Oukan (Journal of Transdisciplinary Federation of Science and Technology)
Online ISSN : 2189-6399
Print ISSN : 1881-7610
ISSN-L : 1881-7610
Reviews: Mini Special Issue on Econophysics and Related Topics
Price Predictions Based on Evolvable Strategies, Principal Component Analysis, and Randomness of Data Strings
Mieko TANAKAXin YANGRyota ITOI
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JOURNALS OPEN ACCESS

2013 Volume 7 Issue 2 Pages 83-91

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Abstract

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.

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この記事はクリエイティブ・コモンズ [表示 - 非営利 4.0 国際]ライセンスの下に提供されています。
https://creativecommons.org/licenses/by-nc/4.0/deed.ja
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