2005 Fiscal Year Final Research Report Summary
Quantitative Analysis of High Frequency Data in Finance base on the Tools of Physics and Informatics
| Project/Area Number |
14580385
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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 |
計算機科学
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| Research Institution | Tottori University (2003-2005)
University of Miyazaki (2002) |
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Principal Investigator |
TANAKA Mieko Tottori University, Faculty of Engineering, Professor, 工学部, 教授 (20257570)
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| Project Period (FY) |
2002 – 2005
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| Keywords | High Frequency Price Fluctuations / Tick Data(HFDF) / Econophysics / Statistical Distribution / Feature Extracting / Decision Making / Computational Intelligence / Minority Game |
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| Research Abstract |
We have investigated the real-world High Frequency Data in Finance (HFDF) by using the tools of information sciences and physical sciences.
1).We have clarified the detailed shape of the statistical distributions of returns and comparing them with space distributions of velocity increments of turbulence and investigated the relation to the Levy distribution, extracted characteristic features in the time series, measured the temporal memory length and quantitatively identified the arbitrage chances based on quantitative analysis.
2)We have accumulated tick-wise database on foreign currency exchange rates and NYSE stock prices and made them in usable shape.
3)We have developed computer programs for intelligent decision making under changeable environment. We have also studied variations of the Minority Game.
4)We have had several meetings in Econophysics in order to establish a novel framework of Finance and Economics, at the intersection of physical sciences and information sciences. Progra
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ms of presentations based on free applications by the members. Extensive discussion follows every presentation. We have published post-proceedings of the meetings annually since AY2004 : The Institute of Statistical Mathematics Cooperative Research Report 177 "Econophysics and its Applications", March 2005 and 187 "Econophysics and its Applications (2)", March 2006. We have listed the programs in our homepage
http://irene.ike.tottori-u.ac.jp/mieko/econo_e/
Along these activities, annual meetings of Japan Physical Society and Evolutional Economics Society started opening Econophysics session beginning 2005-2006. In the world, http://www.unifr.ch/econophysics/ complies news in Econophysics and IEEE-CIS (Computational Intelligence Society) started Computational Finance and Economics Network http://cswww.essex.ac.uk/CSP/IEEE-CFETC-Network/.
However, Econophysics does not have an established methodology. Researchers have confirmed the existence of some empirical facts and theories to explain them are under investigation. It has been clarified that game-theoretical methodology and accumulation of experimental knowledge from modeling the artificial societies in order to design dynamical systems adaptable to changing environment. Less
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Research Products
(50 results)
