Kentaro Imajo (@imos) 2016 3 21
1. 2. 3. 2 4. 5. 6. 7. 8.
2% 8% 1
CFD 24 ETF ETN REIT
0.27 25
5890 5887
1321 2 1570-2 1357 VI 2035 2 2040
1 9 11 12 15 24
e.g. X e.g. X
0.8 1980 2003
100 6 10% 64 6 10% 10%
98% +1% 2% -40% +1% -40% 1.01 50 *0.6<1 80% 12% 20% -33%
1 100 1 125 1 80 100 102.5 5 112.5
1 100 1 125 1 80 1 1.25 X (X<1) 1/X 1/1.25(=0.8) X 0.8
100 80 125 102.5 125 80 (125+80)/2(=102.5)
100 5 80 125 112.5 125 80 (225+0)/2(=112.5) 102.5
2 1 2 0.5 2 0.5 (0.5, 1 ) (1, 2 )
0.5 1 2
10 50% 0% 50% 211% 10% 1 0 0 %
7% +4.1% 25% 1.2 +4.2% +8.4% 7% +5% 1.5 +5.4% +10.4%
exp(-t 2 ) pips 1
60 0.06±0.001
k-means 60 0.08±0.001 1000 5000 1/100 1/8
1 k-means
Q
: 2010 2014 X UTC Y
: 2014 X Y
: 2014 X Y
: 2001 2015
: 2014
: 2001 2014
0 7 8 63 64 255 ( - ) 1
1000-1 0 1 50 Q 10
50 Q 0
Q 24 2012
MacBook Pro Amazon EC2 c4.8xlarge 36 CPU, 132 GB RAM 0.30 /
C++11 std::thread (e.g. Price, PriceSum, PriceDifference)
OANDA 1 1
UFJ 0.01% 0.2% 0.19% 0.5%
NZ 2.7% DMM NZ 1.7% 0.5% 10 5%
0.001% 365 0.8% 0.4%
1 : SBI
: SBI
1