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| Presentation | 2017-06-30 12:05 Anomaly Detection of Hardly Predictable Systems by Autoencoder -- Trading Strategy Foreseeing Modification of Abnormal Stock Prices -- Hiroyuki Gotou, Tomoya Suzuki (Ibaraki Univ.)  CCS2017-8 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | For anomaly detection in time-series data, it is common to compose a prediction model trained by historical data and investigate the difference between the predicted value and the real value. However, in the case of analyzing hardly predictable systems like financial markets, it is difficult to compose prediction models. For this reason, we applied the autoencoder to estimate the reasonable present value, not to predict any future value, and investigate the difference between its estimated reasonable value and the real value. As a case study, we used this concept for the anomaly detection of stock markets and verified the efficiency of trading strategies using the modification of abnormal stock prices by some investment simulations and statistical significance tests using real stock price data. | |
| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Anomaly Detection / Autoencoder / Complex Financial Systems / / / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 117, no. 112, CCS2017-8, pp. 35-40, June 2017. | |
| Paper # | CCS2017-8 | |
| Date of Issue | 2017-06-22 (CCS) | |
| 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 | CCS2017-8 |
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| Conference Information | |
| Committee | CCS |
| Conference Date | 2017-06-29 - 2017-06-30 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Ibaraki Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Interaction and Communication, etc. |
| Paper Information | |
| Registration To | CCS |
| Conference Code | 2017-06-CCS |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Anomaly Detection of Hardly Predictable Systems by Autoencoder |
| Sub Title (in English) | Trading Strategy Foreseeing Modification of Abnormal Stock Prices |
| Keyword(1) | Anomaly Detection |
| Keyword(2) | Autoencoder |
| Keyword(3) | Complex Financial Systems |
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| Keyword(8) | |
| 1st Author's Name | Hiroyuki Gotou |
| 1st Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
| 2nd Author's Name | Tomoya Suzuki |
| 2nd Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
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| Speaker | Author-1 |
| Date Time | 2017-06-30 12:05:00 |
| Presentation Time | 25 minutes |
| Registration for | CCS |
| Paper # | CCS2017-8 |
| Volume (vol) | vol.117 |
| Number (no) | no.112 |
| Page | pp.35-40 |
| #Pages | 6 |
| Date of Issue | 2017-06-22 (CCS) |
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