The cross-sectional stock return predictions via quantum neural network and tensor network

DOI DOI PDF Web Site 研究データあり 参考文献25件 オープンアクセス

この論文をさがす

説明

<jats:title>Abstract</jats:title><jats:p>In this paper, we investigate the application of quantum and quantum-inspired machine learning algorithms to stock return predictions. Specifically, we evaluate the performance of quantum neural network, an algorithm suited for noisy intermediate-scale quantum computers, and tensor network, a quantum-inspired machine learning algorithm, against classical models such as linear regression and neural networks. To evaluate their abilities, we construct portfolios based on their predictions and measure investment performances. The empirical study on the Japanese stock market shows the tensor network model achieves superior performance compared to classical benchmark models, including linear and neural network models. Though the quantum neural network model attains the lowered risk-adjusted excess return than the classical neural network models over the whole period, both the quantum neural network and tensor network models have superior performances in the latest market environment, which suggests capability of model’s capturing non-linearity between input features.</jats:p>

収録刊行物

参考文献 (25)*注記

もっと見る

関連プロジェクト

もっと見る

キーワード

詳細情報 詳細情報について

問題の指摘

ページトップへ