{"created":"2023-06-19T07:10:32.427126+00:00","id":1033,"links":{},"metadata":{"_buckets":{"deposit":"1faedb01-aa88-4c18-9855-7b10ead470ee"},"_deposit":{"created_by":12,"id":"1033","owners":[12],"pid":{"revision_id":0,"type":"depid","value":"1033"},"status":"published"},"_oai":{"id":"oai:kurume.repo.nii.ac.jp:00001033","sets":["12:34:193"]},"author_link":["847"],"item_3_alternative_title_1":{"attribute_name":"その他（別言語等）のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"株価ティックデータの統計特性について(その2)"}]},"item_3_biblio_info_5":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2004-12-25","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3","bibliographicPageEnd":"398","bibliographicPageStart":"381","bibliographicVolumeNumber":"45","bibliographic_titles":[{"bibliographic_title":"産業経済研究"},{"bibliographic_title":"The journal of the Society for studies on Industrial Economies","bibliographic_titleLang":"en"}]}]},"item_3_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"In this paper, we explore some statistical properties of log returns by using the tick data set of the share market. We confirm the aggregation effect as the sampling time interval increases. And we also study the tail behavior of the distribution of log returns with a different sampling time interval. It shows that tail behavior of return distribution is much closer to student t distribution than normal distribution. And the calculation results show that there are also seasonal patterns in the tick data set.","subitem_description_type":"Abstract"}]},"item_3_publisher_6":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"久留米大学産業経済研究会"}]},"item_3_relation_9":{"attribute_name":"論文ID（NAID）","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"110006424893","subitem_relation_type_select":"NAID"}}]},"item_3_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0389-7044","subitem_source_identifier_type":"ISSN"}]},"item_3_source_id_8":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00098567","subitem_source_identifier_type":"NCID"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"譚, 康融"},{"creatorName":"タン, コウユウ","creatorNameLang":"ja-Kana"},{"creatorName":"Tan, Kangrong","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"847","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"70368968","nameIdentifierScheme":"e-Rad","nameIdentifierURI":"https://kaken.nii.ac.jp/ja/search/?qm=70368968"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2020-02-14"}],"displaytype":"detail","filename":"Sanken45_3_381-398.pdf","filesize":[{"value":"498.5 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"本文（Article）","url":"https://kurume.repo.nii.ac.jp/record/1033/files/Sanken45_3_381-398.pdf"},"version_id":"ce519083-d80d-427a-a25e-860072769caa"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Tick data set","subitem_subject_scheme":"Other"},{"subitem_subject":"log returns","subitem_subject_scheme":"Other"},{"subitem_subject":"intraday trading","subitem_subject_scheme":"Other"},{"subitem_subject":"aggregation effect","subitem_subject_scheme":"Other"},{"subitem_subject":"evolution of returns distribution","subitem_subject_scheme":"Other"},{"subitem_subject":"tail behavior","subitem_subject_scheme":"Other"},{"subitem_subject":"Hill estimator","subitem_subject_scheme":"Other"},{"subitem_subject":"seasonality","subitem_subject_scheme":"Other"},{"subitem_subject":"trading volume","subitem_subject_scheme":"Other"},{"subitem_subject":"Tick data set","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"log returns","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"intraday trading","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"aggregation effect","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"evolution of returns distribution","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"tail behavior","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Hill estimator","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"seasonality","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"trading volume","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Some Statistical Properties of Tick Data Set (Part II)","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Some Statistical Properties of Tick Data Set (Part II)"}]},"item_type_id":"3","owner":"12","path":["193"],"pubdate":{"attribute_name":"公開日","attribute_value":"2020-02-14"},"publish_date":"2020-02-14","publish_status":"0","recid":"1033","relation_version_is_last":true,"title":["Some Statistical Properties of Tick Data Set (Part II)"],"weko_creator_id":"12","weko_shared_id":12},"updated":"2023-06-19T07:49:38.628804+00:00"}