arXiv subjects

M. Terraneo

Publications and source records attributed to M. Terraneo.

6 recordsLinked to original sources

arXiv2015

The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model

This work presents a theoretical and empirical evaluation of Anderson-Darling test when the sample size is limited. The test can be applied in order to backtest the risk factors dynamics in the context of Counterparty Credit Risk modelling. We show the limits of such test when backtesting the distributions of an interest rate model over long time horizons and we propose a modified version of the test that is able to detect more efficiently an underestimation of the model's volatility. Finally we provide an empirical application.

q-fin.RM↗

arXiv2004

Quantum computation and analysis of Wigner and Husimi functions: toward a quantum image treatment

We study the efficiency of quantum algorithms which aim at obtaining phase space distribution functions of quantum systems. Wigner and Husimi functions are considered. Different quantum algorithms are envisioned to build these functions, and compared with the classical computation. Different procedures to extract more efficiently information from the final wave function of these algorithms are studied, including coarse-grained measurements, amplitude amplification and measure of wavelet-transformed wave function. The algorithms are analyzed and numerically tested on a complex quantum system showing different behavior depending on parameters, namely the kicked rotator. The results for the Wigner function show in particular that the use of the quantum wavelet transform gives a polynomial gain over classical computation. For the Husimi distribution, the gain is much larger than for the Wigner function, and is bigger with the help of amplitude amplification and wavelet transforms. We also apply the same set of techniques to the analysis of real images. The results show that the use of the quantum wavelet transform allows to lower dramatically the number of measurements needed, but at the cost of a large loss of information.

quant-ph↗

arXiv2003

Dynamical localization, measurements and quantum computing

We study numerically the effects of measurements on dynamical localization in the kicked rotator model simulated on a quantum computer. Contrary to the previous studies, which showed that measurements induce a diffusive probability spreading, our results demonstrate that localization can be preserved for repeated single-qubit measurements. We detect a transition from a localized to a delocalized phase, depending on the system parameters and on the choice of the measured qubit.

quant-ph↗

arXiv2002

Strange attractor simulated on a quantum computer

We show that dissipative classical dynamics converging to a strange attractor can be simulated on a quantum computer. Such quantum computations allow to investigate efficiently the small scale structure of strange attractors, yielding new information inaccessible to classical computers. This opens new possibilities for quantum simulations of various dissipative processes in nature.

quant-ph↗

arXiv2002

Controlling the energy flow in nonlinear lattices: a model for a thermal rectifier

We address the problem of heat conduction in 1-D nonlinear chains; we show that, acting on the parameter which controls the strength of the on site potential inside a segment of the chain, we induce a transition from conducting to insulating behavior in the whole system. Quite remarkably, the same transition can be observed by increasing the temperatures of the thermal baths at both ends of the chain by the same amount. The control of heat conduction by nonlinearity opens the possibility to propose new devices such as a thermal rectifier.

cond-mat.stat-mech↗

arXiv2000

Distribution of resonance widths in localized tight-binding models

We numerically analyze the distribution of scattering resonance widths in one- and quasi-one dimensional tight binding models, in the localized regime. We detect and discuss an algebraic decay of the distribution, similar, though not identical, to recent theoretical predictions.

cond-mat.mes-hall↗