A research on the market microstructure of financial markets by using high frequency data
| Project/Area Number |
19730159
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Hitotsubashi University |
|---|
Principal Investigator |
MORIMOTO Takayuki Hitotsubashi University, 理工学部, 専任講師 (80402543)
|
|---|
| Project Period (FY) |
2007 – 2010
|
| Project Status |
Completed (Fiscal Year 2010)
|
| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥540,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2007: ¥1,300,000 (Direct Cost: ¥1,300,000)
|
|---|
| Keywords | 市場のミクロ構造ノイズ / 高頻度データ / 実現ボラティリティ / 実現共分散行列 / Lee-Mykland統計量 / 価格変化における飛躍(ジャンプ) / ランダム行列 / Tracy-Widom分布 / 高頻度金融データ / ランダム行列理論 / 市場のミクロ構造 / realized multipower variation / Lee and Mykland(2008)統計量 / 市場への情報流入(ニュース) / Lee and Mykland(2007)統計量 |
|---|
| Research Abstract |
First, I studied jumps in financial markets. To analyze information inflow and its impact on the markets, I covered events such as the attacks of September 11 2001, the open market operations of the Federal Reserve Board, and the Bank of Japan intervention. Second, I studied an efficient technique for removing "market micro structure noise" induced by sampling high-frequency data. It was well-known that the noise caused covariance estimators to be biased. Therefore, I proposed a statistical hypothesis testing to filter the noise by focusing on an asymptotic property of the maximum eigenvalues of random matrices.
|
Report
(6 results)
Research Products
(21 results)
