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Prospects and challenges of quantum finance

Author

Listed:
  • Adam Bouland
  • Wim van Dam
  • Hamed Joorati
  • Iordanis Kerenidis
  • Anupam Prakash

Abstract

Quantum computers are expected to have substantial impact on the finance industry, as they will be able to solve certain problems considerably faster than the best known classical algorithms. In this article we describe such potential applications of quantum computing to finance, starting with the state-of-the-art and focusing in particular on recent works by the QC Ware team. We consider quantum speedups for Monte Carlo methods, portfolio optimization, and machine learning. For each application we describe the extent of quantum speedup possible and estimate the quantum resources required to achieve a practical speedup. The near-term relevance of these quantum finance algorithms varies widely across applications - some of them are heuristic algorithms designed to be amenable to near-term prototype quantum computers, while others are proven speedups which require larger-scale quantum computers to implement. We also describe powerful ways to bring these speedups closer to experimental feasibility - in particular describing lower depth algorithms for Monte Carlo methods and quantum machine learning, as well as quantum annealing heuristics for portfolio optimization. This article is targeted at financial professionals and no particular background in quantum computation is assumed.

Suggested Citation

  • Adam Bouland & Wim van Dam & Hamed Joorati & Iordanis Kerenidis & Anupam Prakash, 2020. "Prospects and challenges of quantum finance," Papers 2011.06492, arXiv.org.
    • Handle: RePEc:arx:papers:2011.06492
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    References listed on IDEAS

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    Cited by:

    1. Martin Vesel'y, 2022. "Application of Quantum Computers in Foreign Exchange Reserves Management," Papers 2203.15716, arXiv.org.
    2. Nikolaos Schetakis & Davit Aghamalyan & Michael Boguslavsky & Agnieszka Rees & Marc Rakotomalala & Paul Robert Griffin, 2024. "Quantum Machine Learning for Credit Scoring," Mathematics, MDPI, vol. 12(9), pages 1-12, May.
    3. Jeong Yu Han & Patrick Rebentrost, 2022. "Quantum advantage for multi-option portfolio pricing and valuation adjustments," Papers 2203.04924, arXiv.org.
    4. Dong An & Noah Linden & Jin-Peng Liu & Ashley Montanaro & Changpeng Shao & Jiasu Wang, 2020. "Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance," Papers 2012.06283, arXiv.org, revised Jun 2021.

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