MARKETPLACE RISK PREDICTION DEVICE, MARKETPLACE RISK PREDICTION METHOD, AND MARKETPLACE RISK PREDICTION PROGRAM

摘要

PROBLEM TO BE SOLVED: To select a probability process model with the best interpret-ability in accordance with a predetermined evaluation criterion from among plural probability process models describing the variation of a market price and predict marketplace risks down to plural temporal points using the selected probability process model.SOLUTION: A marketplace risk prediction device performs: determining a parameter of plural probability process models while changing the numbers of samples for past time-series data, and temporal points of parameter calculation reference thereof; calculating a prediction value on the basis of each probability process model, for each of the number of samples, each of temporal points of parameter calculation reference and each of confidence periods, using the determined parameter; comparing the past time-series data with the prediction value based on the probability process model for each respective coincident temporal point to evaluate a degree of mutual agreeableness, where the evaluation is performed in combination of two evaluation methods; selecting a combination of the probability process model, the number of samples and the confidence period, the combination with the best agreeableness to thereby predict a future marketplace risk using the selected combination.