Presentation 2017-06-30
Abnormal Stock Price Movements Detected by Volatility Indexes and their Biased Reactions
Tokimaru Tsuruta, Tomoya Suzuki,
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Abstract(in Japanese) (See Japanese page)
Abstract(in English) In complex financial markets, dealing prices sometimes jump suddenly due to significant news such as financial accidents. According to behavioral economics, traders tend to overreact to the new information and a dealing price is often away from the reasonable price. If so, the dealing price might be suddenly modified into the appropriate price by the efficiency of market. To detect these jumps, we used volatility indexes and investigated the following price movement right after price jumps. As a result, we confirmed that the above assumption is almost correct. Next, we applied this anomaly to make an investment strategy, and investigated its validity by some investment simulations and statistical significant tests using real price data.
Keyword(in Japanese) (See Japanese page)
Keyword(in English) Anomaly Detection / Technical Analysis / Complex Financial Systems
Paper # CCS2017-7
Date of Issue 2017-06-22 (CCS)

Conference Information
Committee CCS
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) Abnormal Stock Price Movements Detected by Volatility Indexes and their Biased Reactions
Sub Title (in English)
Keyword(1) Anomaly Detection
Keyword(2) Technical Analysis
Keyword(3) Complex Financial Systems
1st Author's Name Tokimaru Tsuruta
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 # CCS2017-7
Volume (vol) vol.117
Number (no) CCS-112
Page pp.pp.29-34(CCS),
#Pages 6
Date of Issue 2017-06-22 (CCS)