英文标题：
《Forecasting financial crashes with quantum computing》
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作者：
Roman Orus, Samuel Mugel, Enrique Lizaso
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最新提交年份：
2019
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英文摘要：
A key problem in financial mathematics is the forecasting of financial crashes: if we perturb asset prices, will financial institutions fail on a massive scale? This was recently shown to be a computationally intractable (NP-hard) problem. Financial crashes are inherently difficult to predict, even for a regulator which has complete information about the financial system. In this paper we show how this problem can be handled by quantum annealers. More specifically, we map the equilibrium condition of a toy-model financial network to the ground-state problem of a spin-1/2 quantum Hamiltonian with 2-body interactions, i.e., a quadratic unconstrained binary optimization (QUBO) problem. The equilibrium market values of institutions after a sudden shock to the network can then be calculated via adiabatic quantum computation and, more generically, by quantum annealers. Our procedure could be implemented on near-term quantum processors, thus providing a potentially more efficient way to assess financial equilibrium and predict financial crashes.
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中文摘要：
金融数学中的一个关键问题是预测金融崩溃：如果我们扰乱资产价格，金融机构会大规模倒闭吗？这最近被证明是一个难以计算的（NP难）问题。金融崩溃本质上很难预测，即使对于一个拥有完整金融系统信息的监管机构来说也是如此。在本文中，我们展示了量子退火机如何处理这个问题。更具体地说，我们将玩具模型金融网络的平衡条件映射到具有两体相互作用的自旋1/2量子哈密顿量的基态问题，即二次无约束二元优化（QUBO）问题。然后，可以通过绝热量子计算，更一般地说，通过量子退火机，计算网络突然受到冲击后机构的均衡市场价值。我们的程序可以在短期量子处理器上实现，从而为评估金融平衡和预测金融崩溃提供了一种潜在的更有效的方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Quantum Physics 量子物理学
分类描述：Description coming soon
描述即将到来
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