- 著者
- Kenichi Yoshida Akito Sakurai
- 出版者
- 一般社団法人 人工知能学会
- 雑誌
- 人工知能学会論文誌 (ISSN:13460714)
- 巻号頁・発行日
- vol.30, no.5, pp.683-692, 2015-09-01 (Released:2015-09-15)
- 参考文献数
- 24
- 被引用文献数
- 1
Efficient market hypothesis is widely accepted in financial market studies and entails the unpredictability of future stock prices. In this study, we show that a simple analysis can classify short-term stock price changes with an 82.9% accuracy. Our analysis uses the order book information of high-frequency trading. The volume of high-frequency trading, which is responsible for short-term stock price changes, is increasing dramatically; therefore, our study suggests the importance of analyzing short-term market fluctuations, an aspect that is not well studied in conventional market theories. The experimental results also suggest the importance of the new data representation and analysis methods we propose, neither of which have been thoroughly investigated in conventional financial studies.