Host: Japan Society for Fuzzy Theory and Intelligent Informatics (SOFT)
Name : 35th Fuzzy System Symposium
Number : 35
Location : [in Japanese]
Date : August 29, 2019 - August 31, 2019
In 2010, so-called the Arrowhead system started in the Tokyo Stock Exchange. This enables high-speed stock trading, or in the other words, high-frequency trading, in the order of milliseconds interval or less. Also, anyone can analyze the transaction data in the Tokyo Stock Exchange Data Cloud, although it is paid. In this study, we analyze these high-speed transaction data by principal component analysis. The analysis was performed in each segment, dividing the transaction time of 5 hours per day into 10 minutes. A variance-covariance matrix was calculated for each segment, the matrix was diagonalized, and the eigenvalues and eigenvectors, i.e., the principal component vectors, were calculated numerically. The features at each segments were extracted. Furthermore, we used these methods to analyze the day of the stock crash due to the rise of the Volatility Index (VIX index) and the normal calm day, and extracted the features of each. We discussed trading strategies on these days.
