Statistical inference and model selection for high-frequency financial data
| Project/Area Number |
19K13671
|
|---|
| Research Category |
Grant-in-Aid for Early-Career Scientists
|
| Allocation Type | Multi-year Fund |
|---|
| Review Section |
Basic Section 07030:Economic statistics-related
|
|---|
| Research Institution | Keio University |
|---|
Principal Investigator |
クリネ シモン 慶應義塾大学, 経済学部(三田), 准教授 (70814797)
|
|---|
| Project Period (FY) |
2019-04-01 – 2021-03-31
|
| Project Status |
Discontinued (Fiscal Year 2020)
|
| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2021: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2020: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
|
|---|
| Keywords | High-frequency / microstructure / High-Frequency data / Microstructure noise / Statistical inference / Noise-Robust estimation / Parametric noise / Plug-In estimation / Financial Econometrics / High-frequency data / Statistical Inference / Stochastic Processes |
|---|
| Outline of Research at the Start |
We will focus on novel methods to estimate the structure of high-frequency financial data through three possible axes: a LASSO type estimation method for microstructure noise, efficient estimation of price characteristics, and finally application of those methods to the problem of optimal execution.
|
| Outline of Annual Research Achievements |
The main result for this period is the acceptance for publication of my preprint "Estimation for high-frequency data under parametric market microstructure noise" by the Annals of the Institute of Statistical Mathematics [1]. The original approach using LASSO estimation was replaced by a more direct plug-in method for this project. The final paper is now solid and yields theoretically strong results.
I did not attend any conference due to the coronavirus pandemic.
[1] Estimation for high-frequency data under parametric market microstructure noise, Annals of the Institute of Statistical Mathematics, To appear.
|
Report
(2 results)
Research Products
(5 results)
