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Paper Abstract and Keywords
Presentation 2016-08-09 16:30
Abnormal Stock Price Movements Detected on the Network of Interacting Stocks
Tomoya Suzuki, Hiroyuki Goto, Tokimaru Tsuruta, Hiroya Koizumi (Ibaraki Univ.) CCS2016-19
Abstract (in Japanese) (See Japanese page) 
(in English) To detect abnormal price jumps of financial markets, some indicators based on the volatility have been used such as the bipower variation and the BPV ratio. However, these indicators only focus on a single individual stock, and do not consider the relationship among all individual stocks composing a financial network. For this reason, we applied an autoencoder to learn the whole relationship of stocks, and considered the stock price that the autoencoder cannot restore as an abnormal price. Moreover, we identified that the following price movement is clearly biased just after the abnormal price, and confirmed the validity of our trading strategy based on this anomaly by some statistical significant tests. Our approach applying artificial intelligence like autoencoder to finance can be categorized as FinTech (Financial Technology), which has been hopeful for new financial services.
Keyword (in Japanese) (See Japanese page) 
(in English) Anomaly Detection / Autoencoder / FinTech / Technical Analysis / / / /  
Reference Info. IEICE Tech. Rep., vol. 116, no. 180, CCS2016-19, pp. 15-20, Aug. 2016.
Paper # CCS2016-19 
Date of Issue 2016-08-02 (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 CCS2016-19

Conference Information
Committee CCS  
Conference Date 2016-08-09 - 2016-08-10 
Place (in Japanese) (See Japanese page) 
Place (in English) Yoichi Chuo kominkan 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Network Science, etc. 
Paper Information
Registration To CCS 
Conference Code 2016-08-CCS 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Abnormal Stock Price Movements Detected on the Network of Interacting Stocks 
Sub Title (in English)  
Keyword(1) Anomaly Detection  
Keyword(2) Autoencoder  
Keyword(3) FinTech  
Keyword(4) Technical Analysis  
Keyword(5)  
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Keyword(8)  
1st Author's Name Tomoya Suzuki  
1st Author's Affiliation Ibaraki University (Ibaraki Univ.)
2nd Author's Name Hiroyuki Goto  
2nd Author's Affiliation Ibaraki University (Ibaraki Univ.)
3rd Author's Name Tokimaru Tsuruta  
3rd Author's Affiliation Ibaraki University (Ibaraki Univ.)
4th Author's Name Hiroya Koizumi  
4th Author's Affiliation Ibaraki University (Ibaraki Univ.)
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Speaker Author-1 
Date Time 2016-08-09 16:30:00 
Presentation Time 30 minutes 
Registration for CCS 
Paper # CCS2016-19 
Volume (vol) vol.116 
Number (no) no.180 
Page pp.15-20 
#Pages 6 
Date of Issue 2016-08-02 (CCS) 

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