PISM
About PISM
The Penn Initiative for the Study of Markets (PISM) aims to bring to undergraduate and graduate students at the University of Pennsylvania the historical experience of markets and their philosophical foundations.
Quantum Computing Applications in Economics and Finance Conference - April 11, 2025 - PCPSE, Auditorium
Jesús Fernández-Villaverde, University of Pennsylvania
Eric Ghysels, University of North Carolina - Chapel Hill and Kenan-Flagler Business School Isaiah Hull, BI Norwegian Business School
Isaiah Hull - CogniFrame, DeepLearning.AI, Rethinc. Labs UNC
| 8:30 am – 9:00 |
Breakfast and registration |
| 9:00 am – 9:05 |
Welcome
|
| 9:05 am – 10:00 |
Keynote speaker: Stefan Woerner (IBM Quantum)
|
| 10:00 am – 10:15 |
Break |
| 10:15 am – 10:45 |
Dar Gilboa (Google Quantum AI), Siddhartha Jain (UT Austin), Jarrod McClean (Google Quantum AI) Consumable Data via Quantum Communication |
| 10:45 am – 11:15 |
Dinh-Long Vu (National University of Singapore), Bin Cheng (National
|
| 11:15 am – 11:45 |
Jesús Fernàndez-Villaverde (University of Pennsylvania), Isaiah Hull
|
| 11:45 am – 12:15 |
Atithi Acharya (JP Morgan), Romina Yalovetzky (JP Morgan), Pierre Minssen (JP Morgan), Shouvanik Chakrabarti (JP Morgan), Ruslan Shaydulin (JP Morgan), Rudy Raymond (JP Morgan), Yue Sun (JP Morgan), Dylan Herman (JP Morgan), Ruben S. Andrist (Amazon), Grant Salton (Amazon, Caltech), Martin J. A. Schuetz (Amazon), Helmut G. Katzgraber (Amazon), Marco Pistoia (JP Morgan) Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing |
| 12:15 pm – 1:00 pm |
Lunch Chair: Isaiah Hull |
| 1:00 pm – 1:30 |
Sangram Deshpande (North Carolina State University), Elin Ranjan Das (North Carolina State University), Frank Mueller (North Carolina State University) Currency Arbitrage Optimization using Quantum Annealing, QAOA and Constraint Mapping |
| 1:30 pm – 2:00 |
Sofia Riazhkina (Bank of Canada), Samuel Palmer (Multiverse Computing), Pablo Martin-Ramiro (Multiverse Computing), Roman Orus (Multiverse Computing), Samuel Migel (Multiverse Computing), Vladimir Skavysh (Bank of Canada) Digital Payments in Firm Networks: Theory of Adoption and Quantum Algorithm |
| 2:00 pm – 2:30 |
Valerio Astuti (Bank of Italy), Adriano Baldeschi (Bank of Italy), Luca Bastianelli, Giuseppe Bruno (Bank of Italy), Ajit Desai (Bank of Canada), Danica Marsden (Bank of Canada), Riccardo Russo (Bank of Italy) Liquidity Optimization in Gross Settlement Systems with Quantum Reordering: Application to TARGET2 |
| 2:30 pm – 3:00 |
Francesco Martini (University of Verona), Daniele Lizzio Bosco (University of Udine), Carlo Barbanera (Bank of Italy), Serena Bernardini (Bank of Italy), Giuseppe Bruno (Bank of Italy), Giacomo Ranieri (Intesa Sanpaolo), Francesca Cibrario (Intesa Sanpaolo), Davide Corbelletto (Intesa Sanpaolo), Alessandra Di Pierro (University of Verona), Luca Dellantonio (University of Exeter) Securities Transaction Settlement Optimization on Superconducting Quantum Devices |
| 3:00 pm – 3:15 |
Break Chair: Jesús Fernàndez-Villaverde |
| 3:15 pm – 3:45 |
Vanio Markov (Wells Fargo), Vladimir Rastunkov (IBM Quantum, IBM Research) Quantum Channels as Limit Order Book Generative Models |
| 3:45 pm – 4:15 |
Faisal Shah Khan (Taqtics and Rethinc.Labs UNC), Norbert M. Linke (Duke University), Anton Trong Than (University of Maryland), Dror Baron (NC State University) Quantum Advantage in Trading: A Game-Theoretic Approach Break |
| 4:15 pm – 4:30 | Break |
| 4:30 pm – 5:00 |
Noorain Noorani (University of Maryland), Valerio Astuti (Bank of Italy), Giuseppe Bruno (Bank of Italy), Lerby Ergun (Bank of Canada), Vladimir Skavysh (Bank of Canada) Simulating Economic Fat-Tailed Distributions with the Quantum Boltzmann Machine |
| 5:00 pm – 5:30 |
Eric Ghysels (UNC Chapel Hill), Jack Morgan (UNC Chapel Hill), Hamed Mohammadbagherpoor (IBM) On Quantum and Quantum-Inspired Maximum Likelihood Estimation and Filtering of Stochastic Volatility Models |
Quantum computation, a paradigm shift in computer science, holds the potential to affect research in economics and finance profoundly. Quantum algorithms, such as quantum annealing and the Quantum Approximate Optimization Algorithm, can significantly speed up optimization and asset allocation by exploring vast solution spaces more efficiently. Quantum Monte Carlo methods enhance the accuracy and speed of simulations used in pricing derivatives and assessing risk. Additionally, quantum machine learning can improve predictive models.
A conference and a special issue of the Journal of Economic Dynamics and Control are organized to promote cross-disciplinary exchanges on implementing quantum computational methods to problems of interest to economics and finance.
The conference will be held on April 11, 2025, at the Penn Initiative for the Study of Markets at the University of Pennsylvania at the Auditorium and is co-sponsored by the Rethinc.Labs at UNC Chapel Hill. Subsequent to the conference, a special issue will be put together with papers on the topic, not necessarily limited to those presented at the conference while participants may choose to submit their paper elsewhere.
PISM's Mission
Throughout history, societies that have embraced open and fair markets have prospered. Societies that have ignored markets have stagnated. Why? Free Markets are a sign of our capacity as a society to cooperate and trust each other. Markets reward those that satisfy the needs of society, and by linking the process of our work directly to its payoff, they incentivize each of us to follow suit and do so.
Our mission at PISM is to bring to undergraduate and graduate students at the University of Pennsylvania the historical experience of markets and their philosophical foundations and to contribute more in general to the public discourse on the relevance of markets for our societies.