2 papers
q-fin.TR2014
Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange
Mitsuaki Murota, Jun-ichi Inoue
We carry out a large-scale empirical data analysis to examine the efficiency of the so-called pairs trading. On the basis of relevant three thresholds, namely, starting, profit-tak…
q-fin.TR2013
Characterizing financial crisis by means of the three states random field Ising model
Mitsuaki Murota, Jun-ichi Inoue
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stoc…