Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

Wei, Wei; Zhu, Dan

doi:10.1016/j.ejor.2021.08.016

European Journal of Operational Research

2022

DOI: 10.1016/j.ejor.2021.08.016

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Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

Wei Wei¹,

Dan Zhu²

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Cited by 6 publications

(1 citation statement)

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“…oreign exchange markets, commonly known as FOREX, hold the distinction of being the largest financial market globally. They are renowned for their inherent complexity and volatility, characterized by unpredictable behavior and significant fluctuations in exchange rates (Wei and Zhu, 2022). The ability to forecast currency pair movements is of great importance in the field of FOREX.…”

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confidence: 99%

Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience

Alaminos

Salas

Fernández-Gámez

2023

Humanit Soc Sci Commun

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The foreign exchange markets, renowned as the largest financial markets globally, also stand out as one of the most intricate due to their substantial volatility, nonlinearity, and irregular nature. Owing to these challenging attributes, various research endeavors have been undertaken to effectively forecast future currency prices in foreign exchange with precision. The studies performed have built models utilizing statistical methods, being the Monte Carlo algorithm the most popular. In this study, we propose to apply Auxiliary-Field Quantum Monte Carlo to increase the precision of the FOREX markets models from different sample sizes to test simulations in different stress contexts. Our findings reveal that the implementation of Auxiliary-Field Quantum Monte Carlo significantly enhances the accuracy of these models, as evidenced by the minimal error and consistent estimations achieved in the FOREX market. This research holds valuable implications for both the general public and financial institutions, empowering them to effectively anticipate significant volatility in exchange rate trends and the associated risks. These insights provide crucial guidance for future decision-making processes.

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mentioning

confidence: 99%

Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience

Alaminos

Salas

Fernández-Gámez

2023

Humanit Soc Sci Commun

View full text Add to dashboard Cite

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Valuation of general GMWB annuities in a low interest rate environment

Fontana¹,

Rotondi²

2023

Insurance: Mathematics and Economics

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Network reliability of a stochastic flow network by wrapping linear programming models into a Monte-Carlo simulation

Huang

2024

Reliability Engineering & System Safety

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Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

Cited by 6 publications

References 43 publications

Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience

Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience

Valuation of general GMWB annuities in a low interest rate environment

Network reliability of a stochastic flow network by wrapping linear programming models into a Monte-Carlo simulation

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