Cognitive Radio Optimization
By Arman Zaribafiyan & Jaspreet Oberoi
This research proposes a new approach for tackling cognitive radio asset allocation optimization problems. The cognitive radio optimization problem is generally an NP-hard mixed-integer programming problem due to its convoluted constraints. In contrast to conventional methods of using meta-heuristics and evolutionary algorithms, we implement non-linear constraints as polynomial penalty functions of binary variables and build a new objective function in a quadratic unconstrained binary optimization (QUBO) format.
Most Recent Papers
CME Market Sentiment Meter Historical Market Analyses – Gold – 2019 Federal Funds Rate Cuts
Periods of Anxious market states for COMEX Gold futures (GC1) tended to be either short-lived or long-lived in the eight-year period ending in December 2019. In 2018, the U.S. saw economic growth and the Federal Reserve hiked rates four times during the year. The year was dominated primarily by Balanced market states, and GC consistently fell once the rate hikes were announced. The year 2019 saw slowed economic growth and increased tensions with China, Iran, and Russia. This led to a large rise in GC from July to November, and GC remained at a high relative to the beginning of the year. In 2019, the Federal Reserve made three rate cuts. During this time, the Market Sentiment Meter (MSM) indicated an extended period of Anxious market states from July to November.
Market Reactions to COVID-19
A review of Q1 2020 as seen in the CME Market Sentiment Meter By Anish R. Verma, Andrew Milne The COVID-19 pandemic had a notable effect on the eight futures and options products tracked by 1QBit’s CME Market Sentiment Meter. In some markets, such as U.S. equity index...
CME Market Sentiment Meter Historical Market Analyses – September 14, 2019 Abqaiq-Khurais Attack
By Anish Verma In the year 2019, daily settlement prices (most active expiry) for WTI Crude Oil futures (CL1) rose as tensions with China and Iran grew from January to April. During this period, the Market Sentiment Meter (MSM) indicated Balanced market states....
Long-Short Minimum Risk Parity Optimization Using a Quantum or Digital Annealer
By Gili Rosenberg & Maxwell Rounds In portfolio optimization, many weight allocation strategies result in long-only positions. We show how it is possible to formulate and solve an optimization problem that assigns a direction (long or short) to each weight...
Optimal Feature Selection in Credit Scoring and Classification Using a Quantum Annealer
By Andrew Milne, Maxwell Rounds, & Phil Goddard In credit scoring and classification, feature selection is used to reduce the number of variables input to a classifier. This can be done with a quadratic unconstrained binary optimization (QUBO) model, which...