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Meet up

Portfolio Optimisation with Adiabatic Quantum Computing

Wednesday, 19th September at CodeNode, London

This meetup was organised by London Quantum Computing in September 2018

Portfolio Optimisation with Adiabatic Quantum Computing

Alexei Kondratyev, Managing Director, Financial Markets at Standard Chartered Bank, is going to be speaking about his work on portfolio optimisation using adiabatic quantum computing. Alexei thinks there are many possible use cases for quantum computing in finance and that existing quantum annealers are already powerful enough to execute meaningful research projects. We look at several problems of industrial value that could be represented with less than 100 binary variables coupled in fully connected QUBO (quadratic unconstrained binary optimisation) form. We employ state-of-the-art programming techniques to evaluate the performance of the D-Wave 2000Q quantum annealer on these problems and the possible outlook of overcoming the current limitations on the use of the D-Wave architecture for optimisation problems requiring heavy embedding. We extend the mean-variance portfolio optimisation approach and solve sample portfolio optimisation problems with adiabatic quantum computing and with classical benchmark based on Genetic Algorithm. Our aim is to use the principles of the Modern Portfolio Theory as our starting point while allowing for more general dependence structure. The quadratic form of objective function makes it suitable for being solved on the D-Wave machine, which operates on QUBO problems. The QUBO formulation of optimisation problem also allows us to express discretionary portfolio manager preferences in the form of QUBO coefficients. We also explore questions of algorithm convergence and problem scalability.

Alexei Kondratyev

Alexei Kondratyev is Managing Director and Head of Data Analytics of Financial Markets at Standard Chartered Bank. Alexei is responsible for providing data analytics services to sales and trading to drive commercial outcomes and ensure sustainable competitive advantage. He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.

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Attending Members

Overview

Portfolio Optimisation with Adiabatic Quantum Computing

Alexei Kondratyev, Managing Director, Financial Markets at Standard Chartered Bank, is going to be speaking about his work on portfolio optimisation using adiabatic quantum computing. Alexei thinks there are many possible use cases for quantum computing in finance and that existing quantum annealers are already powerful enough to execute meaningful research projects. We look at several problems of industrial value that could be represented with less than 100 binary variables coupled in fully connected QUBO (quadratic unconstrained binary optimisation) form. We employ state-of-the-art programming techniques to evaluate the performance of the D-Wave 2000Q quantum annealer on these problems and the possible outlook of overcoming the current limitations on the use of the D-Wave architecture for optimisation problems requiring heavy embedding. We extend the mean-variance portfolio optimisation approach and solve sample portfolio optimisation problems with adiabatic quantum computing and with classical benchmark based on Genetic Algorithm. Our aim is to use the principles of the Modern Portfolio Theory as our starting point while allowing for more general dependence structure. The quadratic form of objective function makes it suitable for being solved on the D-Wave machine, which operates on QUBO problems. The QUBO formulation of optimisation problem also allows us to express discretionary portfolio manager preferences in the form of QUBO coefficients. We also explore questions of algorithm convergence and problem scalability.

Alexei Kondratyev

Alexei Kondratyev is Managing Director and Head of Data Analytics of Financial Markets at Standard Chartered Bank. Alexei is responsible for providing data analytics services to sales and trading to drive commercial outcomes and ensure sustainable competitive advantage. He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.

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Attending Members