| 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)
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| 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.
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