| Presentation | 2012-01-26 Critical phenomena in mean-field Ising models and time-series prediction Shunsuke HIGANO, Jun-ichi INOUE, |
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| Abstract(in Japanese) | (See Japanese page) | ||
| Abstract(in English) | We propose a theoretical framework to predict several time-series simultaneously by using cross-correlations in financial markets. Our model system is basically described by a variant of the Ising model introduced by Kaizouji (2000). In this paper, we shall first revisit his model and investigate the coupled non-linear dynamics with respect to system-parameters (which are very similar to hyper-parameters in the context of Bayesian statics) and microscopic spins much more extensively. We actually confirm that at financial crisis observed in EUR/JPY exchange rate from April 27^ | 2010 to May 13^ | 2010, the system-parameters move to the critical point at which phase transition in the corresponding Ising model takes place. We next evaluate the validity of our modification with the assistance of information about cross-correlations in stocks and find from our (still limited) results that the simultaneous prediction 'partially' succeeded in improving the prediction performance. |
| Keyword(in Japanese) | (See Japanese page) | ||
| Keyword(in English) | Mean-field Ising model / Critical phenomena and phase transition / Time-series prediction / Data analysis / Macroscopic variable estimation / Econophysics | ||
| Paper # | NC2011-108 | ||
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| Committee | NC |
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| Conference Date | 2012/1/19(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Neurocomputing (NC) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Critical phenomena in mean-field Ising models and time-series prediction |
| Sub Title (in English) | |
| Keyword(1) | Mean-field Ising model |
| Keyword(2) | Critical phenomena and phase transition |
| Keyword(3) | Time-series prediction |
| Keyword(4) | Data analysis |
| Keyword(5) | Macroscopic variable estimation |
| Keyword(6) | Econophysics |
| 1st Author's Name | Shunsuke HIGANO |
| 1st Author's Affiliation | Graduate School of Information Science and Technology, Hokkaido University() |
| 2nd Author's Name | Jun-ichi INOUE |
| 2nd Author's Affiliation | Graduate School of Information Science and Technology, Hokkaido University |
| Date | 2012-01-26 |
| Paper # | NC2011-108 |
| Volume (vol) | vol.111 |
| Number (no) | 419 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |