Tracking the Annual Changes of Statistical Property of a Stock Index in the Arrowhead Market | Zendy

Mieko Tanaka-Yamawaki | Zendy; Yumihiko S. Ikura | Zendy

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Tracking the Annual Changes of Statistical Property of a Stock Index in the Arrowhead Market

Author(s) -

Mieko Tanaka-Yamawaki,

Yumihiko S. Ikura

Publication year - 2020

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2020.09.186

Subject(s) - computer science , gaussian , stock market index , index (typography) , stock market , stock (firearms) , financial market , random walk , econometrics , finance , statistics , mathematics , economics , mechanical engineering , paleontology , physics , horse , quantum mechanics , world wide web , engineering , biology

Price fluctuation is a random walk and the resulting statistical distribution is Gaussian. This is the starting point of financial engineering to derive, for example, the Black-Sholes Formula for derivative prices. On the other hand, it is widely known that the real price time series are not Gaussian, and the resulting statistical distribution has ‘fat’ tails at the both tails of the distribution. In order to solve this problem, new knowledge and deep insight are called for. In this article, we report our new discovery in the ultra-high speed transactions of a stock index named TOPIX at every second in the period of 2010-2019.

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