統計学輪講（第１０回）

日時    2004年 6月 1日(火)　15時〜16時40分
場所    経済学部新棟３階第３教室
講演者  Prof. Glenn Shafer(Rutgers University)
演題    Residual Information Criterion For Single-Index Model Selections(文献紹介)
概要：
The returns from a traded security typically have the order of
magnitude proportional to the square root of the time increment.  This
can be explained by the absence of opportunities for making money
without risking bankruptcy.  Any different order of magnitude would
permit a speculator to make money using a simple momentum or
contrarian strategy.

Reference: “A game-theoretic explanation of the sqrt(dt) effect”, by
Vladimir Vovk and Glenn Shafer.  
Working Paper #5 at www.probabilityandfinance.com.

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Tokyo University