| IEICE Technical Committee Submission System Conference Paper's Information |
Online Proceedings [Sign in] Tech. Rep. Archives |
| Go Top Page | Go Previous | [Japanese] / [English] |
| Paper Abstract and Keywords | ||
| Presentation | 2018-06-10 14:25 Statistical Distribution of Sub-second Price Fluctuations in the 2nd-stage Arrowhead Market Mieko Tanaka-Yamawaki (Meiji Univ.), Masanori Yamanaka (Nihon Univ.), Yumihiko S. Ikura (Meiji Univ.)  NLP2018-48 CCS2018-21 |
|
| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | In order to investigate the nature of price fluctuation in the arrowhead market, we have analyzed price time series taken from TSE. The distribution of the 5 second sample data in the year of 2013 averaged over 100 stocks can be identified as the Le ́vy distribution of index α=1.4, which is the same as the old result on the American stock index around 1990. In this paper, we report our latest result using the full price data for the period of 2012 -2016, which enabled us to analyze sub-second price fluctuation in the second stage arrowhead market. Due to the heavy volume of this data, we have finished only a part of the entire data. For the time interval larger than a few second, a single stock prices exhibit characteristic property of the stable distribution with the index α in the range of 1.4-2.0, indicating that the market efficiency may have been achieved under sub-second market. | |
| 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. 118, no. 76, CCS2018-21, pp. 115-118, June 2018. | |
| Paper # | CCS2018-21 | |
| Date of Issue | 2018-06-01 (NLP, 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 | NLP2018-48 CCS2018-21 |
|
| Conference Information | |
| Committee | NLP CCS |
| Conference Date | 2018-06-08 - 2018-06-10 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Kyoto Terrsa |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Synchronization, Networks, etc |
| Paper Information | |
| Registration To | CCS |
| Conference Code | 2018-06-NLP-CCS |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Statistical Distribution of Sub-second Price Fluctuations in the 2nd-stage Arrowhead Market |
| Sub Title (in English) | |
| Keyword(1) | Arrowhead Market |
| Keyword(2) | Price Fluctuation |
| Keyword(3) | Le 'vy's Stable Distribution |
| Keyword(4) | Statistical Distribution Function |
| Keyword(5) | |
| Keyword(6) | |
| Keyword(7) | |
| Keyword(8) | |
| 1st Author's Name | Mieko Tanaka-Yamawaki |
| 1st Author's Affiliation | Meiji University (Meiji Univ.) |
| 2nd Author's Name | Masanori Yamanaka |
| 2nd Author's Affiliation | Nihon University (Nihon Univ.) |
| 3rd Author's Name | Yumihiko S. Ikura |
| 3rd Author's Affiliation | Meiji University (Meiji Univ.) |
| 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 | () |
| Speaker | Author-1 |
| Date Time | 2018-06-10 14:25:00 |
| Presentation Time | 25 minutes |
| Registration for | CCS |
| Paper # | NLP2018-48, CCS2018-21 |
| Volume (vol) | vol.118 |
| Number (no) | no.75(NLP), no.76(CCS) |
| Page | pp.115-118 |
| #Pages | 4 |
| Date of Issue | 2018-06-01 (NLP, CCS) |
[Return to Top Page]