- 著者
-
落合 友四郎
ナチェル ホセ
- 出版者
- 一般社団法人 人工知能学会
- 雑誌
- 人工知能学会第二種研究会資料 (ISSN:24365556)
- 巻号頁・発行日
- vol.2015, no.FIN-014, pp.05, 2015-01-21 (Released:2023-01-12)
Recent financial crises have shown the importance of determining the directionality of the in uence between financial assets in order to identify the origin of market unstabilities. Here, we analyze the correlation between Japan's Nikkei stock average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metrics. The asymmetric feature of the metrics reveals which asset is more in uential than the other. As a result, this method allows us to unveil the directionality of correlation effect, which could not be observed from the standard correlation analysis. Furthemore, we present a theoretical model that reproduces the results observed in empirical analysis.