We found a match
Your institution may have rights to this item. Sign in to continue.
- Title
Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange †.
- Authors
Chaiboonsri, Chukiat; Wannapan, Satawat; Hamdi, Helmi
- Abstract
The advantage of quantum mechanics to shift up the ability to econometrically understand extreme tail losses in financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions. Behind the non-novel quantum mechanism, it does interestingly connect with the distributional signals of humans' brainstorms. The highlighted purpose of this article is to devise a quantum-wave distribution methodically to analyze better risks and returns for stock markets in The Association of Southeast Asian Nations (ASEAN) countries, including Thailand (SET), Singapore (STI), Malaysia (FTSE), Philippines (PSEI), and Indonesia (PCI). Data samples were observed as quarterly trends between 1994 and 2019. Bayesian statistics and simulations were applied to present estimations' outputs. Empirically, quantum distributions are remarkable for providing "real distributions", which computationally conform to Bayesian inferences and crucially contribute to the higher level of extreme data analyses in financial economics.
- Subjects
QUANTUM mechanics; EXTREME value theory; STOCK exchanges; APPLIED mechanics; ASEAN; STOCK transfer
- Publication
Economies, 2021, Vol 9, Issue 1, p13
- ISSN
2227-7099
- Publication type
Article
- DOI
10.3390/economies9010013