arXiv subjects

Philip Intallura

Publications and source records attributed to Philip Intallura.

9 recordsLinked to original sources

arXiv2026

Gaussian Boson Sampling for Asset Clustering in Statistical Arbitrage Portfolios

Gaussian Boson Sampling (GBS) provides a native photonic quantum heuristic for sampling dense subgraphs from adjacency matrices, offering a scalable physical approach to combinatorial graph search problems. Simultaneously, correlation matrix clustering algorithms, such as Spectral and SPONGE, have established robust benchmarks for identifying co-moving assets from correlation matrices in statistical arbitrage (StatArb) strategies. In this work, we map S&P 500 residual correlation data into GBS-compatible adjacency matrices. We benchmark those classical clustering algorithms against two quantum clustering algorithms, GBS Boost and our novel GBS Roots, to construct dynamic, market-neutral portfolios over a rolling one-year window. Simulations across distinct macroeconomic regimes reveal that quantum clustering generates superior alpha within large stock universes during periods of high volatility, effectively isolating structural market idiosyncrasies. Crucially, this economic advantage persists under simulated low-loss conditions and extends into high-loss regimes via the application of coherent displacement to compensate for photon loss. Our findings underscore the efficacy of GBS-derived graph clustering in constructing robust StatArb portfolios, establishing a quantum foundation for broader quantitative finance applications.

quant-ph↗

arXiv2025

Enhanced fill probability estimates in institutional algorithmic bond trading using statistical learning algorithms with quantum computers

The estimation of fill probabilities for trade orders represents a key ingredient in the optimization of algorithmic trading strategies. It is bound by the complex dynamics of financial markets with inherent uncertainties, and the limitations of models aiming to learn from multivariate financial time series that often exhibit stochastic properties with hidden temporal patterns. In this paper, we focus on algorithmic responses to trade inquiries in the corporate bond market and investigate fill probability estimation errors of common machine learning models when given real production-scale intraday trade event data, transformed by a quantum algorithm running on IBM Heron processors, as well as on noiseless quantum simulators for comparison. We introduce a framework to embed these quantum-generated data transforms as a decoupled offline component that can be selectively queried by models in low-latency institutional trade optimization settings. A trade execution backtesting method is employed to evaluate the fill prediction performance of these models in relation to their input data. We observe a relative gain of up to ~ 34% in out-of-sample test scores for those models with access to quantum hardware-transformed data over those using the original trading data or transforms by noiseless quantum simulation. These empirical results suggest that the inherent noise in current quantum hardware contributes to this effect and motivates further studies. Our work demonstrates the emerging potential of quantum computing as a complementary explorative tool in quantitative finance and encourages applied industry research towards practical applications in trading.

quant-ph↗

arXiv2024

Quantum Monte Carlo Integration for Simulation-Based Optimisation

We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematical finance. To this end, we conduct a thorough analysis of all systematic errors arising in the formulation of quantum Monte Carlo integration in order to better understand the resources required to encode various distributions such as a Gaussian, and to evaluate statistical quantities such as the Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) of an asset. Finally, we study the applicability of quantum Monte Carlo integration for fundamental financial use cases in terms of simulation-based optimisations, notably Mean-Conditional-Value-at-Risk (Mean-CVaR) and (risky) Mean-Variance (Mean-Var) optimisation problems. In particular, we study the Mean-Var optimisation problem in the presence of noise on a quantum device, and benchmark a quantum error mitigation method that applies to quantum amplitude estimation -- a key subroutine of quantum Monte Carlo integration -- showcasing the utility of such an approach.

quant-ph↗

arXiv2024

Effects of the entropy source on Monte Carlo simulations

In this paper we show how different sources of random numbers influence the outcomes of Monte Carlo simulations. We compare industry-standard pseudo-random number generators (PRNGs) to a quantum random number generator (QRNG) and show, using examples of Monte Carlo simulations with exact solutions, that the QRNG yields statistically significantly better approximations than the PRNGs. Our results demonstrate that higher accuracy can be achieved in the commonly known Monte Carlo method for approximating $\pi$. For Buffon's needle experiment, we further quantify a potential reduction in approximation errors by up to $1.89\times$ for optimal parameter choices when using a QRNG and a reduction of the sample size by $\sim 8\times$ for sub-optimal parameter choices. We attribute the observed higher accuracy to the underlying differences in the random sampling, where a uniformity analysis reveals a tendency of the QRNG to sample the solution space more homogeneously.

