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 Japanese) | (See Japanese page) |
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. |
Keyword(in Japanese) | (See Japanese page) |
Keyword(in English) | Tomography Methods / Estimation of PDF / Dominating factors / Time Series Analysis / Stock Returns |
Paper # | SIS2010-19 |
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Committee | SIS |
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Conference Date | 2010/8/26(1days) |
Place (in Japanese) | (See Japanese page) |
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Registration To | Smart Info-Media Systems (SIS) |
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Language | JPN |
Title (in Japanese) | (See Japanese page) |
Sub Title (in Japanese) | (See Japanese page) |
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 |
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