High frequency data analysis of financial markets and its application to risk management

• Project/Area Number: 15K01200
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Otsuma Women's University
• Principal Investigator: Ochiai Tomoshiro 大妻女子大学, 社会情報学部, 准教授 (60423034)
• Project Period (FY): 2015-04-01 – 2020-03-31
• Project Status: Completed (Fiscal Year 2019)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2019: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2018: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
• Keywords: 金融 / データマインイング / 金融情報学 / 金融情報

Outline of Final Research Achievements

Volatility　Constrained　Correlation (VC　correlation), a new type of method developed by us, has been shown to enable us to identifying directional and causal relationships in various financial data. Furthermore, the VC correlation can also be applied to time series data in other fields (gene expression in life sciences) and has been shown broadly applicable and useful metric.

Academic Significance and Societal Importance of the Research Achievements

株式市場などの金融ネットワークは多くのノード（企業など）からなる大規模ネットワークとみなすことができ、そのダイナミックスを知ることが金融安定化のために重要である。我々の開発したVC correlationやMDSの密度公式などにより株式市場などの多くのノードがある金融ネットワークに対して、因果関係などを同定することができるようになり、金融危機などのショックの際にどれくらいのノード（金融機関などの支配ノード）を救済すればよいのかを見積もることが出来るようになると期待される。

Research Products

• [Journal Article] VC correlation analysis on the overnight and daytime return in Japanese stock market (2019)
  • Author(s): T. Ochiai, J.C. Nacher
  • Journal Title: Physica A Volume: 515 Pages: 537-545
  • Peer Reviewed
• [Journal Article] Convolutional neural network approach to lung cancer classification integrating protein interaction network and gene expression profiles (2019)
  • Author(s): Teppei Matsubara, Tomoshiro Ochiai, Morihiro Hayashida, Tatsuya Akutsu and Jose C. Nacher
  • Journal Title: Journal of Bioinformatics and Computational Biology Volume: 17 Issue: 03 Pages: 1940007-1940007
  • DOI: 10.1142/s0219720019400079
  • Peer Reviewed
• [Journal Article] Analytical solution for the size of the minimum dominating set in complex networks (2017)
  • Author(s): J.C. Nacher, T. Ochiai,
  • Journal Title: International Journal of Modeling, Simulation, and Scientific Computing Volume: 08 Issue: 01 Pages: 1-16
  • DOI: 10.1142/s1793962317500052
  • Peer Reviewed
• [Journal Article] Predicting link directionality in gene regulation from gene expression profiles using volatility-constrained correlation (2016)
  • Author(s): T. Ochiai, J.C. Nacher
  • Journal Title: Biosystems Volume: 145 Pages: 9-18
  • DOI: 10.1016/j.biosystems.2016.05.003
  • Peer Reviewed
• [Presentation] 日本株式市場におけるdaytimeとovernight returnの間のVC相関解析 (2020)
  • Author(s): T. Ochiai, J.C. Nacher
  • Organizer: 第24回人工知能学会 金融情報学研究会(SIG-FIN)
• [Presentation] 外国為替取引におけるプロスペクト理論 (2017)
  • Author(s): T. Ochiai, J.C. Nacher
  • Organizer: 第19回人工知能学会 金融情報学研究会(SIG-FIN)
• [Presentation] On the Ultra-Discretization method and the Analytical Solution of Minimum Dominating Set (2015)
  • Author(s): T. Ochiai
  • Organizer: Workshop Topics on tropical geometry, integrable systems and positivity
  • Place of Presentation: Aoyama Gakuin University, Kanagawa, Japan
  • Year and Date: 2015-12-22
  • Invited
• [Presentation] Volatility-constrained correlationを用いた金融市場間の影響伝播の解析 (2015)
  • Author(s): T. Ochiai, J.C. Nacher
  • Organizer: 人口知能学会 合同研究会2015：優秀賞記念講演
  • Place of Presentation: 慶応義塾大学, 横浜市
  • Year and Date: 2015-11-12
  • Invited
• [Presentation] Inferring the directionality of correlations from time series data in complex financial systems (2015)
  • Author(s): J.C. Nacher and T. Ochiai
  • Organizer: Challenges in Data Science: a complex systems perspective, International Conference
  • Place of Presentation: Torino, Italy
  • Year and Date: 2015-10-14
  • Int'l Joint Research