株式市場のフル板情報からの株注文行動の分析
書誌事項
- タイトル別名
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- Stock Order Action Analysis from Full Board Information in Stock Market
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説明
The board information is a table which contains bid and ask order information for each company in the stock market. The length of the board information was limited to 16 price ranges, but a new trading system, called "Arrowhead" by Tokyo Stock Exchange, started in 2010 and provides a full range of the board information to all investors. Since this new board information might involve a lot of interesting records of the investor's trading, this paper tries to analyze them in detail from three viewpoints, suchas data types, comparison methods, and comparison targets. First, correlation between order counts and order prices are analyzed. This analysis also analyzed correlation between order counts and minute-based order timings. Next, correlation between order timings and stock price-change timings are analyzed. Furthermore, states of the boards are clustered by k-means clustering method to estimate future stock order action. This analysis also clusters the number of orders to examine transition between clusters. Last, movements of market are examined by stock price and bias of bid and ask order. Through various analyses, this paper shows typical order actions in market from several perspectives.
収録刊行物
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- 法政大学大学院紀要. 情報科学研究科編
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法政大学大学院紀要. 情報科学研究科編 8 105-110, 2013-03
法政大学大学院情報科学研究科
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詳細情報 詳細情報について
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- CRID
- 1390853649760741888
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- NII論文ID
- 120005400090
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- NII書誌ID
- AA12222297
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- HANDLE
- 10114/8808
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- ISSN
- 18810667
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- 本文言語コード
- ja
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- 資料種別
- departmental bulletin paper
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- データソース種別
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- JaLC
- IRDB
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用可
