| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
|
|---|
| Outline of Final Research Achievements |
This project had aimed to improve nonlinear time-series analysis and prediction by learning the background dynamics hidden in the observed time-series data as precisely as possible. For this purpose, the time-series data was carefully observed so as not to destroy the background dynamics. However, because it is impossible to completely eliminate prediction errors, we considered them as prediction risks, and proposed how to estimate them beforehand and reduce them effectively. Since this approach based on both the prediction and its risk management can be applied to financial engineering such as the portfolio theory, this project proposed a new framework named "nonlinear financial engineering" as an application of nonlinear dynamical theory.
|
