{"updated":"2025-01-19T19:59:24.298570+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00205115","sets":["6504:10247:10256"]},"path":["10256"],"owner":"6748","recid":"205115","title":["ボラティリティー変化における転換点予測のためのモデル"],"pubdate":{"attribute_name":"公開日","attribute_value":"2020-02-20"},"_buckets":{"deposit":"dfd2ad5a-e08c-452d-ac68-a98446ac498a"},"_deposit":{"id":"205115","pid":{"type":"depid","value":"205115","revision_id":0},"owners":[6748],"status":"published","created_by":6748},"item_title":"ボラティリティー変化における転換点予測のためのモデル","author_link":["508811"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"ボラティリティー変化における転換点予測のためのモデル"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"ソフトウェア科学・工学","subitem_subject_scheme":"Other"}]},"item_type_id":"22","publish_date":"2020-02-20","item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_22_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"放送大"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/205115/files/IPSJ-Z82-5M-07.pdf","label":"IPSJ-Z82-5M-07.pdf"},"date":[{"dateType":"Available","dateValue":"2020-06-19"}],"format":"application/pdf","filename":"IPSJ-Z82-5M-07.pdf","filesize":[{"value":"415.9 kB"}],"mimetype":"application/pdf","accessrole":"open_date","version_id":"f45c685a-08c8-45af-ab95-45f6ca0ba0aa","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2020 by the Information Processing Society of Japan"}]},"item_22_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"中村, 功"}],"nameIdentifiers":[{}]}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_5794","resourcetype":"conference paper"}]},"item_22_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00349328","subitem_source_identifier_type":"NCID"}]},"item_22_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"　本研究は、デルタニュートラル戦略で利益をあげる投資手法を実現することを目的としている。将来のボラティリティの転換点を精度よく予測できれば、デルタニュートラル戦略で確実に収益をあげることができる。　本研究は、日経ボラティリティインデックスおよび、日経225先物出来高に離散ウェーブレット変換を施し解像度変換した後、LSTM－RNNモデルにより、将来のボラティリティの予測を行う手法を取る。予測結果から将来のボラティリティ転換点を求めた後、投資期間を設定し、デルタニュートラル戦略をあてはめ、投資収益を狙う。得られた投資収益と勝率により、手法の精度評価を行う。","subitem_description_type":"Other"}]},"item_22_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"320","bibliographic_titles":[{"bibliographic_title":"第82回全国大会講演論文集"}],"bibliographicPageStart":"319","bibliographicIssueDates":{"bibliographicIssueDate":"2020-02-20","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicVolumeNumber":"2020"}]},"relation_version_is_last":true,"weko_creator_id":"6748"},"created":"2025-01-19T01:07:17.444108+00:00","id":205115,"links":{}}