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Paper Abstract and Keywords
Presentation 2018-06-10 14:25
Statistical Distribution of Sub-second Price Fluctuations in the 2nd-stage Arrowhead Market
Mieko Tanaka-Yamawaki (Meiji Univ.), Masanori Yamanaka (Nihon Univ.), Yumihiko S. Ikura (Meiji Univ.) NLP2018-48 CCS2018-21
Abstract (in Japanese) (See Japanese page) 
(in English) In order to investigate the nature of price fluctuation in the arrowhead market, we have analyzed price time series taken from TSE. The distribution of the 5 second sample data in the year of 2013 averaged over 100 stocks can be identified as the Le ́vy distribution of index α=1.4, which is the same as the old result on the American stock index around 1990. In this paper, we report our latest result using the full price data for the period of 2012 -2016, which enabled us to analyze sub-second price fluctuation in the second stage arrowhead market. Due to the heavy volume of this data, we have finished only a part of the entire data. For the time interval larger than a few second, a single stock prices exhibit characteristic property of the stable distribution with the index α in the range of 1.4-2.0, indicating that the market efficiency may have been achieved under sub-second market.
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. 118, no. 76, CCS2018-21, pp. 115-118, June 2018.
Paper # CCS2018-21 
Date of Issue 2018-06-01 (NLP, CCS) 
ISSN Print edition: ISSN 0913-5685    Online edition: ISSN 2432-6380
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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Conference Information
Committee NLP CCS  
Conference Date 2018-06-08 - 2018-06-10 
Place (in Japanese) (See Japanese page) 
Place (in English) Kyoto Terrsa 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Synchronization, Networks, etc 
Paper Information
Registration To CCS 
Conference Code 2018-06-NLP-CCS 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Statistical Distribution of Sub-second Price Fluctuations in the 2nd-stage Arrowhead Market 
Sub Title (in English)  
Keyword(1) Arrowhead Market  
Keyword(2) Price Fluctuation  
Keyword(3) Le 'vy's Stable Distribution  
Keyword(4) Statistical Distribution Function  
1st Author's Name Mieko Tanaka-Yamawaki  
1st Author's Affiliation Meiji University (Meiji Univ.)
2nd Author's Name Masanori Yamanaka  
2nd Author's Affiliation Nihon University (Nihon Univ.)
3rd Author's Name Yumihiko S. Ikura  
3rd Author's Affiliation Meiji University (Meiji Univ.)
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Speaker Author-1 
Date Time 2018-06-10 14:25:00 
Presentation Time 25 minutes 
Registration for CCS 
Paper # NLP2018-48, CCS2018-21 
Volume (vol) vol.118 
Number (no) no.75(NLP), no.76(CCS) 
Page pp.115-118 
Date of Issue 2018-06-01 (NLP, CCS) 

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