戦略の自動進化および時系列乱数度による価格予測

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タイトル別名
  • Price Predictions Based on Evolvable Strategies, Principal Component Analysis, and Randomness of Data Strings
  • センリャク ノ ジドウ シンカ オヨビ ジケイレツ ランスウド ニ ヨル カカク ヨソク

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This paper summarizes the trials of predicting price movements in the financial market in various ways. The first example is to use the framework of the game theory between two players by regarding the next price movement as the next action of a player and the information of the environment surrounding the price movement as the action of the opponent player by using the evolutional computation. The second example is to predict trendy sectors by using RMT-PCA. The third example is to use the randomness of the price fluctuations by means of the RMT-test. An empirical rule “High randomness predicts a good performance in the next period” is extracted by studying the randomness of stocks in the period of 2007-2009.

収録刊行物

  • 横幹

    横幹 7 (2), 83-91, 2013

    特定非営利活動法人 横断型基幹科学技術研究団体連合

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