Researchers from Italy’s central bank, Intesa Sanpaolo and Universities of Exeter, Udine and Verona describe a quantum variational algorithm for securities transactions settlement optimization, based on a novel mathematical formalization of the problem that includes the most relevant constraints considered in the pan-European securities settlement platform TARGET2-Securities (T2S).
The proposed algorithm is designed for Noisy Intermediate-Scale Quantum devices (NISQ), specifically targeting IBM’s superconducting qubit machines. Researchers adopt non-linear activation functions to encode inequality constraints in the objective function of the problem, and design customized noise mitigation techniques to alleviate the effect of readout errors.
Researchers consider batches of up to 40 trades obtained from real transactional data to benchmark the algorithm on quantum hardware against classical and quantum-inspired solvers.