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Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange

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  • Chukiat Chaiboonsri

    (Modern Quantitative Economic Research Center (MQERC), Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand)

  • Satawat Wannapan

    (Modern Quantitative Economic Research Center (MQERC), Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand)

Abstract

The advantage of quantum mechanics to shift up the ability to econometrically understand extreme tail losses in financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions. Behind the non-novel quantum mechanism, it does interestingly connect with the distributional signals of humans’ brainstorms. The highlighted purpose of this article is to devise a quantum-wave distribution methodically to analyze better risks and returns for stock markets in The Association of Southeast Asian Nations (ASEAN) countries, including Thailand (SET), Singapore (STI), Malaysia (FTSE), Philippines (PSEI), and Indonesia (PCI). Data samples were observed as quarterly trends between 1994 and 2019. Bayesian statistics and simulations were applied to present estimations’ outputs. Empirically, quantum distributions are remarkable for providing “real distributions”, which computationally conform to Bayesian inferences and crucially contribute to the higher level of extreme data analyses in financial economics.

Suggested Citation

  • Chukiat Chaiboonsri & Satawat Wannapan, 2021. "Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange," Economies, MDPI, vol. 9(1), pages 1-14, February.
    • Handle: RePEc:gam:jecomi:v:9:y:2021:i:1:p:13-:d:492364
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    References listed on IDEAS

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    Cited by:

    1. Herman Mørkved Blom & Petter Eilif de Lange & Morten Risstad, 2023. "Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression," JRFM, MDPI, vol. 16(7), pages 1-23, June.

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