Quantum Deep Hedging

• URL: http://arxiv.org/abs/2303.16585v2
• Date: Sun, 26 Nov 2023 22:04:47 GMT
• Title: Quantum Deep Hedging
• Authors: El Amine Cherrat, Snehal Raj, Iordanis Kerenidis, Abhishek Shekhar, Ben Wood, Jon Dee, Shouvanik Chakrabarti, Richard Chen, Dylan Herman, Shaohan Hu, Pierre Minssen, Ruslan Shaydulin, Yue Sun, Romina Yalovetzky, Marco Pistoia
• Abstract summary: We look at the problem of hedging where deep reinforcement learning offers a powerful framework for real markets. We develop quantum reinforcement learning methods based on policy-search and distributional actor-critic algorithms. We successfully implement the proposed models on a trapped-ion quantum processor.
• Score: 10.243020478772056
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Quantum machine learning has the potential for a transformative impact across industry sectors and in particular in finance. In our work we look at the problem of hedging where deep reinforcement learning offers a powerful framework for real markets. We develop quantum reinforcement learning methods based on policy-search and distributional actor-critic algorithms that use quantum neural network architectures with orthogonal and compound layers for the policy and value functions. We prove that the quantum neural networks we use are trainable, and we perform extensive simulations that show that quantum models can reduce the number of trainable parameters while achieving comparable performance and that the distributional approach obtains better performance than other standard approaches, both classical and quantum. We successfully implement the proposed models on a trapped-ion quantum processor, utilizing circuits with up to $16$ qubits, and observe performance that agrees well with noiseless simulation. Our quantum techniques are general and can be applied to other reinforcement learning problems beyond hedging.

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