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

基于物理和信息学工具的金融高频数据定量分析

基本信息

批准号：
14580385
负责人：
TANAKA Mieko
金额：
$ 2.24万
依托单位：
Tottori University (2003-2005)University of Miyazaki (2002)
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2002
资助国家：
日本
起止时间：
2002 至 2005
项目状态：
已结题

项目摘要

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

我们利用信息科学和物理科学的工具，研究了现实世界的金融高频数据（HFDF）。1）明确了收益统计分布的详细形状，并将其与湍流速度增量的空间分布进行比较，研究了与Levy分布的关系，提取了时间序列中的特征特征，测量了时间记忆长度，并基于 2）我们积累了外币汇率和纽约证券交易所股票价格的逐笔数据库，并使其成为可用的形式。3）我们开发了在多变的环境下进行智能决策的计算机程序。我们还研究了少数博弈的变体。4）我们召开了几次经济物理学会议，以便在物理科学和信息科学的交叉点建立一个新颖的金融和经济学框架。根据会员的免费申请安排数毫秒的演示。每次演讲后都会进行广泛的讨论。自2004年以来，我们每年都会出版会议后的会议记录：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。主页http://irene.ike.tottori-u.ac.jp/mieko/econo_e/沿着这些活动，日本物理学会和进化经济学会的年会从2005年至2006年开始开设经济物理学会议。在世界范围内，http://www.unifr.ch/econophysicals/符合经济物理学方面的新闻，IEEE-CIS（计算智能协会）启动了计算金融和经济网络http://cswww.essex.ac.uk/CSP/IEEE-CFETC-Network/。然而，经济物理学并没有既定的方法论。研究人员已经证实了一些经验事实的存在，并且正在研究解释这些事实的理论。人们已经阐明，博弈论方法论和通过对人工社会进行建模来积累实验知识，以设计适应不断变化的环境的动力系统。较少的