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KAKEN_16K12492seika.pdf
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:431.7 KB
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:Oct 31, 2019 |
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Total downloads since Oct 31, 2019 : 963
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| Title |
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ティック・データによる市場価格の短中期予測
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ティック・データ ニ ヨル シジョウ カカク ノ タンチュウキ ヨソク
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Tikku dēta ni yoru shijō kakaku no tanchūki yosoku
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Short term prediction of market prices using tick data
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櫻井, 彰人
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サクライ, アキト
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Sakurai, Akito
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慶應義塾大学・理工学部 (矢上)・教授
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Research team head
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科研費研究者番号 : 00303339
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Serjam, Chanakya
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Collaborator
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2019
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科学研究費補助金研究成果報告書
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2018
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金融市場の資産価格の短中期 (分～時間) 予測の高精度化を目的とする。特に外国為替交換比率 (EUR/USD, USD/JPY) の分足とtickについて詳細な検討を行った。(1) 1分～90分足について予測モデルを作成し、長期に渡る予測可能性には収益反転が関わっていること、また収益反転にはフラクタル的であることを示した。(2) 分足およびtickそれぞれに、収益反転を説明し収益分布を回帰するモデルを作成した。2001年～2015年の実データに対し、よい回帰となっていることを数値実験により確認した。
The purpose of the research is to improve accuracy of short and medium horizon (minutes to hours) prediction of asset prices in financial markets, specifically focused on minutely and tick movement of exchange rates in foreign exchange markets (mainly EUR/USD and USD/JPY). (1) We successfully modeled 1 to 90 minutely returns of the rates and also showed that the long-term predictability of the model is based on the fractal-like property of return reversals. (2) We successfully built models to explain the return reversals and regress the distribution of the minutely and tick returns, which is supported by simulations for 2001 to 2015 data.
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研究種目 : 挑戦的萌芽研究
研究期間 : 2016～2018
課題番号 : 16K12492
研究分野 : 機械学習
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