Paper Abstract and Keywords |
Presentation |
2017-06-30 11:40
Abnormal Stock Price Movements Detected by Volatility Indexes and their Biased Reactions Tokimaru Tsuruta, Tomoya Suzuki (Ibaraki Univ.) CCS2017-7 |
Abstract |
(in Japanese) |
(See Japanese page) |
(in English) |
In complex financial markets, dealing prices sometimes jump suddenly due to significant news such as financial accidents. According to behavioral economics, traders tend to overreact to the new information and a dealing price is often away from the reasonable price. If so, the dealing price might be suddenly modified into the appropriate price by the efficiency of market. To detect these jumps, we used volatility indexes and investigated the following price movement right after price jumps. As a result, we confirmed that the above assumption is almost correct. Next, we applied this anomaly to make an investment strategy, and investigated its validity by some investment simulations and statistical significant tests using real price data. |
Keyword |
(in Japanese) |
(See Japanese page) |
(in English) |
Anomaly Detection / Technical Analysis / Complex Financial Systems / / / / / |
Reference Info. |
IEICE Tech. Rep., vol. 117, no. 112, CCS2017-7, pp. 29-34, June 2017. |
Paper # |
CCS2017-7 |
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) |
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CCS2017-7 |
Conference Information |
Committee |
CCS |
Conference Date |
2017-06-29 - 2017-06-30 |
Place (in Japanese) |
(See Japanese page) |
Place (in English) |
Ibaraki Univ. |
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(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) |
Abnormal Stock Price Movements Detected by Volatility Indexes and their Biased Reactions |
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Anomaly Detection |
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Technical Analysis |
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Complex Financial Systems |
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1st Author's Name |
Tokimaru Tsuruta |
1st Author's Affiliation |
Ibaraki University (Ibaraki Univ.) |
2nd Author's Name |
Tomoya Suzuki |
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Ibaraki University (Ibaraki Univ.) |
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Speaker |
Author-1 |
Date Time |
2017-06-30 11:40:00 |
Presentation Time |
25 minutes |
Registration for |
CCS |
Paper # |
CCS2017-7 |
Volume (vol) |
vol.117 |
Number (no) |
no.112 |
Page |
pp.29-34 |
#Pages |
6 |
Date of Issue |
2017-06-22 (CCS) |
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