论文标题
使用模拟分叉解决最佳交易轨迹问题
Solving the Optimal Trading Trajectory Problem Using Simulated Bifurcation
论文作者
论文摘要
我们使用基于模拟分叉（SB）的优化过程来以前所未有的计算速度解决整数投资组合和交易轨迹问题。基本算法基于对非线性相互作用振荡器网络的量子绝热演变的经典描述。该公式已经被证明可以在其他NP硬性问题上击败最先进的计算时间，并有望在某些投资组合优化问题上显示出相似的性能。受这些启发，我们将SB方法应用于投资组合整数优化问题，并通过数量约束和交易活动。我们显示了多达1000家资产的投资组合的第一个数值结果，该投资组合已经证实了SB算法的功率，以其新颖的用例作为投资组合和交易轨迹优化器。
We use an optimization procedure based on simulated bifurcation (SB) to solve the integer portfolio and trading trajectory problem with an unprecedented computational speed. The underlying algorithm is based on a classical description of quantum adiabatic evolutions of a network of non-linearly interacting oscillators. This formulation has already proven to beat state of the art computation times for other NP-hard problems and is expected to show similar performance for certain portfolio optimization problems. Inspired by such we apply the SB approach to the portfolio integer optimization problem with quantity constraints and trading activities. We show first numerical results for portfolios of up to 1000 assets, which already confirm the power of the SB algorithm for its novel use-case as a portfolio and trading trajectory optimizer.
