DEVICE, METHOD, AND SYSTEM FOR SUPPORTING ARBITRAGE TRANSACTIONS

• Main Authors: ARNAB CHAKRABARTI, YAMAOKA MASANAO, OKUYAMA TAKUYA, SUGITA YUSUKE
• Format: Patent
• Language: English; Japanese
• Published: 17.01.2022
• Subjects: CALCULATING; COMPUTING; COUNTING; DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES; PHYSICS; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR

To provide a device, a method, and a system for supporting arbitrage transactions capable of executing statistical arbitrage transactions in consideration of a plurality of constraint conditions at high speed.SOLUTION: An arbitrage transactions support device 100 includes: a storage unit 101 for holding an Ising model that describes a spin for expressing acceptance/rejection of a financial product as a sales target and the number of buy and sell orders of the financial product with constraint conditions related to cointegration properties of a set of financial products and transactions conditions of each financial product being premises; and an arithmetic unit 104 for specifying the financial product to be bought and sold and the number of buy and sell orders of the financial product by searching a ground state of the Ising model.SELECTED DRAWING: Figure 2 【課題】複数の制約条件を考慮した統計的裁定取引を高速に実行可能とする裁定取引支援装置、裁定取引支援方法及び裁定取引支援システムを提供する。【解決手段】裁定取引支援装置１００において、金融商品の組の共和分性および各金融商品の取引条件に関する制約条件を前提とし、売買対象としての金融商品の採否および当該金融商品の売買注文数をそれぞれ表現するスピンを記述したイジングモデルを保持した記憶部１０１と、前記イジングモデルの基底状態を探索することで、売買対象となる金融商品および当該金融商品の売買注文数を特定する演算部１０４を含む。【選択図】図２