板情報を利用した指値執行システムの提案
2010 年 2010 巻 FIN-004 号 p. 06-
詳細
2010 年 2010 巻 FIN-004 号 p. 06-
We proposed an idea of order book analysis for predicting the direction of Nikkei 225 index in short terms using neural network. Not only the prediction of the market was proposed, but also the probability of execution was described as the first passage time of the Brownian motion in our model. Our system worked well for predicting the market behavior to some extent.
