| Presentation | 2016-08-09 Abnormal Stock Price Movements Detected on the Network of Interacting Stocks Tomoya Suzuki, Hiroyuki Goto, Tokimaru Tsuruta, Hiroya Koizumi, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | To detect abnormal price jumps of financial markets, some indicators based on the volatility have been used such as the bipower variation and the BPV ratio. However, these indicators only focus on a single individual stock, and do not consider the relationship among all individual stocks composing a financial network. For this reason, we applied an autoencoder to learn the whole relationship of stocks, and considered the stock price that the autoencoder cannot restore as an abnormal price. Moreover, we identified that the following price movement is clearly biased just after the abnormal price, and confirmed the validity of our trading strategy based on this anomaly by some statistical significant tests. Our approach applying artificial intelligence like autoencoder to finance can be categorized as FinTech (Financial Technology), which has been hopeful for new financial services. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Anomaly Detection / Autoencoder / FinTech / Technical Analysis |
| Paper # | CCS2016-19 |
| Date of Issue | 2016-08-02 (CCS) |
| Conference Information | |
| Committee | CCS |
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| Conference Date | 2016/8/9(2days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Yoichi Chuo kominkan |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Network Science, etc. |
| Chair | Yasuhiro Tsubo(Ritsumeikan Univ.) |
| Vice Chair | Naoki Wakamiya(Osaka Univ.) / Mikio Hasegawa(Tokyo Univ. of Science) |
| Secretary | Naoki Wakamiya(Kyoto Sangyo Univ.) / Mikio Hasegawa(Osaka Univ.) |
| Assistant | Takayuki Kimura(Nippon Inst. of Tech.) / Song-Ju Kim(NIMS) / Ryo Takahashi(Kyoto Univ.) / Hidehiro Nakano(Tokyo City Univ.) |
| Paper Information | |
| Registration To | Technical Committee on Complex Communication Sciences |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Abnormal Stock Price Movements Detected on the Network of Interacting Stocks |
| Sub Title (in English) | |
| Keyword(1) | Anomaly Detection |
| Keyword(2) | Autoencoder |
| Keyword(3) | FinTech |
| Keyword(4) | Technical Analysis |
| 1st Author's Name | Tomoya Suzuki |
| 1st Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| 2nd Author's Name | Hiroyuki Goto |
| 2nd Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| 3rd Author's Name | Tokimaru Tsuruta |
| 3rd Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| 4th Author's Name | Hiroya Koizumi |
| 4th Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| Date | 2016-08-09 |
| Paper # | CCS2016-19 |
| Volume (vol) | vol.116 |
| Number (no) | CCS-180 |
| Page | pp.pp.15-20(CCS), |
| #Pages | 6 |
| Date of Issue | 2016-08-02 (CCS) |