A new time-series model based on quantum walk

DOI10.1007/S40509-018-0162-1MaRDI QIDQ2329941zbMATH OpenOpenAlexFDO

Authors Norio Konno

Publication date 18 October 2019

Published in Quantum Studies: Mathematics and Foundations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.04805

zbMATH Keywords

stationarityquantum walktime-series model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Sums of independent random variables; random walks (60G50) General mathematical topics and methods in quantum theory (81Q99)

Abstract: The quantum walk (QW) was introduced as a quantum counterpart of the classical random walk. A number of non-classical properties of the QW have been shown, e.g., ballistic spreading, anti-bellshaped limit density, localization. Since around 2000, extensive research has been conducted in both theoretical aspects as well as the practical application of QWs. However, the application of a QW to the time-series analysis is not known. On the other hand, it is well known that the ARMA or GARCH models have been widely used in economics and finance. These models are studied under some suitable stationarity conditions. In this paper, we propose a new time-series model based on the QW, which does not assume such a stationarity. Therefore, our method would be applicable to the non-stationary time series.

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Cites work

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(3)

• Quantum walk and its application domains: a systematic review
• A hybrid fuzzy quantum time series and linear programming model: special application on TAIEX index dataset
• scientific article; zbMATH DE number 7742222 (Why is no real title available?)

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