| Project/Area Number |
10680361
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
計算機科学
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| Research Institution | Miyazaki University |
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Principal Investigator |
TANAKA Mieko MIYAZAKI UNIVERSITY, DEPARTMENT OF COMPUTER SCIENCEAND SYSTEMS ENGINEERING, ASSOCIATE PROFESSOR, 工学部, 助教授 (20257570)
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| Co-Investigator(Kenkyū-buntansha) |
TABUSE Masayoshi MIYAZAKI UNIVERSITY, DEPARTMENT OF COMPUTER SCIENCEAND SYSTEMS ENGINEERING, ASSOCIATE PROFESSOR, 工学部, 助教授 (10244188)
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| Project Period (FY) |
1998 – 2001
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| Project Status |
Completed (Fiscal Year 2001)
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| Budget Amount *help |
¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 2001: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2000: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1999: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 1998: ¥1,200,000 (Direct Cost: ¥1,200,000)
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| Keywords | Econophysics / Artificial Markets / Positive Feedback / Multi-agent System / High Frequency Data in Finance (HFDF) / Turbulence / Arbitrage Chance / Relaxation Time / 複雑系経済学 / 高頻度金融データ / スケール不変 / Time Series Analysis / Econophysics / Scaling / Positive Feedback Model / Fractal Series Prediction / Cooperation of Agents / Noninvasive Diagnosis / Neural Network / Artificial Economic System / Brain Modelings / Human Random Generation / Pattern Recognition / Artificial Economic Svstem / Chaotic Time Series / Human Random Generation (HRG) / Reinforced Learning / Hidden Markov Models (HMM) / Navigation of Khepera Robot |
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| Research Abstract |
We have investigated economic systems and the brain as complex systems from a viewpoint of artificial intelligence, by using our experience on applied mathematics and computation. Our major topics are Econophysics, Human Random Generation, Application of Neural Programming to Noninvasive Diagnosis, and Cooperation of Agents, out of which we devoted most of our effort to Econophysics.
We focused on studying the statistical properties of high frequency data in finance (HFDF) an also modeling of artificial markets, both being emerging fields in frontier of science. In the course of study, we have discovered that the critical region in the parameter space of our model corresponds to the real high-frequency financial data, by showing that both have the Levy distribution of the same size of indices. This result was published in INFORMATION journal in 2001 and in Empirical Science of Financial Fluctuations (Springer, 2002) which is the proceedings of the first conference in Econophysics held in 2000. We have also studied HFDF by fast computer in detail to clarify the controversial analogy between well-developed turbulence and foreign currency exchange, and also found short-term predictability based on stable patterns observed, as well as the triangle arbitrage chances and its relaxation time. We have made various presentations in domestic meetings and international conferences and made two oversea travels including Joint Conference on Information Sciences in 2000 and an informal seminar at Santa Fe Institute in 2002.
In the study of Human Random Generation, we have shown, by analyzing the time series of newly taken data from our six students, that it is possible to incorporate characteristics of individuals to model parameters that distinguish the differences of those individuals.
Neural Network Application to Noninvasive diagnosis is a joint work with Dr. Satoshi Yoshida, on which we submitted an application for patent in 2001.
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