Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2015: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2013: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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Outline of Final Research Achievements |
Financial markets where foreign currency and stocks are exchanged are very efficient and short term time series of values of exchange rates, prices, and indexes are well approximated by stochastic processes with independent increments except for sudden changes caused by outer world events. But in reality, the changes remain and the increments are dependent on previous states/movements. In this research, so-called trends as human experts recognize are tried, and implicit non-linear representations are also tried, and used to describe and predict the time series. We showed that the former results in strong random sequences and does not contribute to improvements of prediction but the latter does.
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