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

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

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...

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Bibliographic Details
Main Authors: Chukiat Chaiboonsri, Satawat Wannapan
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:Economies
Subjects:
quantum mechanics
wave function
extreme value analysis
Bayesian inference
stock market
Value at Risk (VaR)
Online Access:https://www.mdpi.com/2227-7099/9/1/13

Internet

https://www.mdpi.com/2227-7099/9/1/13

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