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Researches on Analysis and Control of Systematic Risks based on the Prediction method using Complex Systems and Evaluation of Real Options.

Research Project

Project/Area Number 15310120
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionKYUSHU UNIVERCITY

Principal Investigator

TOKINAGA Shozo  Kyushu Univ, Graduate School of Economics, Professor, 大学院経済学研究院, 教授 (30124134)

Co-Investigator(Kenkyū-buntansha) IWAMOTO Seiichi  Kyushu Univ, Graduate School of Economics, Professor, 大学院経済学研究院, 教授 (90037284)
NAKAI Wataru  Kyushu Univ., Graduate School of Economics, Professor, 大学院経済学研究院, 教授 (20145808)
FURUKAWA Tetsuya  Kyushu University, Graduate School of Economics, Professor, 大学院経済学研究院, 教授 (00209165)
MORIYASU Hiroshi  Nagasaki University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (10304924)
IKEDA Yoshikazu  Shinshu University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (10334880)
Project Period (FY) 2003 – 2006
Project Status Completed (Fiscal Year 2006)
Budget Amount *help
¥10,600,000 (Direct Cost: ¥10,600,000)
Fiscal Year 2006: ¥2,200,000 (Direct Cost: ¥2,200,000)
Fiscal Year 2005: ¥2,400,000 (Direct Cost: ¥2,400,000)
Fiscal Year 2004: ¥2,400,000 (Direct Cost: ¥2,400,000)
Fiscal Year 2003: ¥3,600,000 (Direct Cost: ¥3,600,000)
KeywordsComplex system / Risk analysis / Real option / Prediction and control / Genetic methods / リスク分析
Research Abstract

In this project from 2003 through 2006, we emphasized following points as comprehensive researches on underlying tasks. (1) Formalization of systematic risks using the real option approaches and dynamic programming, (2) Basic theories on complex systems especially about the Genetic approaches, (3) Studies on state of the arts of service facilities and project management, (4) Description of models including uncertainty based on the complex systems, (5) Dynamic optimization using the complex systems for macro economics and business activities.
In the final year of the project, we mainly focused on the publication and objective evaluation of results of this research project through meetings and conferences. As a result, the purpose of the project was successfully attained. Especially, we could publish a book "Complex Systems and System Risk Analysis". Besides, we published various papers on the journals of the Operations Research Society of Japan, the Institute of Electronics, Information and Communication Engineering, and the Japan Society of Processing Society. of Japan, the Japan Society for Management Information. On the theme of entry and exit in project finance, we could revise and complete our researches through international conferences and discussion with many researchers, and corresponding software packages are now prepared for business uses.

Report

(5 results)
  • 2006 Annual Research Report   Final Research Report Summary
  • 2005 Annual Research Report
  • 2004 Annual Research Report
  • 2003 Annual Research Report
  • Research Products

    (38 results)

All 2007 2006 2005 2004 Other

All Journal Article (28 results) Book (4 results) Publications (6 results)

  • [Journal Article] Estimation of tail distribution of performance evaluation functions based on the Importance sampling in stochastic models described by variables including jump diffusion processes and its applications (in Japanese)2007

    • Author(s)
      K.Tan, M.Chu, S.Tokinaga
    • Journal Title

      IEICE, Trans, Funcadamentals, vol.J90-A, no.2

      Pages: 92-102

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] ジャンプ過程変動を含む確率モデル分析におけるImportance Samplingを用いた評価関数のティル分布推定とその応用2006

    • Author(s)
      譚 康融, 儲 梅芬, 時永 祥三
    • Journal Title

      電子情報通信学会論文誌 vol.J90-A,no. 2

      Pages: 92-102

    • NAID

      110007382433

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 遺伝的プログラミングによるルール生成を用いたクラスタ特徴記述システムの構成とその応用2006

    • Author(s)
      呂建軍, 時永祥三
    • Journal Title

      電子情報通信学会論文誌 vol. J89-A,no. 12

      Pages: 1142-1152

    • NAID

      110007384357

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] GPによる学習を基礎としたマルチエージェント・システムによるプライシング時系列のカオス性分析とその応用2006

    • Author(s)
      池田欽一, 陳暁栄, 時永祥三
    • Journal Title

      電子情報通信学会論文誌 vol. J89-A,no. 4

      Pages: 298-307

    • NAID

      110007384367

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] 遺伝的プログラミングと遅延とモグララフィを用いたネットワーク構成の同定と内部遅延時間の推定2006

