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Paper Abstract and Keywords
Presentation 2016-06-13 13:50
Statistical Distribution of the Price Fluctuations in the Arrowhead Market -- Levy Distribution Reconsidered --
Mieko Tanaka-Yamawaki (ISM) NLP2016-24 CCS2016-7
Abstract (in Japanese) (See Japanese page) 
(in English) The arrowhead system is a trading system within a millisecond, which was launched in January 2010 at Tokyo Stock Exchange, Inc.(TSE) and was upgraded in September, 2015 to the level of half a millisecond. In order to investigate the nature of price fluctuation in the arrowhead market, we have analyzed price time series taken from TSE. The result is the statistical distribution can be identified as the Le ́vy distribution of index α=1.4, the same as the previous result reported in 1995 for the data of S&P500 index (1983-1989), and also for the Nikkei Index price in mid 1990's.
Keyword (in Japanese) (See Japanese page) 
(in English) Arrowhead Market / Price Fluctuation / Le ́vy's Stable Distribution / Statistical Distribution Function / / / /  
Reference Info. IEICE Tech. Rep., vol. 116, no. 87, CCS2016-7, pp. 27-30, June 2016.
Paper # CCS2016-7 
Date of Issue 2016-06-06 (NLP, CCS) 
ISSN Print edition: ISSN 0913-5685  Online edition: ISSN 2432-6380
Copyright
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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)
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Conference Information
Committee CCS NLP  
Conference Date 2016-06-13 - 2016-06-14 
Place (in Japanese) (See Japanese page) 
Place (in English) Kikai-Shinko-Kaikan Bldg. 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Nonlinear Science, Complexity Science, etc. 
Paper Information
Registration To CCS 
Conference Code 2016-06-CCS-NLP 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Statistical Distribution of the Price Fluctuations in the Arrowhead Market 
Sub Title (in English) Levy Distribution Reconsidered 
Keyword(1) Arrowhead Market  
Keyword(2) Price Fluctuation  
Keyword(3) Le ́vy's Stable Distribution  
Keyword(4) Statistical Distribution Function  
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1st Author's Name Mieko Tanaka-Yamawaki  
1st Author's Affiliation Institute of Statistical Mathematics (ISM)
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Speaker
Date Time 2016-06-13 13:50:00 
Presentation Time 25 
Registration for CCS 
Paper # IEICE-NLP2016-24,IEICE-CCS2016-7 
Volume (vol) IEICE-116 
Number (no) no.86(NLP), no.87(CCS) 
Page pp.27-30 
#Pages IEICE-4 
Date of Issue IEICE-NLP-2016-06-06,IEICE-CCS-2016-06-06 


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