Asymmetry

Characterizing asymmetric and bimodal long-term financial return distributions through quantum walks ArXiv ID: 2505.13019 “View on arXiv” Authors: Stijn De Backer, Luis E. C. Rocha, Jan Ryckebusch, Koen Schoors Abstract The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian behavior of the returns often does not emerge, and their distributions often exhibit a high level of asymmetry and bimodality. These features are inadequately captured by the majority of classical models to address financial time series and return distributions. In the presented analysis, we use a model based on the discrete-time quantum walk to characterize the observed asymmetry and bimodality. The quantum walk distinguishes itself from a classical diffusion process by the occurrence of interference effects, which allows for the generation of bimodal and asymmetric probability distributions. By capturing the broader trends and patterns that emerge over extended periods, this analysis complements traditional short-term models and offers opportunities to more accurately describe the probabilistic structure underlying long-term financial decisions. ...

Forecasting stock return distributions around the globe with quantile neural networks ArXiv ID: 2408.07497 “View on arXiv” Authors: Unknown Abstract We propose a novel machine learning approach for forecasting the distribution of stock returns using a rich set of firm-level and market predictors. Our method combines a two-stage quantile neural network with spline interpolation to construct smooth, flexible cumulative distribution functions without relying on restrictive parametric assumptions. This allows accurate modelling of non-Gaussian features such as fat tails and asymmetries. Furthermore, we show how to derive other statistics from the forecasted return distribution such as mean, variance, skewness, and kurtosis. The derived mean and variance forecasts offer significantly improved out-of-sample performance compared to standard models. We demonstrate the robustness of the method in US and international markets. ...