| Paper Abstract and Keywords |
| Presentation |
2006-01-24 16:35
Estimating Structures of Complex Networks Hidden in Nikkei 225 Stock Market
Tomoya Suzuki (Tokyo Denki Univ.), Tohru Ikeguchi (Saitama Univ.), Yoshihiko Horio (Tokyo Denki Univ.) |
| Abstract |
(in Japanese) |
(See Japanese page) |
| (in English) |
Real systems consist of many elements interacting each other,
and the feature of interaction is often complex.
To model, control or predict these systems,
it is important to know how the elements interact each other,
that is, the structure of systems.
To detect such interactions only from time-series data, we have several
measures, for example, the correlation coefficient,
the partial-correlation coefficient, and the transfer entropy.
In our study,
we examined the performance of these measures
according to network topologies: a regular network, a random network
or a small-world network.
In addition, we applied these measures to estimate interactions
hidden in a financial system, Nikkei 225, by using real stock prices of
the major companies.
Then, we show the estimated network has a characteristic structure,
such as the small-world network. |
| Keyword |
(in Japanese) |
(See Japanese page) |
| (in English) |
Small-world networks / Transfer entropy / Coupled map lattice / Econophysics / / / / |
| Reference Info. |
IEICE Tech. Rep., vol. 105, no. 547, NLP2005-122, pp. 135-140, Jan. 2006. |
| Paper # |
NLP2005-122 |
| Date of Issue |
2006-01-17 (NLP) |
| ISSN |
Print edition: ISSN 0913-5685 |
| Download PDF |
|
| Conference Information |
| Committee |
NLP |
| Conference Date |
2006-01-24 - 2006-01-25 |
| Place (in Japanese) |
(See Japanese page) |
| Place (in English) |
Shikoku Univ. |
| Topics (in Japanese) |
(See Japanese page) |
| Topics (in English) |
general |
| Paper Information |
| Registration To |
NLP |
| Conference Code |
2006-01-NLP |
| Language |
English (Japanese title is available) |
| Title (in Japanese) |
(See Japanese page) |
| Sub Title (in Japanese) |
(See Japanese page) |
| Title (in English) |
Estimating Structures of Complex Networks Hidden in Nikkei 225 Stock Market |
| Sub Title (in English) |
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| Keyword(1) |
Small-world networks |
| Keyword(2) |
Transfer entropy |
| Keyword(3) |
Coupled map lattice |
| Keyword(4) |
Econophysics |
| Keyword(5) |
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| Keyword(6) |
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| Keyword(7) |
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| Keyword(8) |
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| 1st Author's Name |
Tomoya Suzuki |
| 1st Author's Affiliation |
Tokyo Denki University (Tokyo Denki Univ.) |
| 2nd Author's Name |
Tohru Ikeguchi |
| 2nd Author's Affiliation |
Saitama University (Saitama Univ.) |
| 3rd Author's Name |
Yoshihiko Horio |
| 3rd Author's Affiliation |
Tokyo Denki University (Tokyo Denki Univ.) |
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| Speaker |
Author-1 |
| Date Time |
2006-01-24 16:35:00 |
| Presentation Time |
25 minutes |
| Registration for |
NLP |
| Paper # |
NLP2005-122 |
| Volume (vol) |
vol.105 |
| Number (no) |
no.547 |
| Page |
pp.135-140 |
| #Pages |
6 |
| Date of Issue |
2006-01-17 (NLP) |
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