| Presentation | 1999/1/12 Observation of Rational Bubbles by Independent Component Analysis Satoshi MAEKAWA, Yoshi FUJIWARA, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | We observe from the joint probability distribution for successive logarithmic returns of daily stock prices that they are statistically dependent. We apply independent component analysis to decompose the stock price changes into independent components, and obtained the impulse response for each component. Because the impulse responses are almost orthogonal, we model it with a rotation filter. The orthogonality is compatible with vanishing autocorrelation function. On the other hand, from the phase information, we show that the rotational model can explain a long-term fine structure of the impulse response for decades of days. Thus, although the daily returns are not independent, long-term efficiency in market holds. We believe that this work observes overshoot of price change, or the so-called rational bubble. This observation might contain a useful information on heterogeneity of information and presence of arbitragers in an efficient market. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | rational bubbles / ICA / volatility clustering / rotation filter / efficient market hypothesis / arbitraging |
| Paper # | AI98-70 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 1999/1/12(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Observation of Rational Bubbles by Independent Component Analysis |
| Sub Title (in English) | |
| Keyword(1) | rational bubbles |
| Keyword(2) | ICA |
| Keyword(3) | volatility clustering |
| Keyword(4) | rotation filter |
| Keyword(5) | efficient market hypothesis |
| Keyword(6) | arbitraging |
| 1st Author's Name | Satoshi MAEKAWA |
| 1st Author's Affiliation | Communications Research Laboratory() |
| 2nd Author's Name | Yoshi FUJIWARA |
| 2nd Author's Affiliation | Communications Research Laboratory |
| Date | 1999/1/12 |
| Paper # | AI98-70 |
| Volume (vol) | vol.98 |
| Number (no) | 499 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |