Characteristics of Critical Fluctuations Caused by Self-Modulation and its Application

自调制引起的临界波动特性及其应用

• 批准号: 16540346
• 负责人: TAKAYASU Misako
• 金额: $ 2.05万
• 依托单位: Tokyo Institute of Technology
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2004
• 资助国家: 日本
• 起止时间: 2004 至 2006
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-16540346/
• 关键词: Self-Modulation; Data Analysis; Stochastic Process; Autocorrelation; Optimal Moving Average; Market Price Fluctuations; ポテンシャル; ベキ分布; 臨界現象; 1／fスペクトル

I analyzed so-called the self-modulation systems which are dynamical stochastic processes whose parameters are given by the moving averages of their own traces. In these 3 years I have studied the basic properties and also applications.The most typical example of the self-modulation systems is the transaction intervals in open markets such as the Yen-Dollar exchange market. I have shown that the time sequence of the intervals normalized by an optimal moving average is quite well approximated by a pure Poisson process. Here, the optimal moving average is given by a weighted moving average with exponential decay of characteristic time about 30 seconds.Then the basic idea of self-modulation is generalized to the market prices especially to the Yen-Dollar market which I have the high quality data for more than 10 years. I firstly introduced an optimal moving average for the market prices and then observed the dynamics of this noise-reduced market price. It is found that the dynamics is not purely random as assumed by the financial technology, I found clear evidence that there exists a potential force of market. This potential force is not a constant but its center is moving with a larger scale moving average and the curvature of the potential is also changing slowly between a positive stable state to a negative unstable state. This dynamical property can be characterized by the potential coefficient. As this analysis is suitable for risk evaluation of markets, I developed a real time data analysis algorithm which is ready to be applied to the real open market.It is also shown theoretically that the potential force formulation is expressed as a kind of self-modulation process for the price difference, so the applicability of the self-modulation has been enlarged considerably.

我分析了所谓的自调制系统，它们是动态随机过程，其参数由其自身迹线的移动平均值给出。在这三年里，我研究了它的基本特性和应用。自调节系统最典型的例子是日元-美元交易市场等公开市场的交易间隔。我已经证明，通过最佳移动平均数标准化的时间间隔的时间序列可以很好地通过纯泊松过程来近似。这里，最佳移动平均线由特征时间指数衰减约30秒的加权移动平均线给出。然后将自调节的基本思想推广到市场价格，特别是日元美元市场，我拥有10多年的高质量数据。我首先引入了市场价格的最佳移动平均线，然后观察了这个降噪后的市场价格的动态。发现动态并不像金融技术所假设的那样是纯粹随机的，我发现了明确的证据表明存在潜在的市场力量。这个势力不是一个常数，但它的中心在以较大尺度的移动平均移动，并且势的曲率也在正的稳定状态到负的不稳定状态之间缓慢变化。这种动力学特性可以用势系数来表征。由于这种分析适合市场风险评估，我开发了一种实时数据分析算法，可以应用于真实的公开市场。理论上还表明，势力公式表达为一种价差的自调节过程，因此自调节的适用性大大扩大。

项目成果

Modeling a foreign exchange rate using moving average of Yen-Dollar market data

使用日元-美元市场数据的移动平均线对外汇汇率进行建模

• 发表时间: 2005
• 期刊: Proceedings of "Practical Fruits of Econophysics"
• 作者: Takayuki Mizuno;Misako Takayasu;Hideki Takayasu
• 通讯作者: Hideki Takayasu

情報処理装置、情報処理システム、情報処理方法及びそのプログラム

信息处理装置、信息处理系统、信息处理方法及其程序

• 发表时间: 2004

Correlation networks among currencies

• DOI: 10.1016/j.physa.2005.08.079
• 发表时间: 2006-05-15
• 期刊: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
• 影响因子: 3.3
• 作者: Mizuno, T;Takayasu, H;Takayasu, M
• 通讯作者: Takayasu, M

Dynamics Complexity in Internet Traffic

互联网流量的动态复杂性

• 发表时间: 2005
• 期刊: Complex Dynamics in Communication Networks
• 作者: Takaaki Ohnishi;Takayuki Mizuno;Kazuyuki Aihara;Misako Takayasu;Hideki Takayasu;Misako Takayasu
• 通讯作者: Misako Takayasu

人間と社会の時間の矢

人类和社会的时间之箭

• 发表时间: 2004
• 期刊: 数理科学 7月号
• 作者: Yosuke Tamura;Misako Takayasu;Hideki Takayasu;高安美佐子
• 通讯作者: 高安美佐子