| Presentation | 2016-06-13 Statistical Distribution of the Price Fluctuations in the Arrowhead Market Mieko Tanaka-Yamawaki, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(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) |
| Keyword(in English) | Arrowhead Market / Price Fluctuation / Le ́vy's Stable Distribution / Statistical Distribution Function |
| Paper # | NLP2016-24,CCS2016-7 |
| Date of Issue | 2016-06-06 (NLP, CCS) |
| Conference Information | |
| Committee | CCS / NLP |
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| Conference Date | 2016/6/13(2days) |
| 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. |
| Chair | Yasuhiro Tsubo(Ritsumeikan Univ.) / Hisato Fujisaka(Hiroshima City Univ.) |
| Vice Chair | Naoki Wakamiya(Osaka Univ.) / Mikio Hasegawa(Tokyo Univ. of Science) / Masaharu Adachi(Tokyo Denki Univ.) |
| Secretary | Naoki Wakamiya(Kyoto Sangyo Univ.) / Mikio Hasegawa(Osaka Univ.) / Masaharu Adachi(Konan Univ.) |
| Assistant | Takayuki Kimura(Nippon Inst. of Tech.) / Song-Ju Kim(NIMS) / Ryo Takahashi(Kyoto Univ.) / Hidehiro Nakano(Tokyo City Univ.) / Hiroyuki Asahara(Okayama Univ. of Science) / Toshihiro Tachibana(Shonan Inst. of Tech.) |
| Paper Information | |
| Registration To | Technical Committee on Complex Communication Sciences / Technical Committee on Nonlinear Problems |
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| Language | JPN |
| 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 |
| 1st Author's Name | Mieko Tanaka-Yamawaki |
| 1st Author's Affiliation | Institute of Statistical Mathematics(ISM) |
| Date | 2016-06-13 |
| Paper # | NLP2016-24,CCS2016-7 |
| Volume (vol) | vol.116 |
| Number (no) | NLP-86,CCS-87 |
| Page | pp.pp.27-30(NLP), pp.27-30(CCS), |
| #Pages | 4 |
| Date of Issue | 2016-06-06 (NLP, CCS) |