| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2008: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Research Abstract |
We examined the methods of analyzing non-stationary time series by using high frequency price time series. In order to treat the strong randomness and the time dependence, we avoided taking averages of the data but treated the original time series directly by solving the eigenvalue problem of the cross correlation matrix between pairs of price time series to compare its eigenvalue distribution to the corresponding RMT formula. In this study, we have successfully established the application of "RMT-PCA" on stock markets, and also invented a new tool to measure the randomness, that we call the "RMT-test", and proved its effectiveness by comparing the levels of randomness of various random generators, measuring the quality of hash functions, and also the choice of stocks to invest.
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