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Paper Abstract and Keywords
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
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.
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
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

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  
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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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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