    • Author(s)
      池田欽一, 時永祥三, 呂建軍
    • Journal Title

      情報処理学会論文誌 vol.47,No.SIG 1 (TOM 1

      Pages: 12-18

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Explanatory rule extraction based on the trained neural network and the genetic programming2006

    • Author(s)
      J.Lu, S.Tokinaga, Y.Ikeda
    • Journal Title

      日本オぺレーションズレサーチ学会論文誌 vol. 43, no. 2

      Pages: 66-82

    • NAID

      110004436656

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Golden optimum solution in quadratic programming2006

    • Author(s)
      S.Iwamoto
    • Journal Title

      Proc. of International Conference on Nonlinear Analysis and Convex Analysis

      Pages: 1-7

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] Realization of feature descriptive systems for clusters by using rule generations based on the Genetic Programming and its applications2006

    • Author(s)
      J.Lu, S.Tokinaga
    • Journal Title

      IEICE, Trans, Funcadamentals vol.J89-A, no.12

      Pages: 1142-1152

    • NAID

      110007384357

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Analysis of chaotic behavior of input pricing realized by the multi-agent systems based on the co-evolutionary Genetic Programming2006

    • Author(s)
      Y.keda, X.Chen, S.Tokinaga
    • Journal Title

      IEICE, Trans, Funcadamentals vol.J89-A, no.4

      Pages: 298-307

    • NAID

      110003175990

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Identification of network configuration based pn the Genetic Programming and delay tomography (in Japanese)2006

    • Author(s)
      Y.Ikeda, J.Lu, S.Tokinaga
    • Journal Title

      Journal of IPSJ vol.47, No. SIG 1(TOM 14)

      Pages: 12-18

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Explanatory rule extraction based on the trained neural network and the genetic programming2006

    • Author(s)
      J.Lu, S.Tokinaga, Y.Ikeda
    • Journal Title

      Journal of JORSJ vo.42, no.2

      Pages: 62-82

    • NAID

      110004436656

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] The Golden optimum solution in quadratic programming2006

    • Author(s)
      S.Iwamoto
    • Journal Title

      Proc.of International Conference on Nonlinear Analysis and Convex Analysis

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] ジャンプ過程変動を含む確率モデル分析における Importance Sampling を用いた評価関数のティル分布推定とその応用2006

    • Author(s)
      譚 康融, 儲 梅芬, 永 祥三
    • Journal Title

      電子情報通信学会論文誌 vol. J90-A,no.2

      Pages: 92-102

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 遺伝的プログラミングによるルール生成を用いたクラスタ特微記述システムの構成とその応用2006

    • Author(s)
      呂建軍, 時永祥三
    • Journal Title

      電子情報通信学会論文誌 vol. J89-A,no.12

      Pages: 1142-1152

    • Related Report
      2006 Annual Research Report
  • [Journal Article] GPによる学習を基礎としたマツチエージェント・システムによるプライシング時系列のカオス性分析とその応用2006

    • Author(s)
      池田欽一, 陳暁栄, 時永祥三
    • Journal Title

      電子情報通信学会論文誌 vol. J89-A,no.4

      Pages: 298-307

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 遺伝的プログラミングと遅延とモグララフィを用いたネットワーク構成の同定と内部遅延時間の推定2006

    • Author(s)
      池田欽一, 徳永祥三, 呂建軍
    • Journal Title

      情報処理学会論文誌 vol. J47,No.S1 G 1(TOM 14)

      Pages: 12-18

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Explanatory rule extracition based on the trained neural network and the genetic programming2006

    • Author(s)
      J.Lu, S.Tokinaga, Y.Ikeda
    • Journal Title

      日本オペレーションズレサーチ学会論文誌 vol. 43,no.2

      Pages: 66-82

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 遺伝的プログラミングと遅延トモグラフィを用いたネットワーク構成の同定と内部遅延時間の推定2006

    • Author(s)
      池田欽一, 時永祥三, 呂建軍
    • Journal Title

      情報処理学会論文誌 vol.47, No.SIG 1(TOM 14)

      Pages: 12-18

    • NAID

      110004078692

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 遺伝的プログラミングによる時系列セグメント識別を用いたカテゴリ記号表現に基づく2階層認識手法とその予測への応用2005

    • Author(s)
      呂建軍, 時永祥三
    • Journal Title

      電子情報通信学会論文誌 vol.J88-A, no.11

      Pages: 1258-1271

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 局所的な交互作用とGPによる学習を行うエージェントシステムのセル平面解析-企業間コラボレーションにおけるカオス性分析と制御への応用2005

