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

On certain constructions of p-adic families of Siegel modular forms of even genus

Suppose that p > 5 is a rational prime. Starting from a well-known p-adic analytic family of ordinary elliptic cusp forms of level p due to Hida, we construct a certain p-adic analytic family of holomorphic Siegel cusp forms of arbitrary even genus and of level p associated with Hida's p-adic analytic family via the Duke-Imamoglu lifting provided by Ikeda. Moreover, we also give a similar results for the Siegel Eisenstein series of even genus with trivial Nebentypus

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