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| Presentation | 2010-09-02 10:00 Analysis of Affecting Factors for Stock Returns based on Tomography Methods for the Decomposition of Probability Density Functions Shozo Tokinaga (Kyushu Univ), Kangrong Tan (Kurume Univ)  SIS2010-19 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (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 Japanese) | (See Japanese page) |
| (in English) | Tomography Methods / Estimation of PDF / Dominating factors / Time Series Analysis / Stock Returns / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 110, no. 189, SIS2010-19, pp. 1-6, Sept. 2010. | |
| Paper # | SIS2010-19 | |
| Date of Issue | 2010-08-26 (SIS) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | SIS2010-19 |
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| Conference Information | |
| Committee | SIS IPSJ-AVM |
| Conference Date | 2010-09-02 - 2010-09-03 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Nagasakiken-Kinrou-Fukushi-Kaikan |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
| Paper Information | |
| Registration To | SIS |
| Conference Code | 2010-09-SIS-AVM |
| Language | Japanese |
| 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 |
| Keyword(6) | |
| Keyword(7) | |
| Keyword(8) | |
| 1st Author's Name | Shozo Tokinaga |
| 1st Author's Affiliation | Kyushu University (Kyushu Univ) |
| 2nd Author's Name | Kangrong Tan |
| 2nd Author's Affiliation | Kurume University (Kurume Univ) |
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| Speaker | Author-2 |
| Date Time | 2010-09-02 10:00:00 |
| Presentation Time | 20 minutes |
| Registration for | SIS |
| Paper # | SIS2010-19 |
| Volume (vol) | vol.110 |
| Number (no) | no.189 |
| Page | pp.1-6 |
| #Pages | 6 |
| Date of Issue | 2010-08-26 (SIS) |
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