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2010 Fiscal Year Self-evaluation Report

Exploring the methodologies of non-stationary time series analysis taking high-frequency price data as an example

Research Project

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Project/Area Number 20510137
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionTottori University

Principal Investigator

TANAKA Mieko  Tottori University, 大学院・工学研究科, 教授 (20257570)

Project Period (FY) 2008 – 2012
Keywords経済物理 / 主成分分析 / ランダム行列 / 非定常時系列 / 高頻度価格データ
Research Abstract

本研究は,株価や為替などの高頻度価格変動データを特徴づける,いわゆるStylized Factsを詳細に検討し,特に非定常時系列に対してこれらの性質を統計学的および情報科学的見地から見直すことを主眼とする.統計学と情報科学の観点から徹底的かつ詳細な検討を行うことを通して,非定常環境での意思決定法,および新分野としての経済物理学(物理科学と情報科学の接点としての新たな金融・経済科学の枠組み)の構築への一助となることを目指す。

  • Research Products

    (19 results)

All 2011 2010 2009 2008

All Journal Article (10 results) (of which Peer Reviewed: 9 results) Presentation (5 results) Book (4 results)

  • [Journal Article] Cross Correlation of Intra-day Stock Prices in Comparison to Random Matrix Theory2011

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Journal Title

      Intelligent Information Management May

    • URL

      online journal, http://www.scrp.org

    • Peer Reviewed
  • [Journal Article] Extracting Principal Components from Pseudo-random Data by Using Random Matrix Theory2010

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Journal Title

      Lecture Notes in Artificial Intelligence (Springer) Vol.6278

      Pages: 602-611

    • Peer Reviewed
  • [Journal Article] Applying Random Matrix Theory to Extract Principal Components of Intra-Day Stock Price Correlations2010

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Journal Title

      Proceedings of NISS2010 : The 4th International Conference on New Trends in Information Science and Service Science Vol.1

      Pages: 201-205

  • [Journal Article] Short-Term Price Prediction and the Selection of Indicators2009

    • Author(s)
      Mieko Tanaka-Yamawaki, Seiji Tokuoka, Keita Awaji
    • Journal Title

      Progress of Theoretical Physics, Supplement Vol.179

      Pages: 17-25

    • Peer Reviewed
  • [Journal Article] Effect of Reputation on the Formation of Cooperative Network of Prisoners2009

    • Author(s)
      Mieko Tanaka-Yamawaki, Taku Murakami
    • Journal Title

      New Advances in Intelligent Decision Technologies : SCI-199 (Springer)

      Pages: 615-623

    • Peer Reviewed
  • [Journal Article] Evolution of Cooperation in the Iterated Prisoner's Dilemma Considering Reputation2009

    • Author(s)
      Mieko Tanaka-Yamawaki, Taku Murakami
    • Journal Title

      9th Asia-Pacific Complex Systems Conference 'Complex' 09'

    • Peer Reviewed
  • [Journal Article] Dynamical Effect on Tick-wise Price Predictions2008

    • Author(s)
      Mieko Tanaka-Yamawaki, Keita Awaji
    • Journal Title

      Lecture Notes on Artificial Intelligence (Springer) Vol.5178

      Pages: 442-449

    • Peer Reviewed
  • [Journal Article] Trend predictions of tick-wise stock prices by means of technical indicators selected by genetic algorithm2008

    • Author(s)
      Mieko Tanaka-Yamawaki, Seiji Tokuoka
    • Journal Title

      Artificial Life and Robotics (Springer) Vo1.12

      Pages: 180-183

    • Peer Reviewed
  • [Journal Article] Effective indices to characterize short sequences of human random generations2008

    • Author(s)
      Mieko Tanaka-Yamawaki, Masashi Mishima
    • Journal Title

      Artificial Life and Robotics (Springer) Vol.12

      Pages: 184-187

    • Peer Reviewed
  • [Journal Article] テクニカル指標の動的選択とtick価格予測2008

    • Author(s)
      田中美栄子, 徳岡聖二
    • Journal Title

      情報処理学会論文誌数理モデル化と応用 Vol.49-SIF4

      Pages: 88-91

    • Peer Reviewed
  • [Presentation] Extracting Principal Components from Pseudo-Random Data by Using Random Matrix Theory2010

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Organizer
      Econophysics Colloquium 2010
    • Place of Presentation
      Academia Sinica,台湾
    • Year and Date
      20101104-20101106
  • [Presentation] Extracting Principal Components from Pseudo-Random Data by Using Random Matrix Theory2010

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Organizer
      KES2010
    • Place of Presentation
      英国
    • Year and Date
      20100900
  • [Presentation] Cross Correlation of Intra-day Stock Prices in Comparison to RMT2010

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Organizer
      Mathematical and Statistical Application in Finance 2010(MAF2010)
    • Place of Presentation
      イタリア
    • Year and Date
      20100400
  • [Presentation] Evolution of Cooperation in the Iterated Prisoner's Dilemma Considering Reputation2009

    • Author(s)
      Mieko Tanaka-Yamawaki, Taku Murakami
    • Organizer
      Complex'09 : the 13th Asia-Pacific Complex Systems Conference
    • Place of Presentation
      中央大学(東京都)
    • Year and Date
      2009-11-05
  • [Presentation] Effect of Reputation on the Formation of Cooperative Network of Prisoners2009

    • Author(s)
      Mieko Tanaka-Yamawaki
    • Organizer
      KES-IDT2009 : International Conference on Knowledge Engineering : 1st Conference on Intelligent Decision Technology.
    • Place of Presentation
      姫路
    • Year and Date
      2009-04-23
  • [Book] 統計数理研究所共同研究リポート259巻「経済物理とその周辺(7)」2011

    • Author(s)
      田中美栄子(編)
    • Total Pages
      100
    • Publisher
      統計数理研究所
  • [Book] 統計数理研究所共同研究リポート241巻「経済物理とその周辺(6)」2010

    • Author(s)
      田中美栄子(編)
    • Total Pages
      96
    • Publisher
      統計数理研究所
  • [Book] 第21回自律分散システム・シンポジウム資料2009

    • Author(s)
      田中美栄子(編)
    • Total Pages
      308
    • Publisher
      (社)計測自動制御学会
  • [Book] 統計数理研究所共同研究リポート226巻「経済物理とその周辺(5)」2009

    • Author(s)
      田中美栄子(編)
    • Total Pages
      138
    • Publisher
      統計数理研究所

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Published: 2012-02-13   Modified: 2016-04-21  

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