| Presentation | 2017-06-30 Abnormal Stock Price Movements Detected by Volatility Indexes and their Biased Reactions Tokimaru Tsuruta, Tomoya Suzuki, |
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| PDF Download Page |  PDF download Page Link |
| 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 |
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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 |
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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 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) |