METHOD AND PROGRAM FOR DETECTING CHANGE-POINT OF TIME SERIES DATA, AND METHOD AND PROGRAM FOR PREDICTING PROBABILITY DENSITY DISTRIBUTION OF FUTURE TIME-SERIES DATA VALUES

Title:

METHOD AND PROGRAM FOR DETECTING CHANGE-POINT OF TIME SERIES DATA, AND METHOD AND PROGRAM FOR PREDICTING PROBABILITY DENSITY DISTRIBUTION OF FUTURE TIME-SERIES DATA VALUES

Document Type and Number:

WIPO Patent Application WO/2013/035344

Kind Code:

A1

Abstract:

The present invention applies the particle filter method to a PUCK model that is for calculating the real market price P(t+1) at time(t), which is determined by the real market price P(t) and a median price PM(t). First, particles having parameters are generated, said parameters indicating the states of the PUCK model and each of which having different values, to obtain a probability density function of the parameters. Then, likelihood of each of the particles is evaluated, and resampling of the particles is executed according to the likelihood, as follows. A random number is generated and this random number is compared to a prescribed value, and when the random number is greater than the prescribed value, a particle is regenerated according to a probability density function such as a normal distribution that has the parameter value of the model at time (t) as the average value thereof, and when the random number is less than the prescribed value, a particle is regenerated using a uniform distribution as the probability density function. A series of these processes is to be continued.

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Inventors:

TAKAYASU MISAKO (JP)
YURA YOSHIHIRO (JP)
NAKAMURA KAZUYUKI (JP)

Application Number:

PCT/JP2012/005697

Publication Date:

March 14, 2013

Filing Date:

September 07, 2012

Export Citation:

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Assignee:

TOKYO INST TECH (JP)
TAKAYASU MISAKO (JP)
YURA YOSHIHIRO (JP)
NAKAMURA KAZUYUKI (JP)

International Classes:

G06Q40/04; G06Q90/00

Foreign References:

JP2001092640A	2001-04-06
JP2002298064A	2002-10-11
JP2003216883A	2003-07-31
JP2011196512A	2011-10-06
JP2012050819A	2012-03-15

Other References:

MISAKO TAKAYASU: "Theoretical base of the PUCK-model with Application to foreign exchange markets", ECONOPHYSICS APPROACHES TO LARGE-SCALE BUSSINESS DATA AND FINANCIAL CRISIS, June 2010 (2010-06-01), pages 79 - 98, XP008172753, Retrieved from the Internet
KENTA YAMADA: "Kin'yu Trading no Shin Choryu", OPERATIONS RESEARCH AS A MANAGEMENT SCIENCE RESEARCH, vol. 55, no. 9, 1 September 2010 (2010-09-01), COMMUNICATIONS OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, pages 566 - 570, XP008172638
See also references of EP 2755182A4
MISAKO TAKAYASU: "Econophysics Approaches to Large-Scale Business Data and Financial Crisis", June 2010, SPRINGER, pages: 79 - 98
KENTA YAMADA; HIDEKI TAKAYASU; TAKATOSHI ITO; MISAKO TAKAYASU: "Solvable Stochastic Dealer Model for Financial Markets", PHYSICAL REVIEW, vol. E,79, no. 5, 2009, pages 051120
KAZUYUKI NAKAMURA; TOMOYUKI HIGUCHI: "Recent Advances and Applications of Bayesian Theory [II]: Sequential Bayesian Estimation and Data Assimilation", THE JOURNAL OF THE INSTITUTE OF ELECTRONICS, INFORMATION, AND COMMUNICATION ENGINEERS, vol. 92, no. 12, 2009, pages 1062 - 1067

Attorney, Agent or Firm:

IEIRI, Takeshi (JP)
House ON 健 (JP)

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