| Publication type: | Working paper – expertise – study |
| Title: | A quantum majorization alarm system for market crashes |
| Authors: | Montana, J. Souto Arias, Luis A. Cirillo, Pasquale Oosterlee, Cornelis W. |
| et. al: | No |
| DOI: | 10.2139/ssrn.3976131 |
| Extent: | 15 |
| Issue Date: | 2022 |
| Publisher / Ed. Institution: | SSRN |
| ISSN: | 1556-5068 |
| Language: | English |
| Subjects: | Correlation matrix; Financial crash; Forecasting; Portfolio risk |
| Subject (DDC): | 332: Financial economics |
| Abstract: | We propose an alarm system for stock market crashes, combining the informational power of quantum majorization on tail correlation matrices with the predictive performance of a reinforced urn process. The model is tested on the daily log-returns of 30 Dow Jones Industrial Average constituents from March 13, 1986 through December 31, 2020. Performances are quite satisfactory and suggest to further pursue this research direction. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/24998 |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Business Information Technology (IWI) |
| Appears in collections: | Publikationen School of Management and Law |
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Montana, J., Souto Arias, L. A., Cirillo, P., & Oosterlee, C. W. (2022). A quantum majorization alarm system for market crashes. SSRN. https://doi.org/10.2139/ssrn.3976131
Montana, J. et al. (2022) A quantum majorization alarm system for market crashes. SSRN. Available at: https://doi.org/10.2139/ssrn.3976131.
J. Montana, L. A. Souto Arias, P. Cirillo, and C. W. Oosterlee, “A quantum majorization alarm system for market crashes,” SSRN, 2022. doi: 10.2139/ssrn.3976131.
MONTANA, J., Luis A. SOUTO ARIAS, Pasquale CIRILLO und Cornelis W. OOSTERLEE, 2022. A quantum majorization alarm system for market crashes. SSRN
Montana, J., Luis A. Souto Arias, Pasquale Cirillo, and Cornelis W. Oosterlee. 2022. “A Quantum Majorization Alarm System for Market Crashes.” SSRN. https://doi.org/10.2139/ssrn.3976131.
Montana, J., et al. A Quantum Majorization Alarm System for Market Crashes. SSRN, 2022, https://doi.org/10.2139/ssrn.3976131.
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