A study on transaction volumes and intervals in the financial market and its applications
| Project/Area Number |
22560059
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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 |
Engineering fundamentals
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| Research Institution | University of Tsukuba |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | 数理工学(数理的解析・計画・設計・最適化) / 株式市場 / 日中株価変動 / 待ち行列 / ゲーム理論 / ティックデータ / マルコフ過程 / 板の変動 / 日経平均先物 / フラクタル / パレート分布 / ゼータ分布 |
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| Research Abstract |
The empirical analysis on the tick data of the Osaka Securities Exchange shows that the transaction intervals are best described by the Pareto distribution of Type III if the observation period is 15 minutes. The volume of one transaction is best described by the negative binomial distribution. The parameters depend regularly on time so that one must be careful if he/she needs a model for the whole day.The Japanese proverb says that financial markets are bullish when the available liquidity on the ask side is deeper. Theoretical and empirical analysis shows that the results depend on the assumptions of the model in the theoretical case, and depend on the details of measurement methods in the empirical case. The proverb is sometimes correct, and sometimes not.
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Report
(4 results)
Research Products
(8 results)
