CHANGE DETECTION OF ORDERS IN STOCK MARKETS USING A GAUSSIAN MIXTURE MODEL

被引：8

作者：

Miyazaki, Bungo ^{[1
]}

Izumi, Kiyoshi ^{[1
,2
]}

Toriumi, Fujio ^{[1
]}

Takahashi, Ryo ^{[3
]}

机构：

[1] Univ Tokyo, Bunkyo Ku, Tokyo, Japan

[2] CREST, JST, Chiyoda Ku, Tokyo, Japan

[3] Japan Exchange Grp Inc, Chuo Ku, Tokyo, Japan

来源：

INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT | 2014年 / 21卷 / 03期

关键词：

Gaussian mixture model; stock market; order book; insider trading; change detection;

D O I：

10.1002/isaf.1356

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a method for detecting changes in the order balance in stock markets by applying a stochastic model to the feature vectors extracted from the order-book data of stocks. First, the data are divided into training and test periods. Next, a Gaussian mixture model is estimated from the feature vectors extracted from the order-book data in the training period. Finally, the goodness of fit of the feature vectors in the test period over this model is calculated. Using the proposed method, we found that the order balances of stocks for which insider trading was reported were unusual. Copyright (C) 2014 John Wiley & Sons, Ltd.

引用

页码：169 / 191

页数：23

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