- 著者
- Hayato Kijima Hideyuki Takada Takayuki Tomiya
- 出版者
- システム制御情報学会ストカスティックシステムシンポジウム
- 雑誌
- Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)
- 巻号頁・発行日
- vol.2016, pp.181-188, 2016-05-13 (Released:2016-10-31)
- 参考文献数
- 10
We propose a stochastic filtering model for Limit Order Book (LOB) where the signal process obeys the stochastic differential equation (SDE) whose trend function depend on the history of the LOB in such a way as to reflect the predicted direction of the mid price movement via the Support Vector Machine (SVM). Stochastic dynamics of the LOB is modeled with a queuing system where incoming orders and cancellations of existing orders arrive according to conditionally independent Poisson processes. Finally, numerical example with Nikkei 225 futures are presented.
- 著者
- Yoshio Sakurauchi Hideyuki Takada
- 出版者
- 一般社団法人情報処理学会
- 雑誌
- 情報処理学会論文誌 (ISSN:03875806)
- 巻号頁・発行日
- vol.55, no.1, 2014-01-15
Recently user-generated content (UGC) has become major content of the Web and one of the most important factors of UGC is who has generated it. Even if the same information is disseminated, its credibility is different according to its author. Typically, authors are characterized by reputation systems. Although cloud computing enables both information dissemination and reputation aggregation with scalability, it is better to minimize the use of clouds due to cost problems. In this paper, we propose to apply the circular board method based on Chord to user centric media to disseminate information and aggregate reputation efficiently in a P2P manner. Its ring topology makes it possible to effectively collect the reputation from users at the same time when each piece of UGC passes through user terminals. The results of simulations reveal the feasibility of P2P information dissemination and reputation aggregation and provide insights about trade-offs between network resource consumed and time required for information dissemination and reputation aggregation.------------------------------This is a preprint of an article intended for publication Journal ofInformation Processing(JIP). This preprint should not be cited. Thisarticle should be cited as: Journal of Information Processing Vol.22(2014) No.1 (online)DOI http://dx.doi.org/10.2197/ipsjjip.22.30------------------------------