Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application

11 Pages Posted: 9 Mar 2015 Last revised: 5 Jul 2015

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; AQR Capital Management, LLC

Date Written: June 7, 2015

Abstract

Generalized dynamic portfolio optimization problems have no known closed-form solution. These problems are particularly relevant to large asset managers, as the costs from excessive turnover and implementation shortfall may critically erode the profitability of their investment strategies.

In this brief note we demonstrate how this financial problem, intractable to modern supercomputers, can be reformulated as an integer optimization problem. Such representation makes it amenable to quantum computers.

Keywords: High-performance computing, integer optimization, quantum computing, adiabatic process

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

López de Prado, Marcos, Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application (June 7, 2015). Available at SSRN: https://ssrn.com/abstract=2575184 or http://dx.doi.org/10.2139/ssrn.2575184

Marcos López de Prado (Contact Author)

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

AQR Capital Management, LLC

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

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