Transactions of the Japan Society for Industrial and Applied Mathematics
Online ISSN : 2424-0982
ISSN-L : 0917-2246
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  • Takuo Higashide, Kensuke Asai, Jun-ya Gotoh, Takahiko Fujita
    2020 Volume 30 Issue 3 Pages 194-225
    Published: 2020
    Released: September 25, 2020
    JOURNALS FREE ACCESS

    Abstract. Pair trading is an investment strategy to earn a pro t by taking a position on two assets whose spread (i.e., prices' difference) is expected to converge to a certain level. In this paper, we propose a simple but new formulation for portfolio selection of assets' pairs on the basis of the rst passage time (FPT) of the processes of spreads. We observed that the computed efficient frontier in terms of FPT almost corresponds to the return-based efficient frontier. Besides, obtained portfolios had practically favorable features compared to the conventional single-pair trading strategy.

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  • Hideyuki Muraoka, Hidetoshi Okutomi, Shunsuke Araki, Ken'ichi Kakizaki
    2020 Volume 30 Issue 3 Pages 226-248
    Published: 2020
    Released: September 25, 2020
    JOURNALS FREE ACCESS

    Abstract. This paper proposes a new statistical testing framework for random number generators. First, we show that the evaluation of “generators” using NIST SP.800-22, which is widely used today, is incomplete. Next, we show that the statistical evaluation of the generator can be interpreted as a “random sampling” evaluation and give some examples of random-sampling-tests. After that, under the assumption that the test will be repeated many times, this paper proposes a new framework of statistical testing for generators where the testing procedure and final judgement rules are clearly defined. Finally, we show some examples using the proposed framework.

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