{"id":"https://openalex.org/W2102532242","doi":"https://doi.org/10.1109/cifer.2003.1196266","title":"Arbitrage chances and the non-Gaussian features of financial data","display_name":"Arbitrage chances and the non-Gaussian features of financial data","publication_year":2003,"publication_date":"2003-12-22","ids":{"openalex":"https://openalex.org/W2102532242","doi":"https://doi.org/10.1109/cifer.2003.1196266","mag":"2102532242"},"language":"en","primary_location":{"id":"doi:10.1109/cifer.2003.1196266","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2003.1196266","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5039395422","display_name":"Mieko Tanaka-Yamawaki","orcid":"https://orcid.org/0000-0002-3494-1605"},"institutions":[{"id":"https://openalex.org/I118574687","display_name":"University of Miyazaki","ror":"https://ror.org/0447kww10","country_code":"JP","type":"education","lineage":["https://openalex.org/I118574687"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"M. Tanaka-Yamawaki","raw_affiliation_strings":["Department of Computer Science and Systems Engineering, Miyazaki University, Miyazaki, Japan","Dept. of Comput. Sci. & Syst. Eng., Miyazaki Univ., Japan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Systems Engineering, Miyazaki University, Miyazaki, Japan","institution_ids":["https://openalex.org/I118574687"]},{"raw_affiliation_string":"Dept. of Comput. Sci. & Syst. Eng., Miyazaki Univ., Japan","institution_ids":["https://openalex.org/I118574687"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016504312","display_name":"Soichi Komaki","orcid":"https://orcid.org/0000-0003-4946-2313"},"institutions":[{"id":"https://openalex.org/I118574687","display_name":"University of Miyazaki","ror":"https://ror.org/0447kww10","country_code":"JP","type":"education","lineage":["https://openalex.org/I118574687"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"S. Komaki","raw_affiliation_strings":["Department of Computer Science and Systems Engineering, Miyazaki University, Miyazaki, Japan","Dept. of Comput. Sci. & Syst. Eng., Miyazaki Univ., Japan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Systems Engineering, Miyazaki University, Miyazaki, Japan","institution_ids":["https://openalex.org/I118574687"]},{"raw_affiliation_string":"Dept. of Comput. Sci. & Syst. Eng., Miyazaki Univ., Japan","institution_ids":["https://openalex.org/I118574687"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5002293904","display_name":"T. Itabashi","orcid":null},"institutions":[{"id":"https://openalex.org/I118574687","display_name":"University of Miyazaki","ror":"https://ror.org/0447kww10","country_code":"JP","type":"education","lineage":["https://openalex.org/I118574687"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"T. Itabashi","raw_affiliation_strings":["Department of Computer Science and Systems Engineering, Miyazaki University, Miyazaki, Japan","Dept. of Comput. Sci. & Syst. Eng., Miyazaki Univ., Japan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Systems Engineering, Miyazaki University, Miyazaki, Japan","institution_ids":["https://openalex.org/I118574687"]},{"raw_affiliation_string":"Dept. of Comput. Sci. & Syst. Eng., Miyazaki Univ., Japan","institution_ids":["https://openalex.org/I118574687"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5039395422"],"corresponding_institution_ids":["https://openalex.org/I118574687"],"apc_list":null,"apc_paid":null,"fwci":0.781,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.83403168,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"1900","issue":null,"first_page":"237","last_page":"242"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9955000281333923,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9879000186920166,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/random-walk","display_name":"Random walk","score":0.5099297761917114},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.5052297711372375},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5025086402893066},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.47943443059921265},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.4475925862789154},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.44616031646728516},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.39029520750045776},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.35770511627197266},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3351480960845947},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2701502740383148},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.25512540340423584},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10988649725914001}],"concepts":[{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.5099297761917114},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5052297711372375},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5025086402893066},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.47943443059921265},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.4475925862789154},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.44616031646728516},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.39029520750045776},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.35770511627197266},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3351480960845947},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2701502740383148},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.25512540340423584},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10988649725914001},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cifer.2003.1196266","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2003.1196266","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":4,"referenced_works":["https://openalex.org/W2052731693","https://openalex.org/W2085125074","https://openalex.org/W2113687945","https://openalex.org/W2144515819"],"related_works":["https://openalex.org/W1597743604","https://openalex.org/W2038723108","https://openalex.org/W3124616626","https://openalex.org/W3125573662","https://openalex.org/W3140311013","https://openalex.org/W3123672265","https://openalex.org/W4231412345","https://openalex.org/W3125739650","https://openalex.org/W2033630974","https://openalex.org/W3123661710"],"abstract_inverted_index":{"Although":[0],"financial":[1,56],"time":[2,57],"series":[3,58],"can":[4],"be":[5],"viewed":[6],"as":[7,90],"the":[8,12,27,55,97,103,107,112],"random":[9],"walk":[10],"for":[11],"first":[13],"approximation,":[14],"there":[15],"are":[16,35],"many":[17],"evidences":[18],"to":[19],"show":[20],"deviations":[21],"from":[22],"such":[23,89],"simple":[24],"view.":[25],"First,":[26],"empirical":[28],"probability":[29,113],"density":[30,114],"distributions":[31],"of":[32,62,69,79,99,116],"price":[33,117],"increments":[34],"not":[36],"Gaussian,":[37],"but":[38],"have":[39,73],"fat":[40],"tails.":[41],"Second,":[42],"tick-wise":[43,104],"motions":[44],"exhibit":[45],"certain":[46],"patterns.":[47],"Based":[48],"on":[49],"those":[50],"observations":[51],"we":[52],"presume":[53],"that":[54],"carry":[59],"finite":[60],"length":[61,98],"memory,":[63],"which":[64],"suggest":[65],"us":[66],"a":[67],"possibility":[68],"short-term":[70],"prediction.":[71],"We":[72],"examined":[74],"large":[75],"sized":[76],"tick":[77],"data":[78],"multiple":[80],"currency":[81],"exchange":[82],"rates":[83],"and":[84,106],"found":[85],"various":[86],"interesting":[87],"features":[88],"arbitrage":[91],"chances":[92],"observed":[93,101,110],"in":[94,102,111],"triangular":[95],"trades,":[96],"memory":[100],"data,":[105],"scaling":[108],"property":[109],"distribution":[115],"increments.":[118]},"counts_by_year":[{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
