The Alternative of Data Analytic and Financial Modeling Based on Quantum-wave Function: Evidence from the Digital Assets Risk Management before and after COVID-19 Pandemics

Cryptocurrency is not a newfangled but, it is also intensively mentioned during the Covid-19 pandemic collapses all of the economic activities. As it totally differs from traditional money which is guaranteed and supported its value by gold, digital currencies are considered as uncertain and extreme financial instrument including seemed to be uncovered of assumption of normality. Moreover, the condition of digital appearances is not simple as represented as the purchasing power nature. Traditionally statistical distributions are therefore ineffective. To address with this complicated issue, the applications of the extreme value theory and quantum-wave distribution are employed in this paper. In terms of methodological processes, daily observations were set between 23th November 2018 and 23th November 2020, and the dataset was classified as pre-pandemic of Covid-19 periods and post-pandemic of Covid-19 periods. The value at risk (VaR) and Expected Shortfall (ES) were the main tools for providing the baseline of investment risk foresights, and the empirical result confirmed that the quantum distribution could be the potential option for risk computation and management in the upcoming future of modern financial econometrics.