Titulo Estágio
Portfolio Optimization in Financial Markets using Quantum Computing
Áreas de especialidade
Engenharia de Software
Local do Estágio
DEI-FCTUC
Enquadramento
There is a large body of compelling evidence that Computation as we have known and used for decades is under challenge. As new models for computation emerge, its limits are being pushed beyond what pragmatically had been seen in practice.
A quantum computer can potentially solve various problems that a classical computer cannot solve efficiently; this is known as Quantum Supremacy. Examples include scalable simulations of quantum systems in physics, efficient modeling of chemical reactions, and fast breaking of encryption codes in cryptography.
The field of QC is evolving at a pace faster than people originally expected. For example, in March 2020 Honeywell announced a revolutionary quantum computer based on trapped-ion technology with quantum volume 64 – the highest quantum volume ever achieved, twice as the state of the art, previously owned by IBM. Quantum volume is a unit of measure indicating the fidelity of a quantum system. This important achievement shows that the field of quantum computing may reach industrial impact much sooner than originally expected.
In this project, we will explore the potential of QC to address computational issues within the financial market.
Our vision is to leverage this potential impact in the context of
a finance-specific use case, namely portfolio optimization. We seek to approach this goal via Quantum Computing to reduce its otherwise exponential complexity.
In essence, we focus on the problem of deciding which assets to buy, maintain, trade and/or sell in order to maximize profit at a given moment. Context variables include the risk profile accepted for the portfolio and the largely unpredictable market conditions, which overall turn this optimization problem into an NP-hard problem.
Objetivo
The candidate will join a group of researchers who are doing intensive, foundational work on Quantum and Supercomputing at Universidade de Coimbra. In this line, the proposal is actually jointly co-supervised by DEI and DEEC.
The general goal is to study, improve and propose algorithms that can benefit from quantum computing in the context of financial markets. In order to achieve this goal, a significant effort is expected from the candidate to get acquainted with the state of the art in terms of quantum computing algorithms, namely within the financial market.
The main goals to achieve within this project are:
- to study and critically analyse the state of the art in the quantum computing paradigm, with a focus on its application to the financial context;
- to design and implement a quantum algorithm for portfolio optimization;
- to validate and assess the proposed algorithm in practice;
- to release and disseminate the proposed algorithm within the scientific and industrial communities.
Plano de Trabalhos - Semestre 1
- Trimester 1: Study the literature, the tools and the frameworks that are available for Quantum Computing.
- Trimester 2: Design a quantum algorithm, or a set of quantum algorithms, first following a hybrid approach and later fully quantum (if possible), to improve the state of the art solutions to portfolio optimization. Write an intermediate report.
Plano de Trabalhos - Semestre 2
- Trimester 3: Implement the designed algorithm within an Open Quantum framework, such as IBM's Qiskit or Google's Cirq.
- Trimester 4: Validate the obtained implementation. Article and thesis writing.
Condições
The eligible student will have at disposal all the necessary computational platforms, tools and devices.
He will work within a research team that is working on related issues.
It might also be possible to provide funding for the student in the form of a research grant.
Observações
A scientific publication is expected as one of the results of the project.
Orientador
João Paulo Fernandes e Gabriel Falcão Fernandes (jpf@dei.uc.pt, gff@deec.uc.pt)
jpf@dei.uc.pt 📩