The 2008 mortgage crisis is an example of an extreme event. Extreme value theory tries to estimate such tail risks. Modern finance practitioners prefer Expected Shortfall based risk metrics (which capture tail risk) over traditional approaches like volatility or even Value-at-Risk. This paper provides a quantum annealing algorithm in QUBO form for a dynamic asset allocation problem using expected shortfall constraint. It was motivated by the need to refine the current quantum algorithms for Markowitz type problems which are academically interesting but not useful for practitioners. The algorithm is dynamic and the risk target emerges naturally from the market volatility. Moreover, it avoids complicated statistics like generalized pareto distribution. It translates the problem into qubit form suitable for implementation by a quantum annealer like D-Wave. Such QUBO algorithms are expected to be solved faster using quantum annealing systems than any classical algorithm using classical computer (but yet to be demonstrated at scale).The 2008 mortgage crisis is an example of an extreme event. Extreme value theory tries to estimate such tail risks. Modern finance practitioners prefer Expected Shortfall based risk metrics (which capture tail risk) over traditional approaches like volatility or even Value-at-Risk. This paper provides a quantum annealing algorithm in QUBO form for a dynamic asset allocation problem using expected shortfall constraint. It was motivated by the need to refine the current quantum algorithms for Markowitz type problems which are academically interesting but not useful for practitioners. The algorithm is dynamic and the risk target emerges naturally from the market volatility. Moreover, it avoids complicated statistics like generalized pareto distribution. It translates the problem into qubit form suitable for implementation by a quantum annealer like D-Wave. Such QUBO algorithms are expected to be solved faster using quantum annealing systems than any classical algorithm using classical computer (but yet to be demonstrated at scale).

arXiv:1909.12904Sep 27, 20190 citations

On quantum differential forms

Bertfried Fauser, H. Dehnen

Verhandlungen der Deutschen Physikalischen GesellschaftJan 1, 20020 citations

Operators, Expectation Values, and Various Quantum Theories

Bruce Cameron Reed

Springer eBooksJan 1, 20220 citations

Relativistic quantum fluid with boost invariance

Davide Rindori, Leonardo Tinti, F. Becattini +1 more

We study a relativistic fluid with longitudinal boost invariance in a quantum-statistical framework as an example of a solvable nonequilibrium problem. For the free quantum field, we calculate the exact form of the expectation values of the stress-energy tensor and the entropy current. For the stress-energy tensor, we find that a finite value can be obtained only by subtracting the vacuum of the density operator at some fixed proper time ${\ensuremath{\tau}}_{0}$. As a consequence, the stress-energy tensor acquires nontrivial quantum corrections to the classical free-streaming form.We study a relativistic fluid with longitudinal boost invariance in a quantum-statistical framework as an example of a solvable nonequilibrium problem. For the free quantum field, we calculate the exact form of the expectation values of the stress-energy tensor and the entropy current. For the stress-energy tensor, we find that a finite value can be obtained only by subtracting the vacuum of the density operator at some fixed proper time ${\ensuremath{\tau}}_{0}$. As a consequence, the stress-energy tensor acquires nontrivial quantum corrections to the classical free-streaming form.

arXiv:2102.09016Physical review. D/Physical review. D.Mar 7, 202210 citations

Quantum noise, detailed balance and Kubo formula in nonequilibrium quantum systems

Uri Gavish, Y. Imry, Yehoshua B. Levinson

Current quantum noise can be pictured as a sum over transitions through which the electronic system exchanges energy with its environment. We formulate this picture and use it to show which type of current correlators are measurable, and in what measurement the zero point fluctuations will play a role (the answer to the latter is as expected: only if the detector excites the system.) Using the above picture, we calculate and give physical interpretation of the finite-frequency finite-temperature current noise in a noninteracting Landauer-type system, where the chemical potentials of terminals 1 and 2 are $μ+eV/2$ and $μ-eV/2$ respectively, and derive a detailed-balance condition for this nonequilibrium system. Finally, we derive a generalized form of the Kubo formula for a wide class of interacting nonequilibrium systems, relating the differential conductivity to the current noise.Current quantum noise can be pictured as a sum over transitions through which the electronic system exchanges energy with its environment. We formulate this picture and use it to show which type of current correlators are measurable, and in what measurement the zero point fluctuations will play a role (the answer to the latter is as expected: only if the detector excites the system.) Using the above picture, we calculate and give physical interpretation of the finite-frequency finite-temperature current noise in a noninteracting Landauer-type system, where the chemical potentials of terminals 1 and 2 are $μ+eV/2$ and $μ-eV/2$ respectively, and derive a detailed-balance condition for this nonequilibrium system. Finally, we derive a generalized form of the Kubo formula for a wide class of interacting nonequilibrium systems, relating the differential conductivity to the current noise.

arXiv:cond-mat/0211681Nov 29, 20024 citations

FORMS OF QUANTUM MECHANICS

World Scientific lecture notes in physicsMar 1, 19911 citation

μ+eV/2

and

μ-eV/2

respectively, and derive a detailed-balance condition for this nonequilibrium system. Finally, we derive a generalized form of the Kubo formula for a wide class of interacting nonequilibrium systems, relating the differential conductivity to the current noise.