Quantitative Analysis of High Frequency Data in Finance base on the Tools of Physics and Informatics

我们利用信息科学和物理科学的工具对真实的金融高频数据(HFDF)进行了研究。1)我们澄清了收益率统计分布的详细形状，并将它们与湍流速度增量的空间分布进行了比较，研究了它们与Levy分布的关系，提取了时间序列的特征，测量了时间记忆长度，并在定量分析的基础上定量地识别了套利机会。2)我们积累了外汇汇率和纽约证券交易所股票价格的刻度数据库，并使它们成为可用的形状。3)我们开发了在变化的环境下进行智能决策的计算机程序。我们还研究了少数民族游戏的变化。我们在经济物理学方面举行了几次会议，以便在物理科学和信息科学的交叉点上建立一个新的财经框架。程序…更多基于会员免费应用的演示文稿。每次演讲之后都会进行广泛的讨论。自2004年以来，我们每年都发表会议纪要：统计数学研究所合作研究报告177“经济物理学及其应用”，2005年3月和187“经济物理学及其应用(2)”，2006年3月。我们已经在我们的homepagehttp://irene.ike.tottori-u.ac.jp/mieko/econo_e/Along中列出了这些活动，日本物理学会和演化经济学会的年会从2005年到2006年开始开设经济物理学会议。在国际上，http://www.unifr.ch/econophysics/遵循经济物理学的新闻，计算智能学会创办计算财经网络http://cswww.essex.ac.uk/CSP/IEEE-CFETC-Network/.However，经济物理学没有既定的方法论。研究人员已经证实了一些经验事实的存在，解释这些事实的理论正在调查中。已经阐明了博弈论方法和通过对人工社会进行建模来积累实验知识，以便设计出适应不断变化的环境的动态系统。较少

We have investigated the real-world High Frequency Data in Finance (HFDF) by using the tools of information sciences and physical sciences.1).We have clarified the detailed shape of the statistical distributions of returns and comparing them with space distributions of velocity increments of turbulence and investigated the relation to the Levy distribution, extracted characteristic features in the time series, measured the temporal memory length and quantitatively identified the arbitrage chances based on quantitative analysis.2)We have accumulated tick-wise database on foreign currency exchange rates and NYSE stock prices and made them in usable shape.3)We have developed computer programs for intelligent decision making under changeable environment. We have also studied variations of the Minority Game.4)We have had several meetings in Econophysics in order to establish a novel framework of Finance and Economics, at the intersection of physical sciences and information sciences. Progra … More ms of presentations based on free applications by the members. Extensive discussion follows every presentation. We have published post-proceedings of the meetings annually since AY2004 : The Institute of Statistical Mathematics Cooperative Research Report 177 "Econophysics and its Applications", March 2005 and 187 "Econophysics and its Applications (2)", March 2006. We have listed the programs in our homepagehttp://irene.ike.tottori-u.ac.jp/mieko/econo_e/Along these activities, annual meetings of Japan Physical Society and Evolutional Economics Society started opening Econophysics session beginning 2005-2006. In the world, http://www.unifr.ch/econophysics/ complies news in Econophysics and IEEE-CIS (Computational Intelligence Society) started Computational Finance and Economics Network http://cswww.essex.ac.uk/CSP/IEEE-CFETC-Network/.However, Econophysics does not have an established methodology. Researchers have confirmed the existence of some empirical facts and theories to explain them are under investigation. It has been clarified that game-theoretical methodology and accumulation of experimental knowledge from modeling the artificial societies in order to design dynamical systems adaptable to changing environment. Less