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

本文运用信息科学和物理科学的工具，对真实世界的金融高频数据（HFDF）进行了研究。1）阐明了收益率统计分布的具体形态，并将其与湍流速度增量的空间分布进行了比较，研究了与Levy分布的关系，提取了时间序列的特征，2）积累了外汇汇率和纽约证券交易所股票价格的逐时数据库，并使其成为可用的形式; 3）开发了用于可变环境下智能决策的计算机程序。我们还研究了少数人博弈的变化。4）我们在经济物理学方面举行了几次会议，以建立一个新的金融和经济学框架，在物理科学和信息科学的交叉点。Progra ...更多信息 根据会员的免费申请，每次演讲后都进行广泛的讨论。自2004年AY以来，我们每年出版会议的后续会议记录：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。我们已经在我们的主页http：//www.example.com上列出了这些活动，日本物理学会和进化经济学会的年会从2005-2006年开始开放经济物理学会议。irene.ike.tottori-u.ac.jp/mieko/econo_e/Along在世界范围内，http://www.unifr.ch/econophysics/收录了经济物理学的新闻，IEEE-CIS（计算智能协会）开始了计算金融和经济学网络http：//cswww.essex.ac.uk/CSP/IEEE-CFETC-Network/。然而，经济物理学并没有一个既定的方法论。研究者已经证实了一些经验事实的存在，解释这些事实的理论也在研究之中。它已经澄清，博弈论的方法和积累的实验知识，从模拟人工社会，以设计动态系统，适应不断变化的环境。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