Art

J-GLOBAL ID：201502220009194142   Reference number：15A1070955

Short-term Stock Price Analysis Based on Order Book Information

注文控え元帳情報に基づく短期株価解析

Author (2)： YOSHIDA Kenichi (Graduate School of Business Sci., Univ. of Tsukuba, JPN) ,  SAKURAI Akito (Graduate School of Sci. and Technol., Keio Univ., JPN)
Material： 人工知能学会論文誌(Web)  (TJSAI (Web))
Volume： 30  Issue： 5  Page： 683-692 (J-STAGE)  Publication year： 2015 
JST Material Number： U0128A  ISSN： 1346-8030  Document type： Article
Article type： 原著論文  Country of issue： Japan (JPN)  Language： ENGLISH (EN)

Thesaurus term： *stock market ,  *price ,  transaction ,  evaluation test ,  accuracy ,  prediction technique ,  *economic forecast ,  *share price ,  forecasting stock price ,  prediction accuracy
Semi thesaurus term： 株式変動 ,  高頻度取引 ,  短期株価 ,  classification accuracy ,  予測不能性

JST classification (2)： Profit management  (KA05030A) ,  Industrial economy  (KA02000Y)

Reference (24)：

• [Basu 77] Basu,S.: Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, The Journal of Finance, Vol.32, No.3, pp.663-682 (1977)
• [Beltran-Lopez 12] Beltran-Lopez,H., Grammig,J., and Menkveld,A.J.: Limit order books and trade informativeness, The European Journal of Finance, Vol.18, No.9, pp.737-759 (2012)
• [Bollen 11] Bollen,J., Mao,H., and Zeng,X.: Twitter mood predicts the stock market, Journal of Computational Science, Vol.2, No.1, pp.1-8 (2011)
• [Box 13] Box,G.E., Jenkins,G.M., and Reinsel,G.C.: Time Series Analysis: Forecasting and Control, John Wiley & Sons (2013)
• [Champernowne 48] Champernowne,D.: Sampling theory applied to autoregressive sequences, Journal of the Royal Statistical Society. Series B (Methodological), Vol.10, No.2, pp.204-242 (1948)

Terms in the title (5)： 注文 ,  控え ,  短期 ,  株価 ,  解析