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Paper Abstract and Keywords
Presentation 2013-03-15 09:00
Comparison of model performances of economic time series and its application to financial products
Tomoki Nakano, Takashi Hakuta, Yasukuni Mori, Ikuo Matsuba (Chiba Univ.) NLP2012-160
Abstract (in Japanese) (See Japanese page) 
(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) 
(in English) GARCH / Monte Carlo Simulation / Random Walk / Stable Distrtibution / / / /  
Reference Info. IEICE Tech. Rep., vol. 112, no. 487, NLP2012-160, pp. 81-86, March 2013.
Paper # NLP2012-160 
Date of Issue 2013-03-07 (NLP) 
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 NLP2012-160

Conference Information
Committee NLP  
Conference Date 2013-03-14 - 2013-03-15 
Place (in Japanese) (See Japanese page) 
Place (in English) Nishi-Chiba campus, Chiba Univ. 
Topics (in Japanese) (See Japanese page) 
Topics (in English) General 
Paper Information
Registration To NLP 
Conference Code 2013-03-NLP 
Language Japanese 
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  
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Keyword(6)  
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Keyword(8)  
1st Author's Name Tomoki Nakano  
1st Author's Affiliation Chiba University (Chiba Univ.)
2nd Author's Name Takashi Hakuta  
2nd Author's Affiliation Chiba University (Chiba Univ.)
3rd Author's Name Yasukuni Mori  
3rd Author's Affiliation Chiba University (Chiba Univ.)
4th Author's Name Ikuo Matsuba  
4th Author's Affiliation Chiba University (Chiba Univ.)
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Speaker Author-1 
Date Time 2013-03-15 09:00:00 
Presentation Time 25 minutes 
Registration for NLP 
Paper # NLP2012-160 
Volume (vol) vol.112 
Number (no) no.487 
Page pp.81-86 
#Pages 6 
Date of Issue 2013-03-07 (NLP) 

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