| Presentation | 2007-03-05 Improving Lyapunov Exponents Using Bootstrap Method and Its Application to Financial Time Series Yoshihiko IMANO, Yasukuni MORI, Ikuo Matsuba, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | When we estimate Lyapunov exponents from time series data, a large quantity of data are usually needed. However, a number of the data is not always available. We therefore have proposed a new method using the Bootstrap method, which can estimate Lyapunov exponents from a small number of data. Our proposed method works well for the data artificially generated from Lorenz model with long correlation. In this paper, we try to adapt the method to daily NIKKEI average and daily TOPIX. The effectiveness of our method is shown for time series data with some autocorrelation and a tendency of appropriate bootstrap length is given by the experiment results. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Time series / Lyapunov / Bootstrap / Daily NIKKEI average / Daily TOPIX |
| Paper # | NLP2006-146 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2007/2/26(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Improving Lyapunov Exponents Using Bootstrap Method and Its Application to Financial Time Series |
| Sub Title (in English) | |
| Keyword(1) | Time series |
| Keyword(2) | Lyapunov |
| Keyword(3) | Bootstrap |
| Keyword(4) | Daily NIKKEI average |
| Keyword(5) | Daily TOPIX |
| 1st Author's Name | Yoshihiko IMANO |
| 1st Author's Affiliation | Graduate School of Sciencs and Technology, Chiba University() |
| 2nd Author's Name | Yasukuni MORI |
| 2nd Author's Affiliation | Faculty of Engineering, Chiba University |
| 3rd Author's Name | Ikuo Matsuba |
| 3rd Author's Affiliation | Faculty of Engineering, Chiba University |
| Date | 2007-03-05 |
| Paper # | NLP2006-146 |
| Volume (vol) | vol.106 |
| Number (no) | 573 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |