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| Presentation | 2018-11-22 15:20 Has the arrowhead market achieved the efficient market ? Mieko Tanaka-Yamawaki (Meiji Univ.), Masanori Yamanaka (Nihon Univ.)  CCS2018-38 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | We are trying to reveal the nature of price fluctuation of the 2nd stage arrowhead market, by using the whole transaction data in the period of 2012 to 2017. Hoping to find a new statistical feature in the ultra-fast transaction achieved in the latest stage of arrowhead market, we attempt to determine the statistical distribution of the price fluctuation. We reported our previous result at the CCS meeting held in Kyoto in June 2018, in which we showed that the 15 months’ data of a single stock (8306) in the period of 2015.10～2016.12 exhibits the feature of the Le ́vy stable distribution of index α=1.4～2.0. Since then, we have worked on the same line of thought by increasing the data size to 27 months of the period 2015.10～2017.12, for 4 different stocks (8306,8316,8411,7203), in order to narrow down this range of α. The result excluded the possibility of α=1.4 for all the four stocks, and the range of the index has been successfully narrowed down to α=1.6～2.0. Moreover, the most active stock 8306 clearly shows the superiority of Gaussian distribution (α=2.0) compared to the other stable distributions (α=1.6-1.9). Based on these observations, we conclude that the current stage of the arrowhead market seems to have realized the market efficiency. However, further tasks remain to examine possible dependence of those results on the time scale Δt, the data length, the time when the data taken, stock code, or industry classification, etc. | |
| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Arrowhead Market / Efficient Market / Price Fluctuation / Le 'vy's Stable Distribution / Statistical Distribution Function / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 118, no. 316, CCS2018-38, pp. 29-32, Nov. 2018. | |
| Paper # | CCS2018-38 | |
| Date of Issue | 2018-11-15 (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 | CCS2018-38 |
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| Conference Information | |
| Committee | CCS |
| Conference Date | 2018-11-22 - 2018-11-23 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Kobe Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Interaction and Communication, etc. |
| Paper Information | |
| Registration To | CCS |
| Conference Code | 2018-11-CCS |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Has the arrowhead market achieved the efficient market ? |
| Sub Title (in English) | |
| Keyword(1) | Arrowhead Market |
| Keyword(2) | Efficient Market |
| Keyword(3) | Price Fluctuation |
| Keyword(4) | Le 'vy's Stable Distribution |
| Keyword(5) | Statistical Distribution Function |
| Keyword(6) | |
| Keyword(7) | |
| Keyword(8) | |
| 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 | |
| 3rd Author's Affiliation | () |
| 4th Author's Name | |
| 4th Author's Affiliation | () |
| 5th Author's Name | |
| 5th Author's Affiliation | () |
| 6th Author's Name | |
| 6th Author's Affiliation | () |
| Speaker | Author-1 |
| Date Time | 2018-11-22 15:20:00 |
| Presentation Time | 25 minutes |
| Registration for | CCS |
| Paper # | CCS2018-38 |
| Volume (vol) | vol.118 |
| Number (no) | no.316 |
| Page | pp.29-32 |
| #Pages | 4 |
| Date of Issue | 2018-11-15 (CCS) |
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