2012 Fiscal Year Final Research Report
Mathematical Model of Stock Market Crash Based onAbductive Reasoning and Development of Cognitive Experiment on Virtual Market
| Project/Area Number |
23700277
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Sensitivity informatics/Soft computing
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| Research Institution | Tokyo Denki University |
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Principal Investigator |
KAMIURA Moto 東京電機大学, 理工学部, 助教 (10516181)
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| Project Period (FY) |
2011 – 2012
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| Keywords | 複雑系 |
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| Research Abstract |
Abduction, which is articulated by C.S. Peirce, is one of the forms of inference with logical uncertainty. I studied statistic feature of stock market derived from abduction as human cognitive bias, and I got the following conclusions.
(1) There exists correspondence relation between the three forms of reasoning (i.e. deduction, induction and abduction) and adjoint structures based on linear systems and generalized parameter estimation.
(2) I proposed abductive parameter estimation (APE) andstudied a cognitive experiment of pseudo stock market prediction based on APE concept. APE applied to autoregressive process derives Gaussian, Cauchy andtheir intermediate distribution. These results are supported analytically. I proposed a hypothesis which connects distributions of stock market returns to the intermediate distribution derived from abduction as a human cognitive bias. We arranged a cognitive experiment, which 142 subjects try to predict time series as pseudo stock market dynamics, motivated by Pawelzik’s experiments. As a result, we obtained anexperimental distribution which conforms to one of stock market returns. These achievements were published by 3 articles (including 1 proceeding of international conference) and 12 verbal presentations in academicconferences. I was awarded the prize of excellence presentation in the 12th Conference of SICE-SI. Moreover, I join the Cooperative Research Project Program of the Research Institute of Electrical
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Research Products
(17 results)