physics.comp-ph↗

arXiv2024

Predicting Ising Model Performance on Quantum Annealers

By analyzing the characteristics of hardware-native Ising Models and their performance on current and next generation quantum annealers, we provide a framework for determining the prospect of advantage utilizing adiabatic evolution compared to classical heuristics like simulated annealing. We conduct Ising Model experiments with coefficients drawn from a variety of different distributions and provide a range for the necessary moments of the distributions that lead to frustration in classical heuristics. By identifying the relationships between the linear and quadratic terms of the models, analysis can be done a priori to determine problem instance suitability on annealers. We then extend these experiments to a prototype of D-Wave's next generation device, showing further performance improvements compared to the current Advantage annealers.

quant-ph↗

arXiv2024

Spectral Methods for Quantum Optimal Control: Artificial Boundary Conditions

The problem of quantum state preparation is one of the main challenges in achieving the quantum advantage. Furthermore, classically, for multi-level problems, our ability to solve the corresponding quantum optimal control problems is rather limited. The ability of the latter to feed into the former may result in significant progress in quantum computing. To address this challenge, we propose a formulation of quantum optimal control that makes use of artificial boundary conditions for the Schrödinger equation in combination with spectral methods. The resulting formulations are well suited for investigating periodic potentials and lend themselves to direct numerical treatment using conventional methods for bounded domains.

quant-ph↗

arXiv2023

Quantum Multiple Kernel Learning in Financial Classification Tasks

Financial services is a prospect industry where unlocked near-term quantum utility could yield profitable potential, and, in particular, quantum machine learning algorithms could potentially benefit businesses by improving the quality of predictive models. Quantum kernel methods have demonstrated success in financial, binary classification tasks, like fraud detection, and avoid issues found in variational quantum machine learning approaches. However, choosing a suitable quantum kernel for a classical dataset remains a challenge. We propose a hybrid, quantum multiple kernel learning (QMKL) methodology that can improve classification quality over a single kernel approach. We test the robustness of QMKL on several financially relevant datasets using both fidelity and projected quantum kernel approaches. We further demonstrate QMKL on quantum hardware using an error mitigation pipeline and show the benefits of QMKL in the large qubit regime.

quant-ph↗

arXiv2023

A Survey of Quantum Alternatives to Randomized Algorithms: Monte Carlo Integration and Beyond

Monte Carlo sampling is a powerful toolbox of algorithmic techniques widely used for a number of applications wherein some noisy quantity, or summary statistic thereof, is sought to be estimated. In this paper, we survey the literature for implementing Monte Carlo procedures using quantum circuits, focusing on the potential to obtain a quantum advantage in the computational speed of these procedures. We revisit the quantum algorithms that could replace classical Monte Carlo and then consider both the existing quantum algorithms and the potential quantum realizations that include adaptive enhancements as alternatives to the classical procedure.

quant-ph↗

arXiv2023

Emergent Order in Classical Data Representations on Ising Spin Models

Encoding classical data on quantum spin Hamiltonians yields ordered spin ground states which are used to discriminate data types for binary classification. The Ising Hamiltonian is a typical spin model to encode classical data onto qubits, known as the ZZ feature map. We assess the ground states of the Ising Hamiltonian encoded with three separate data sets containing two classes of data. A new methodology is proposed to predict a certain data class using the ground state of the encoded Ising Hamiltonian. Ground state observables are obtained through quantum simulation on a quantum computer, and the expectation values are used to construct a classical probability distribution on the state space. Our approach is a low dimensional representation of the exponentially large feature space. The antiferromagnetic ground state is the stable ground state for the one dimensional chain lattice and the 2D square lattice. Frustration induces unique ordered states on the triangle lattice encoded with data, hinting at the possibility for an underlying phase diagram for the model. We examine order stability with data scaling and data noise.

quant-ph↗