| Presentation | 2013-03-15 Comparison of model performances of economic time series and its application to financial products Tomoki NAKANO, Takashi HAKUTA, Yasukuni MORI, Ikuo MATSUBA, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The main approach to analyze time series data is to build a model and repeat a simulation. Many models have been proposed and has been applied in various fields such as financial engineering. However, it is not clear which model is the best. Therefore, we applied two different kinds of model to economic time series data and examined the performance and characteristics of them. In addition, we applied them to financial instruments that are actually bought and sold, and we compared the benefits and risks of change. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | GARCH / Monte Carlo Simulation / Random Walk / Stable Distrtibution |
| Paper # | NLP2012-160 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2013/3/7(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) | Comparison of model performances of economic time series and its application to financial products |
| Sub Title (in English) | |
| Keyword(1) | GARCH |
| Keyword(2) | Monte Carlo Simulation |
| Keyword(3) | Random Walk |
| Keyword(4) | Stable Distrtibution |
| 1st Author's Name | Tomoki NAKANO |
| 1st Author's Affiliation | Faculty of Engineering, Chiba University() |
| 2nd Author's Name | Takashi HAKUTA |
| 2nd Author's Affiliation | Faculty of Engineering, Chiba University |
| 3rd Author's Name | Yasukuni MORI |
| 3rd Author's Affiliation | Graduate School of Advanced Integration Science, Chiba University |
| 4th Author's Name | Ikuo MATSUBA |
| 4th Author's Affiliation | Graduate School of Advanced Integration Science, Chiba University |
| Date | 2013-03-15 |
| Paper # | NLP2012-160 |
| Volume (vol) | vol.112 |
| Number (no) | 487 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |