FINANCIAL MARKET MODELING WITH QUANTUM NEURAL NETWORKS
Аннотация
Эконофизика сформировалась как исследовательская область, которая применяет понятия статистической механики и квантовой механики для исследования экономических и финансовых проблем. Раздел эконофизики, который применяет квантовую теорию к экономике и финансам, именуется квантовой эконофизикой. В финансовой сфере квантовая эконофизика используется в ряде областей - от оценки опционов до моделирования рыночной динамики. В данной работе вводятся новые инструменты из области квантового искусственного интеллекта, а именно квантовые искусственные нейронные сети в качестве способа создания адаптивных моделей финансовых рынков.
Список литературы
1. Anderson, P.W., Arrow, K.J. & Pines, D. (eds.) (1988), The Economy as an Evolving Complex System, Perseus Books, USA.
2. Arthur, B.W., Durlauf, S.N. & Lane, D. (eds.) (1997), The Economy as an Evolving Complex System II, Westview Press, USA.
3. Baaquie, B.E., Kwek, L.C. & Srikant, M. (2000), “Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns”, www. arXiv. org.
4. Baaquie, B.E. & Marakani, S. (2001), “Empirical investigation of a quantum fi eld theory of forward rates”, www. arXiv. org.
5. Baaquie, B.E. (2004), Quantum Finance: Path Integrals and Hamiltonians for Options and Interest Rates, Cambridge University Press, USA.
6. Baaquie, B.E. & Pan, T. (2011), “Simulation of coupon bond European and barrier options in quantum fi nance”, Physica A, 390, 263-289.
7. Behrman, E.C., Niemel, J., Steck, J.E. & Skinner, S.R. (1996), “A Quantum Dot Neural Network”, in Toffoli, T. and Biafore, M. (eds), Proceedings of the 4th Workshop on Physics of Computation, Elsevier Science Publishers, Amsterdam, 22-24.
8. Bohm, D. (1984), Causality and Chance in Modern Physics, (1997 Reprinted Version) Routledge & Kegan Paul, Eastbourne.
9. Bohm, D. & Hiley, B.J. (1993), The undivided universe - An ontological interpretation of quantum theory, Routledge, London.
10. Bransden, B.H. & Joachain, C.J. (2000), Quantum Mechanics, Prentice Hall, England.
11. Bruce, C. (2004), Schrödinger’s Rabbits - the many worlds of quantum, Joseph Henry Press, Washington DC.
12. Brunn, C. (ed.) (2006), Advances in Artifi cial Economics - The Economy as a Complex Dynamic System, Springer, Berlin.
13. Busemeyer, J.R. & Franco, R. (2010), “What is The Evidence for Quantum Like Interference Effects in Human Judgments and Decision Behavior?”, NeuroQuantology, vol. 8, No. 4: S48-62.
14. Busemeyer, J.R. & Bruza, P.D. (2012), Quantum models of cognition and decision, Cambridge University Press, Cambridge.
15. Busemeyer, J.R. & Wang, Z. (2014), “Quantum Cognition: Key Issues and Discussion”, Topics in Cognitive Science 6: 43-46.
16. Calvet, L. & Fisher, A. (2002), “Multifractality in asset returns: Theory and evidence”, Review of Economics and Statistics, Vol. 84, 3, August, 381-406.
17. Calvet, L. & Fisher, A. (2004), “Regime-switching and the estimation of multifractal processes”, Journal of Financial Econometrics, 2: 44-83.
18. Choustova, O. (2007a), “Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach”, Theoretical and Mathematical Physics, 152 (2): 1213-1222.
19. Choustova, O. (2007b), “Toward quantum-like modeling of financial processes”, J.Phys.: Conf. Ser. 70 01 2006.
20. Chrisley, R. (1995), “Quantum learning”, in Pylkkänen, P. & Pylkkö, P. (eds.), New directions in cognitive science: Proceedings of the international symposium, Saariselka, 4-9 August, Lapland, Finland, Finnish Artifi cial Intelligence Society, Helsinki, 77-89.
21. Deutsch, D. (1985), “Quantum theory, the Church-Turing Principle and the universal quantum computer”, Proc R Soc Lond A, 400-497.
22. Deutsch, D. (1999), “Quantum theory of probability and decisions”, Proc. R.Soc. Lond. A 1999 455 3129-3137.
Рецензия
Для цитирования:
. Review of Business and Economics Studies. 2015;3(4):44-63.
For citation:
Gonçalves C.P. FINANCIAL MARKET MODELING WITH QUANTUM NEURAL NETWORKS. Review of Business and Economics Studies. 2015;3(4):44-63. (In Russ.)
Послать статью по эл. почте 