| Presentation | 2017-06-30 Anomaly Detection of Hardly Predictable Systems by Autoencoder Hiroyuki Gotou, Tomoya Suzuki, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(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) |
| Keyword(in English) | Anomaly Detection / Autoencoder / Complex Financial Systems |
| Paper # | CCS2017-8 |
| Date of Issue | 2017-06-22 (CCS) |
| Conference Information | |
| Committee | CCS |
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| Conference Date | 2017/6/29(2days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Ibaraki Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Interaction and Communication, etc. |
| Chair | Naoki Wakamiya(Osaka Univ.) |
| Vice Chair | Mikio Hasegawa(Tokyo Univ. of Science) / Makoto Naruse(NICT) |
| Secretary | Mikio Hasegawa(Osaka Univ.) / Makoto Naruse(Tokyo City Univ.) |
| Assistant | Chisa Takano(Hirishima City Univ.) / Takashi Shimada(Univ. of Tokyo) / Tomoya Suzuki(Ibaraki Univ.) / Ryo Takahashi(AUT) |
| 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) | 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 |
| 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.) |
| Date | 2017-06-30 |
| Paper # | CCS2017-8 |
| Volume (vol) | vol.117 |
| Number (no) | CCS-112 |
| Page | pp.pp.35-40(CCS), |
| #Pages | 6 |
| Date of Issue | 2017-06-22 (CCS) |