Characterizing asymmetric and bimodal long-term financial return distributions through quantum walks

Stijn De Backer, Luis E. C. Rocha, Jan Ryckebusch and Koen Schoors

Papers from arXiv.org

Abstract: The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian behavior of the returns often does not emerge, and their distributions often exhibit a high level of asymmetry and bimodality. These features are inadequately captured by the majority of classical models to address financial time series and return distributions. In the presented analysis, we use a model based on the discrete-time quantum walk to characterize the observed asymmetry and bimodality. The quantum walk distinguishes itself from a classical diffusion process by the occurrence of interference effects, which allows for the generation of bimodal and asymmetric probability distributions. By capturing the broader trends and patterns that emerge over extended periods, this analysis complements traditional short-term models and offers opportunities to more accurately describe the probabilistic structure underlying long-term financial decisions.

Date: 2025-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2505.13019 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2505.13019

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().