Skip to content
DraconiticResearch
Search Sources API
194,161 studies31 sourcesUpdated 54 min ago
PreprintCC BY 4.0arXiv

Informed Trading model with quantum walks

  • H. W. Shawn Liew
  • Patrick Rebentrost
Open at sourcePDFDOICite

Abstract

The seminal Kyle model offers a framework to understand the price impact of an informed trader in a market model for a single asset. We study variants in which the asset's future value is modeled by a classical random walk and by a continuous-time quantum walk, respectively. With these assumptions, we analytically approximate and numerically identify the market equilibrium between risk-neutral market maker and informed trader. In the classical equilibrium, the informed trader possesses a linear strategy, whereas the market maker's pricing rule resembles a logistic curve. The informed trader's profit is also identified to grow sub-linearly with time t. In the quantum equilibrium, the informed trader's strategy forms multiple clusters and the pricing rule exhibits multiple jumps correspondingly. Despite the increasing non-linearity of the equilibrium, the informed trader's profit grows linearly with time t.

Related

  1. Spectral Criterion for Disorder-Free Localization of Quantum Walks on Hypercube: QBN Approach
    Ce Wang
    arXivPreprintarXiv licenceFull textAnalysis & PDEsMathematical physicsarXiv
  2. Harmonic Reduction of Spin-Coupled Grover Walks on Hypercubes via Quantum Bernoulli Noises
    Ce Wang
    arXivPreprintarXiv licenceFull textAlgebra & number theoryCombinatorics & discrete mathematicsarXiv
  3. Simplification Rules for Continuous-Time Quantum Walks on Dynamic Graphs
    Mostafa Atallah, Daniel Dilley, Jishnu Mahmud +2
    arXivPreprintCC BY 4.0Full textQuantum physics & quantum informationarXiv
  4. Exact diffusion coefficients for quantum--classical hybrid walks
    Cook Hyun Kim, Jaesub Park, Namshik Han
    arXivPreprintCC BY 4.0Full textQuantum physics & quantum informationStatistical & nonlinear physicsarXiv
  5. Elfs, transducers and quantum walks
    Simon Apers, Jérémie Roland, Yuxin Zhang
    arXivPreprintCC BY 4.0Full textQuantum physics & quantum informationarXiv

Cite

BibTeXRIS
BibTeX
@misc{liew2026informed,
  title = {{Informed Trading model with quantum walks}},
  author = {H. W. Shawn Liew and Patrick Rebentrost},
  howpublished = {arXiv},
  year = {2026},
  month = oct,
  doi = {10.48550/arxiv.2610.06779},
  eprint = {2610.06779},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2610.06779},
  note = {CC BY 4.0},
}
RIS
TY  - UNPB
TI  - Informed Trading model with quantum walks
AU  - H. W. Shawn Liew
AU  - Patrick Rebentrost
PY  - 2026
DA  - 2026/10/05
PB  - arXiv
DO  - 10.48550/arxiv.2610.06779
UR  - https://arxiv.org/abs/2610.06779
AB  - The seminal Kyle model offers a framework to understand the price impact of an informed trader in a market model for a single asset. We study variants in which the asset's future value is modeled by a classical random walk and by a continuous-time quantum walk, respectively. With these assumptions, we analytically approximate and numerically identify the market equilibrium between risk-neutral market maker and informed trader. In the classical equilibrium, the informed trader possesses a linear strategy, whereas the market maker's pricing rule resembles a logistic curve. The informed trader's profit is also identified to grow sub-linearly with time t. In the quantum equilibrium, the informed trader's strategy forms multiple clusters and the pricing rule exhibits multiple jumps correspondingly. Despite the increasing non-linearity of the equilibrium, the informed trader's profit grows linearly with time t.
ER  -