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| Presentation | 2016-06-13 13:50 Statistical Distribution of the Price Fluctuations in the Arrowhead Market -- Levy Distribution Reconsidered -- Mieko Tanaka-Yamawaki (ISM)  NLP2016-24 CCS2016-7 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | The arrowhead system is a trading system within a millisecond, which was launched in January 2010 at Tokyo Stock Exchange, Inc.(TSE) and was upgraded in September, 2015 to the level of half a millisecond. In order to investigate the nature of price fluctuation in the arrowhead market, we have analyzed price time series taken from TSE. The result is the statistical distribution can be identified as the Le ́vy distribution of index α=1.4, the same as the previous result reported in 1995 for the data of S&P500 index (1983-1989), and also for the Nikkei Index price in mid 1990's. | |
| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Arrowhead Market / Price Fluctuation / Le ́vy's Stable Distribution / Statistical Distribution Function / / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 116, no. 87, CCS2016-7, pp. 27-30, June 2016. | |
| Paper # | CCS2016-7 | |
| Date of Issue | 2016-06-06 (NLP, CCS) | |
| 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 | NLP2016-24 CCS2016-7 |
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| Conference Information | |
| Committee | CCS NLP |
| Conference Date | 2016-06-13 - 2016-06-14 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Kikai-Shinko-Kaikan Bldg. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Nonlinear Science, Complexity Science, etc. |
| Paper Information | |
| Registration To | CCS |
| Conference Code | 2016-06-CCS-NLP |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Statistical Distribution of the Price Fluctuations in the Arrowhead Market |
| Sub Title (in English) | Levy Distribution Reconsidered |
| Keyword(1) | Arrowhead Market |
| Keyword(2) | Price Fluctuation |
| Keyword(3) | Le ́vy's Stable Distribution |
| Keyword(4) | Statistical Distribution Function |
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| 1st Author's Name | Mieko Tanaka-Yamawaki |
| 1st Author's Affiliation | Institute of Statistical Mathematics (ISM) |
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| Speaker | Author-1 |
| Date Time | 2016-06-13 13:50:00 |
| Presentation Time | 25 minutes |
| Registration for | CCS |
| Paper # | NLP2016-24, CCS2016-7 |
| Volume (vol) | vol.116 |
| Number (no) | no.86(NLP), no.87(CCS) |
| Page | pp.27-30 |
| #Pages | 4 |
| Date of Issue | 2016-06-06 (NLP, CCS) |
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