Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257171 
Year of Publication: 
2021
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 9 [Issue:] 1 [Article No.:] 13 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
quantum mechanics
wave function
extreme value analysis
Bayesian inference
stock market
Value at Risk (VaR)
Expected Shortfall (ES)
prediction
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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