Quantum computational quantitative trading: high-frequency statistical arbitrage algorithm

Author:

Zhuang Xi-NingORCID,Chen Zhao-YunORCID,Wu Yu-ChunORCID,Guo Guo-PingORCID

Abstract

Abstract Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We propose quantum algorithms for high-frequency statistical arbitrage trading by utilizing variable time condition number estimation and quantum linear regression. The algorithm complexity has been reduced from the classical benchmark O(N 2 d) to O ( d N κ 0 2 log ( 1 / ϵ ) 2 ) , where N is the length of trading data, and d is the number of stocks, κ 0 is the condition number and ϵ is the desired precision. Moreover, two tool algorithms for condition number estimation and cointegration test are developed.

Funder

Innovation Program for Quantum Science and Technology

the National Natural Science Foundation of China

Publisher

IOP Publishing

Subject

General Physics and Astronomy

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Dual-market quantitative trading: The dynamics of liquidity and turnover in financial markets;Data Science and Management;2024-07

2. Quantitative Trading Model Building and Stock Investment Decision Making from a Data-Driven Perspective;2024 IEEE 13th Data Driven Control and Learning Systems Conference (DDCLS);2024-05-17

3. Differential evolution VQE for crypto-currency arbitrage. Quantum optimization with many local minima;Digital Signal Processing;2024-05

4. Research on Index ETF Timing Model;Proceedings of the 2023 4th International Conference on Big Data Economy and Information Management;2023-12-08

5. An improved QFT-based quantum comparator and extended modular arithmetic using one ancilla qubit;New Journal of Physics;2023-10-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3