QADQN: Quantum Attention Deep Q-Network for Financial Market Prediction

Siddhant Dutta*, Nouhaila Innan, Alberto Marchisio, Sadok Ben Yahia, Muhammad Shafique

*Kontaktforfatter

Publikation: Kapitel i bog/rapport/konference-proceedingKonferencebidrag i proceedingsForskningpeer review

Abstract

Financial market prediction and optimal trading strategy development remain challenging due to market complexity and volatility. Our research in quantum finance and reinforcement learning for decision-making demonstrates the approach of quantum-classical hybrid algorithms to tackling real-world finan-cial challenges. In this respect, we corroborate the concept with rigorous backtesting and validate the framework's performance under realistic market conditions, by including fixed transaction cost per trade. This paper introduces a Quantum Attention Deep Q-Network (QADQN) approach to address these challenges through quantum-enhanced reinforcement learning. Our QADQN architecture uses a variational quantum circuit inside a traditional deep Q-learning framework to take advantage of possible quantum advantages in decision-making. We gauge the QADQN agent's performance on historical data from major market indices, including the S&P 500. We evaluate the agent's learning process by examining its reward accumulation and the effectiveness of its experience replay mechanism. Our empirical results demonstrate the QADQN's superior performance, achieving better risk-adjusted returns with Sortino ratios of 1.28 and 1.19 for non-overlapping and overlapping test periods respectively, indicating effective downside risk management.

OriginalsprogEngelsk
Titel2024 IEEE International Conference on Quantum Computing and Engineering (QCE)
ForlagIEEE
Publikationsdatosep. 2024
Sider341-346
ISBN (Elektronisk)9798331541378
DOI
StatusUdgivet - sep. 2024
Begivenhed5th IEEE International Conference on Quantum Computing and Engineering, QCE 2024 - Montreal, Canada
Varighed: 15. sep. 202420. sep. 2024

Konference

Konference5th IEEE International Conference on Quantum Computing and Engineering, QCE 2024
Land/OmrådeCanada
ByMontreal
Periode15/09/202420/09/2024
Sponsoret al., Keysight, Microsoft, Q-CTRL, QBLOX, Quantinuum

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Publisher Copyright:
© 2024 IEEE.

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