Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm

Xi-Ning Zhuang, Zhao-Yun Chen, Yu-Chun Wu and Guo-Ping Guo

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Abstract: Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We propose quantum algorithms for high-frequency statistical arbitrage trading in this work by utilizing variable time condition number estimation and quantum linear regression.The algorithm complexity has been reduced from the classical benchmark O(N^2d) to O(sqrt(d)(kappa)^2(log(1/epsilon))^2 )). It shows quantum advantage, where N is the length of trading data, and d is the number of stocks, kappa is the condition number and epsilon is the desired precision. Moreover, two tool algorithms for condition number estimation and cointegration test are developed.

Date: 2021-04
New Economics Papers: this item is included in nep-cmp and nep-mst
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