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Paper Abstract and Keywords
Presentation 2017-06-30 12:05
Anomaly Detection of Hardly Predictable Systems by Autoencoder -- Trading Strategy Foreseeing Modification of Abnormal Stock Prices --
Hiroyuki Gotou, Tomoya Suzuki (Ibaraki Univ.) CCS2017-8
Abstract (in Japanese) (See Japanese page) 
(in English) For anomaly detection in time-series data, it is common to compose a prediction model trained by historical data and investigate the difference between the predicted value and the real value. However, in the case of analyzing hardly predictable systems like financial markets, it is difficult to compose prediction models. For this reason, we applied the autoencoder to estimate the reasonable present value, not to predict any future value, and investigate the difference between its estimated reasonable value and the real value. As a case study, we used this concept for the anomaly detection of stock markets and verified the efficiency of trading strategies using the modification of abnormal stock prices by some investment simulations and statistical significance tests using real stock price data.
Keyword (in Japanese) (See Japanese page) 
(in English) Anomaly Detection / Autoencoder / Complex Financial Systems / / / / /  
Reference Info. IEICE Tech. Rep., vol. 117, no. 112, CCS2017-8, pp. 35-40, June 2017.
Paper # CCS2017-8 
Date of Issue 2017-06-22 (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 CCS2017-8

Conference Information
Committee CCS  
Conference Date 2017-06-29 - 2017-06-30 
Place (in Japanese) (See Japanese page) 
Place (in English) Ibaraki Univ. 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Interaction and Communication, etc. 
Paper Information
Registration To CCS 
Conference Code 2017-06-CCS 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Anomaly Detection of Hardly Predictable Systems by Autoencoder 
Sub Title (in English) Trading Strategy Foreseeing Modification of Abnormal Stock Prices 
Keyword(1) Anomaly Detection  
Keyword(2) Autoencoder  
Keyword(3) Complex Financial Systems  
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1st Author's Name Hiroyuki Gotou  
1st Author's Affiliation Ibaraki University (Ibaraki Univ.)
2nd Author's Name Tomoya Suzuki  
2nd Author's Affiliation Ibaraki University (Ibaraki Univ.)
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Speaker Author-1 
Date Time 2017-06-30 12:05:00 
Presentation Time 25 minutes 
Registration for CCS 
Paper # CCS2017-8 
Volume (vol) vol.117 
Number (no) no.112 
Page pp.35-40 
#Pages 6 
Date of Issue 2017-06-22 (CCS) 

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