Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange
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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-02-01
|
| Series: | Economies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7099/9/1/13 |
| _version_ | 1797415933961043968 |
|---|---|
| author | Chukiat Chaiboonsri Satawat Wannapan |
| author_facet | Chukiat Chaiboonsri Satawat Wannapan |
| author_sort | Chukiat Chaiboonsri |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T05:56:35Z |
| format | Article |
| id | doaj.art-bcd83aeb90f441d6887a8fa07438ac61 |
| institution | Directory Open Access Journal |
| issn | 2227-7099 |
| language | English |
| last_indexed | 2024-03-09T05:56:35Z |
| publishDate | 2021-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj.art-bcd83aeb90f441d6887a8fa07438ac612023-12-03T12:13:13ZengMDPI AGEconomies2227-70992021-02-01911310.3390/economies9010013Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock ExchangeChukiat Chaiboonsri0Satawat Wannapan1Modern Quantitative Economic Research Center (MQERC), Faculty of Economics, Chiang Mai University, Chiang Mai 50200, ThailandModern Quantitative Economic Research Center (MQERC), Faculty of Economics, Chiang Mai University, Chiang Mai 50200, ThailandThe 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.https://www.mdpi.com/2227-7099/9/1/13quantum mechanicswave functionextreme value analysisBayesian inferencestock marketValue at Risk (VaR) |
| spellingShingle | Chukiat Chaiboonsri Satawat Wannapan Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange Economies quantum mechanics wave function extreme value analysis Bayesian inference stock market Value at Risk (VaR) |
| title | Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange |
| title_full | Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange |
| title_fullStr | Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange |
| title_full_unstemmed | Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange |
| title_short | Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange |
| title_sort | applying quantum mechanics for extreme value prediction of var and es in the asean stock exchange |
| topic | quantum mechanics wave function extreme value analysis Bayesian inference stock market Value at Risk (VaR) |
| url | https://www.mdpi.com/2227-7099/9/1/13 |
| work_keys_str_mv | AT chukiatchaiboonsri applyingquantummechanicsforextremevaluepredictionofvarandesintheaseanstockexchange AT satawatwannapan applyingquantummechanicsforextremevaluepredictionofvarandesintheaseanstockexchange |