SIG-FIN-012-11

第12回研究会

市場急変時における銘柄間情報伝播の変化に関する分析†

著者†

鈴木裕士, 和泉 潔, 吉村 忍（東京大学大学院工学系研究科）

概要†

In this paper, we analyze how the relationship among Nikkei average futures and individual stock changes when a big event occurs, intending to give investors useful information for the risk management. We showed that the strong relationships had appeared after the Great East Japan Earthquake and we could detect them by using order books properly.

論文†

SIG-FIN-012-11.pdf