859 research outputs found
A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
This study conducts a comprehensive analysis of time series segmentation on
the Japanese stock prices listed on the first section of the Tokyo Stock
Exchange during the period from 4 January 2000 to 30 January 2012. A recursive
segmentation procedure is used under the assumption of a Gaussian mixture. The
daily number of each quintile of volatilities for all the segments is
investigated empirically. It is found that from June 2004 to June 2007, a large
majority of stocks are stable and that from 2008 several stocks showed
instability. On March 2011, the daily number of instable securities steeply
increased due to societal turmoil influenced by the East Japan Great
Earthquake. It is concluded that the number of stocks included in each quintile
of volatilities provides useful information on macroeconomic situations.Comment: 10 pages, 5 figures, submitted to the 4th World Congress on Social
Simulation (WCSS2012
Patterns of Regional Travel Behavior: An Analysis of Japanese Hotel Reservation Data
This study considers the availability of room opportunities collected from a
Japanese hotel booking site. We empirically analyze the daily number of room
opportunities for four areas. To determine the migration trends of travelers,
we discuss a finite mixture of Poisson distributions and the EM-algorithm as
its parameter estimation method. We further propose a method to infer the
probability of opportunities existing for each observation. We characterize
demand-supply situations by means of relationship between the averaged room
prices and the probability of opportunity existing.Comment: 22 pages, 16 figures; International Review of Financial Analysis
(2011
Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model
Power spectrum densities for the number of tick quotes per minute (market
activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods
from January 1999 to December 2000 are analyzed. We find some peaks on the
power spectrum densities at a few minutes. We develop the double-threshold
agent model and confirm that stochastic resonance occurs for the market
activity of this model. We propose a hypothesis that the periodicities found on
the power spectrum densities can be observed due to stochastic resonance.Comment: 4 pages, 7 figure
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