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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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
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
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)