| 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.) |
| 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 |
| 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.) |
| 3rd Author's Name |
|
| 3rd Author's Affiliation |
() |
| 4th Author's Name |
|
| 4th Author's Affiliation |
() |
| 5th Author's Name |
|
| 5th Author's Affiliation |
() |
| 6th Author's Name |
|
| 6th Author's Affiliation |
() |
| 7th Author's Name |
|
| 7th Author's Affiliation |
() |
| 8th Author's Name |
|
| 8th Author's Affiliation |
() |
| 9th Author's Name |
|
| 9th Author's Affiliation |
() |
| 10th Author's Name |
|
| 10th Author's Affiliation |
() |
| 11th Author's Name |
|
| 11th Author's Affiliation |
() |
| 12th Author's Name |
|
| 12th Author's Affiliation |
() |
| 13th Author's Name |
|
| 13th Author's Affiliation |
() |
| 14th Author's Name |
|
| 14th Author's Affiliation |
() |
| 15th Author's Name |
|
| 15th Author's Affiliation |
() |
| 16th Author's Name |
|
| 16th Author's Affiliation |
() |
| 17th Author's Name |
|
| 17th Author's Affiliation |
() |
| 18th Author's Name |
|
| 18th Author's Affiliation |
() |
| 19th Author's Name |
|
| 19th Author's Affiliation |
() |
| 20th Author's Name |
|
| 20th Author's Affiliation |
() |
| 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 |