…
On Quantum and Quantum-Inspired Maximum Likelihood Estimation and Filtering of Stochastic Volatility Models
Eric Ghysels, Jack Morgan, Hamed Mohammadbagherpoor
Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to…
On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models
Eric Ghysels, Jack Morgan
We formulate quantum computing solutions to a large class of dynamic nonlinear asset pricing models using algorithms, in theory exponentially more efficient than classical ones, wh…
An Enhanced Hybrid HHL Algorithm
Jack Morgan, Eric Ghysels, Hamed Mohammadbagherpoor
We present a classical enhancement to improve the accuracy of the Hybrid variant (Hybrid HHL) of the quantum algorithm for solving linear systems of equations proposed by Harrow, H…
Quantum Computational Algorithms for Derivative Pricing and Credit Risk in a Regime Switching Economy
Eric Ghysels, Jack Morgan, Hamed Mohammadbagherpoor
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we i…