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| Presentation | 2012-01-26 15:40 Critical phenomena in mean-field Ising models and time-series prediction Shunsuke Higano, Jun-ichi Inoue (Hokkaido Univ.)  NC2011-108 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | We propose a theoretical framework to predict several time-series simultaneously by using cross-correlations in financial markets. Our model system is basically described by a variant of the Ising model introduced by Kaizouji (2000). In this paper, we shall first revisit his model and investigate the coupled non-linear dynamics with respect to system-parameters (which are very similar to hyper-parameters in the context of Bayesian statics) and microscopic spins much more extensively. We actually confirm that at financial crisis observed in EUR/JPY exchange rate from April 27th 2010 to May 13th 2010, the system-parameters move to the critical point at which phase transition in the corresponding Ising model takes place. We next evaluate the validity of our modification with the assistance of information about cross-correlations in stocks and find from our (still limited) results that the simultaneous prediction `partially' succeeded in improving the prediction performance. |
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| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Mean-field Ising model / Critical phenomena and phase transition / Time-series prediction / Data analysis / Macroscopic variable estimation / Econophysics / / | |
| Reference Info. | IEICE Tech. Rep., vol. 111, no. 419, NC2011-108, pp. 65-70, Jan. 2012. | |
| Paper # | NC2011-108 | |
| Date of Issue | 2012-01-19 (NC) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | NC2011-108 |
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| Conference Information | |
| Committee | NC |
| Conference Date | 2012-01-26 - 2012-01-27 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Future University Hakodate |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | General, Complex Systems and Neurocomputing |
| Paper Information | |
| Registration To | NC |
| Conference Code | 2012-01-NC |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Critical phenomena in mean-field Ising models and time-series prediction |
| Sub Title (in English) | |
| Keyword(1) | Mean-field Ising model |
| Keyword(2) | Critical phenomena and phase transition |
| Keyword(3) | Time-series prediction |
| Keyword(4) | Data analysis |
| Keyword(5) | Macroscopic variable estimation |
| Keyword(6) | Econophysics |
| Keyword(7) | |
| Keyword(8) | |
| 1st Author's Name | Shunsuke Higano |
| 1st Author's Affiliation | Hokkaido University (Hokkaido Univ.) |
| 2nd Author's Name | Jun-ichi Inoue |
| 2nd Author's Affiliation | Hokkaido University (Hokkaido Univ.) |
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| Speaker | 1 |
| Date Time | 2012-01-26 15:40:00 |
| Presentation Time | 25 |
| Registration for | NC |
| Paper # | IEICE-NC2011-108 |
| Volume (vol) | IEICE-111 |
| Number (no) | no.419 |
| Page | pp.65-70 |
| #Pages | IEICE-6 |
| Date of Issue | IEICE-NC-2012-01-19 |
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