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Crédit Agricole CIB and quantum computing specialists Pasqal and Multiverse Computing have run two experiments on quantum computing in finance.
In June 2021, Crédit Agricole began to evaluate the use of algorithms inspired by the technology, and the potential uses of quantum computers in the valuation of financial products and the assessment of credit risks.
Pasqal, a manufacturer of quantum computers in Europe, and Multiverse Computing, which specialises in quantum and quantum-inspired algorithms, were invited to work with the bank on these projects.
Discussing the two experiments, Ali El Hamidi, the project’s sponsor at Crédit Agricole, said: “These two proofs of concept demonstrated the potential and reality of quantum computing for finance, despite these technologies still being in their infancy. ”
The first experiment, involving Multiverse, assessed the performance gain offered by quantum computing in the valuation of derivatives. Neural networks offer a way to improve these calculations, but, according to Crédit Agricole CIB, neural networks can be difficult to use because they are often too resource-intensive in terms of memory and suffer from lengthy processing times. However, quantum-inspired algorithms offer a way to optimise the speed and memory required for training the neural network, leading to faster valuations and more accurate risk assessments.
The second experiment involved working with Pasqal and Multiverse to measure a quantum computer’s ability to solve a concrete problem, given the current state of technology. The bank chose a production use case – the anticipation of a counterparty credit rating downgrade over a six to 15-month period. Although conventional computer technology and heuristics can achieve good results, Crédit Agricole said these methods do not work for all problems, and there is no guarantee that the results obtained will be close to the ideal solution.
Crédit Agricole reported that the experiments showed a marked improvement in computing time, requiring a smaller memory footprint, was measured using quantum computing techniques, paving the way for their use in real-world applications in the valuation of derivatives.
Enrique Lizaso, CEO of Multiverse Computing, said: “This collaboration with Credit Agricole CIB, and with Pasqal for the quantum part, has clearly demonstrated that economic advantages are possible today through quantum-inspired and quantum solutions.”
For the quantum computer, the chosen problem was tackled under real-world conditions. With a quantum processor of only 50 qubits, the results obtained are as accurate as the results in production. The projections indicate that this performance could be bettered at 300 qubits, a power that should be available industrially in 2024.
Georges-Olivier Reymond, president of Pasqal, said: “One of the results of the experiment is that the tipping point is not that far away, probably less than two years, and that it is therefore urgent for users to quickly adopt these new methods, as Crédit Agricole CIB has done.”