板情報による市場相違性の検出

DOI Web Site BIBCODE 被引用文献2件 参考文献9件

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  • Analysis of the market difference using the stock board

抄録

The financial markets are fluctuating consistently. Therefore, it is difficult to analyze the financial market based on the same theory, without depending on the state of the market. So we use the concept ofmarket condition change. To estimate the points when the market change occurred in a real market is effective for market analysis. Thus, in this paper, we propose a method to detect the changes in market conditions. In the proposed method, we focuse on the stock board instead of the price data. From the stock board data, we classify short time series data to clusters by using k-means clustering method. Then, we generate Hidden Markov Model(HMM) from the transition probability of each clusters. By using the likelihood of HMM, we analyze the similarities of each time series data. We performed an experiment to evaluate the effectiveness of the method by discriminant analysis of time series data which created from opening session and continuous session. As a result, two time series data are discriminated with high accuracy. Finally, we compared the discriminate performance of proposed method with another discriminant analysis methods. We used three types of time series data of stock board and price data, before the Lehman's fall financial crisis. From the result, the proposed method shows the best performance in discriminating each financial data.

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