Presentation 2010-09-02
Analysis of Affecting Factors for Stock Returns based on Tomography Methods for the Decomposition of Probability Density Functions
Shozo TOKINAGA, Kangrong TAN,
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Abstract(in English) This report deals with the analysis of affecting factors for time series by using the decomposition of probability density functions based on the tomography methods and its application to the estimations of components for stock returns. At first, we show the tomography method of packet delay in networks to obtain the dominating factors for multiple time series described by a set of PDFs. We use the Genetic Programming to estimate the unknown tree structure describing relation among such PDFs. To simplify the estimation process, we assume that PDFs correspond to the dominating are to be normal. We apply the method to the factor analysis of artificially generated time series and real stock prices in Japan.
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Keyword(in English) Tomography Methods / Estimation of PDF / Dominating factors / Time Series Analysis / Stock Returns
Paper # SIS2010-19
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Committee SIS
Conference Date 2010/8/26(1days)
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Language JPN
Title (in Japanese) (See Japanese page)
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Title (in English) Analysis of Affecting Factors for Stock Returns based on Tomography Methods for the Decomposition of Probability Density Functions
Sub Title (in English)
Keyword(1) Tomography Methods
Keyword(2) Estimation of PDF
Keyword(3) Dominating factors
Keyword(4) Time Series Analysis
Keyword(5) Stock Returns
1st Author's Name Shozo TOKINAGA
1st Author's Affiliation Graduate School of Economics, Kyushu University()
2nd Author's Name Kangrong TAN
2nd Author's Affiliation Graduate School of Economics, Kyushu University:Faculty of Economics, Kurume University
Date 2010-09-02
Paper # SIS2010-19
Volume (vol) vol.110
Number (no) 189
Page pp.pp.-
#Pages 6
Date of Issue