    • Author(s)
      呂建軍, 時永祥三
    • Journal Title

      経営情報学会論文誌 vol.14, no.2

      Pages: 59-78

    • NAID

      110002954138

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Decomposition of surface data into fractal signals based on mean likelihood and importance sampling and its applications2005

    • Author(s)
      S.Tokinaga, N.Takagi
    • Journal Title

      IEICE Trans.Fundamentals vol.E88-A, no.7

      Pages: 1946-1956

    • Related Report
      2005 Annual Research Report
  • [Journal Article] Cross dual on the Golden optimum solutions2005

    • Author(s)
      S.Iwamoto
    • Journal Title

      京大数理研講究録 1443

      Pages: 27-43

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 遺伝的プログラミングによる時系列モデルの集合的近似とクラスタリングへの応用2005

    • Author(s)
      呂建軍, 時永祥三
    • Journal Title

      電子情報通信学会論文誌 vol.J88-A no.7

      Pages: 803-813

    • Related Report
      2005 Annual Research Report
  • [Journal Article] 契約関係に注目したモジュール生産におけるトレーサビリティ分析の基本モデル2004

    • Author(s)
      松野成悟, 時永祥三
    • Journal Title

      オフィス・オートメーション 21巻・1号

      Pages: 75-81

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Chaoticity and fractality analysis of an artificial stock market by the multi-agent systems based on the co-evolutionary Genetic Programming2004

    • Author(s)
      Y.Ikeda, S.Tokinaga
    • Journal Title

      Trans.IEICE E87-A, no.9

      Pages: 2387-2394

    • Related Report
      2004 Annual Research Report
  • [Journal Article] 企業間連係における情報共有のモデル分析とその応用-予測と情報共有コストを中心として2004

    • Author(s)
      岸川 善紀, 時永 祥三
    • Journal Title

      経営情報学会論文誌 vol.13,no.1

      Pages: 58-77

    • NAID

      110004027200

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Recursive methods in probability control.2004

    • Author(s)
      S.Iwamoto
    • Journal Title

      Advances in Mathematical Economics Vol.6

      Pages: 17-24

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Stochastic optimization of forward recursive functions2004

    • Author(s)
      S.Iwamoto
    • Journal Title

      J.Math.Anal.Appl Vol.292,no.1

      Pages: 229-237

    • Related Report
      2004 Annual Research Report
  • [Book] 複雑系とシステムリスク分析2006

    • Author(s)
      時永祥三編著
    • Total Pages
      280
    • Publisher
      九州大学出版会
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Book] エージェント理論による企業行動分析-遺伝的プログラミングアプローチ2005

    • Author(s)
      時永祥三, 池田欽一
    • Total Pages
      238
    • Publisher
      白桃書房
    • Related Report
      2005 Annual Research Report
  • [Book] オープンネットワークと電子商取引2004

    • Author(s)
      時永祥三, 松野成悟
    • Total Pages
      248
    • Publisher
      白桃書房
    • Related Report
      2004 Annual Research Report
  • [Book] Complex Systems and System Risk analysis

    • Author(s)
      S.Tokinaga(ed)
    • Total Pages
      280
    • Publisher
      Kyushu Daigaku Shuppan-kai
    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Publications] 時永祥三: "An improvement method for the workflow management systems based on the reallocation of flows using the Genetic Programming and its applications"日本オペレーションズリサーチ学会論文誌. Vol.46, no.3. 286-305 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 時永祥三: "共進化GPを用いたマルチエージェントシステムの構成とその人工市場分析への応用"電子情報通信学会論文誌. volE86-A, no.10. 1038-1048 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 時永祥三: "Importance sampling手法に基づく時系列のフラクタル成分への分解とその予測への応用"電子情報通信学会論文誌. volE86-A, NO.10. 1038-1048 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 時永祥三, 池田欽一: "共進化遺伝的プログラミングによる社会学習を考慮したマルチエージェントシステムの構成とその人工株式市場分析への応用"経営情報学会論文誌. vol.12, no.3. 17-35 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 時永祥三: "企業間連係における情報共有のモデル分析とその応用-情報共有コストを中心として"経営情報学会論文誌. vol.13, no.3. (2004)

    • Related Report
      2003 Annual Research Report
  • [Publications] 時永祥三編著: "数理ファイナンスの新分野とその応用"工学図書. 301 (2004)

    • Related Report
      2003 Annual Research Report

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Published: 2003-04-01   Modified: 2016-04-21  

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