研究室紹介


【テクニカル分析に関する論文】
[1] 山田雅章, 鈴木智也:``Bipower Variation を用いた新しいテクニカル指標,'' Technical Analysts Journal, Vol.1, pp.1-9, 優秀賞, 2014. [image]

[2] 鈴木智也, 林大賀:``決定論的非線形予測に基づいた時空間テクニカル分析,'' 電子情報通信学会論文誌A, Vol.J98-A, No.2, pp.237-246, 2015. [PDF]

[3] 小泉洋八, 鈴木智也:``金融市場のジャンプに対する反応を利用したテクニカル売買戦略,'' Technical Analysts Journal, Vol.2, pp.1-11, 優秀賞, 2015. [image]

[4] 鈴木智也, 成松優:``突発的な裁定機会を利用した共和分ペアトレーディング,'' Technical Analysts Journal, Vol.2, pp.12-22, 2015. [image]

[5] Tomoya Suzuki, Yushi Ohkura:``Financial Technical Indicator Based on Chaotic Bagging Predictors for Adaptive Stock Selection in Japanese and American Markets,'' Physica A, Vol.442, pp.50-66, 2016. [html] 【おそらくテクニカル分析が物理学として扱われる初めての論文です】



【ポートフォリオ理論に関する論文】
[1] 猪瀬悟史, 鈴木智也:``ポートフォリオ構築問題における非線形時系列予測モデルの活用,'' 電子情報通信学会論文誌A, Vol.J96-A, No.7, pp.410-422, 2013. [html]

[2] Inose Satoshi, Tomoya Suzuki, Kazuo Yamanaka:``Nonlinear Portfolio Model and its Rebalance Strategy,'' Nonlinear Theory and Its Applications, IEICE,Vol.4,No.4,pp.351-364, 2013. [html]

[3] Kai Morimoto, Masahiro Saito, Satoshi Inose, Atsushi Kannari, Tomoya Suzuki:``Application of the Principal Components Analysis to the Nonlinear Portfolio Model,'' Journal of Signal Processing, Vol.18, No.4, pp.177-180, 2014. [PDF]

[4] Tomoya Suzuki, Kiyoharu Tanaka:``Mean-Variance Portfolio Model Modified by Nonlinear Bagging Predictors,'' Journal of Signal Processing, Vol.18, No.6, pp.283-290, 2014. [PDF]



【主要な研究論文】
[1] Tomoya Suzuki, Tohru Ikeguchi, Masuo Suzuki:``A Model of Complex Behavior of Interbank Exchange Markets,'' Physica A, Vol.337, pp.196-218, 2004. [PDF]

[2] Tomoya Suzuki, Tohru Ikeguchi, Masuo Suzuki:``Effect of Data Windows on the Models of Surrogate Data,'' Physical Review E, Vol.71, 056708, 2005. [PDF]

[3] Tomoya Suzuki, Tohru Ikeguchi, Masuo Suzuki:``Evaluating nonlinearity and validity of nonlinear modeling for complex time series,'' Physical Review E, Vol.76, No.4, 046202, 2007. [PDF]

[4] Tomoya Suzuki, Yuta Ueoka, Haruki Sato:``Estimating Structure of Multivariate Systems with Genetic Algorithms for Nonlinear Prediction,'' Physical Review E, Vol.80, No.6, 066208, 2009. [PDF]

[5] Tomoya Suzuki:``Appropriate Time Scales for Nonlinear Analyses of Deterministic Jump Systems,'' Physical Review E, Vol.83, No.6, 066203, 2011. [html]

[6] Tomoya Suzuki, Kazuya Nakata:
``Risk Reduction for Nonlinear Prediction and its Application to the Surrogate Data Test,'' Physica D, Vol.266, No.1, pp.1-82, 2014. [html]



【その他,いろいろ】
研究内容については隣のリンクや 大学の研究者総覧をご参照ください.

Go to the presentation at IFTA2013 : Spatiotemporal Technical Analysis by T.Suzuki
日本語版は
こちらです.

  ↑ We propose a new technical analysis based on the deterministic prediction theory like chaos. As you know, chaos theory used to be a hot topic in physics and economics, but the boom is almost over. Still, its prediction theory is really simple and can realize the highest level class of prediction models as a nonlinear-multivariate regression. Moreover, it is very familiar with technical analysis because it can be generalized as a formation analysis.
   To compose my theory, there are some key ideas to improve prediction accuracy by following the majority decision and to select profitable investment targets in terms of better prediction accuracy. These whole ideas were named "spatiotemporal technical analysis" because the chaos prediction uses local neighbors in a state space to follow the same formation pattern.
Finally, as applications, our theory can be used for the Bollinger bands and for the portfolio theory. This is presented at IFTA2013 conference in San Francisco.







  ↑ 複雑怪奇な自然現象(=時系列データ)に隠れたルールを発見し, 未来の動きを予測する

















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