| Presentation | 2018-11-22 Has the arrowhead market achieved the efficient market ? Mieko Tanaka-Yamawaki, Masanori Yamanaka, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | We are trying to reveal the nature of price fluctuation of the 2nd stage arrowhead market, by using the whole transaction data in the period of 2012 to 2017. Hoping to find a new statistical feature in the ultra-fast transaction achieved in the latest stage of arrowhead market, we attempt to determine the statistical distribution of the price fluctuation. We reported our previous result at the CCS meeting held in Kyoto in June 2018, in which we showed that the 15 months’ data of a single stock (8306) in the period of 2015.10～2016.12 exhibits the feature of the Le ?vy stable distribution of index α=1.4～2.0. Since then, we have worked on the same line of thought by increasing the data size to 27 months of the period 2015.10～2017.12, for 4 different stocks (8306,8316,8411,7203), in order to narrow down this range of α. The result excluded the possibility of α=1.4 for all the four stocks, and the range of the index has been successfully narrowed down to α=1.6～2.0. Moreover, the most active stock 8306 clearly shows the superiority of Gaussian distribution (α=2.0) compared to the other stable distributions (α=1.6-1.9). Based on these observations, we conclude that the current stage of the arrowhead market seems to have realized the market efficiency. However, further tasks remain to examine possible dependence of those results on the time scale Δt, the data length, the time when the data taken, stock code, or industry classification, etc. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Arrowhead Market / Efficient Market / Price Fluctuation / Le ?vy's Stable Distribution / Statistical Distribution Function |
| Paper # | CCS2018-38 |
| Date of Issue | 2018-11-15 (CCS) |
| Conference Information | |
| Committee | CCS |
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| Conference Date | 2018/11/22(2days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Kobe Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Interaction and Communication, etc. |
| Chair | Mikio Hasegawa(Tokyo Univ. of Science) |
| Vice Chair | Makoto Naruse(NICT) / Shigeki Shiokawa(Kanagawa Inst. of Tech.) |
| Secretary | Makoto Naruse(Tokyo City Univ.) / Shigeki Shiokawa(Hiroshima City Univ.) |
| Assistant | Yusuke Kawakita(Kanagawa Inst. of Tech.) / Hiroyasu Ando(Tsukuba Univ.) / Takashi Matsubara(Kobe 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) | Has the arrowhead market achieved the efficient market ? |
| Sub Title (in English) | |
| Keyword(1) | Arrowhead Market |
| Keyword(2) | Efficient Market |
| Keyword(3) | Price Fluctuation |
| Keyword(4) | Le ?vy's Stable Distribution |
| Keyword(5) | Statistical Distribution Function |
| 1st Author's Name | Mieko Tanaka-Yamawaki |
| 1st Author's Affiliation | Meiji University(Meiji Univ.) |
| 2nd Author's Name | Masanori Yamanaka |
| 2nd Author's Affiliation | Nihon University(Nihon Univ.) |
| Date | 2018-11-22 |
| Paper # | CCS2018-38 |
| Volume (vol) | vol.118 |
| Number (no) | CCS-316 |
| Page | pp.pp.29-32(CCS), |
| #Pages | 4 |
| Date of Issue | 2018-11-15 (CCS) |