4.7k citations · 15k across the 81 of their papers we have counts for
87 papers
Informed Trading model with quantum walks
H. W. Shawn Liew, Patrick Rebentrost
The seminal Kyle model offers a framework to understand the price impact of an informed trader in a market model for a single asset. We study variants in which the asset's future v…
Pricing of graph-based quantum portfolios from first principles
Daniel J. Spencer, Bin Cheng, Dinh-Long Vu +3
A central topic in economics and finance is the valuation of strategic games and bets, of investments providing uncertain future cashflows, and of other asset-like structures and c…
Quantum Sensing and Hamiltonian Learning under Stochastic Parameter Evolution
Kelvin Koor, Patrick Rebentrost
We introduce the notion of stochastically evolving Hamiltonians (SEHs), which are local Hamiltonians whose coefficients are governed by stochastic differential equations (SDEs). Af…
Reverse quantum state diffusion from differential geometry
Dinh-Long Vu, Patrick Rebentrost
Quantum state diffusion unravels a Lindblad master equation into stochastic trajectories of pure states. The ensemble of trajectories is described by a probability density on the m…
Quantum Quasi-Monte Carlo: a window for pre-asymptotic quantum advantage
Paolo Recchia, Zhan Yu, Kelvin Koor +1
Numerical integration with Monte Carlo methods is a central computational task in many scientific and industrial applications, including financial derivative pricing and risk manag…
Quantum Weighted Moving Average for Predicting Limit Order Book Trends
Matthias Kamm, Dinh-Long Vu, Patrick Rebentrost
Can quantum computers be useful for forecasting multivariate financial time series? In this work, we consider the problem of predicting price trends from limit order book (LOB) dat…