Econometric methods for high frequency data
| Project/Area Number |
20K13470
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| Research Category |
Grant-in-Aid for Early-Career Scientists
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| Allocation Type | Multi-year Fund |
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| Review Section |
Basic Section 07030:Economic statistics-related
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| Research Institution | Keio University |
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Principal Investigator |
ポチロン ヨアン 慶應義塾大学, 商学部(三田), 准教授 (60781119)
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| Project Period (FY) |
2020-04-01 – 2024-03-31
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| Project Status |
Granted (Fiscal Year 2022)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2021: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2020: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | econometrics / statistics / finance / market microstructure / volatility / cointegration |
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| Outline of Research at the Start |
We will exhibit limit order book variables that matter for the market microstructure noise. My aim is to explain (almost) fully the market microstructure noise. In other words, the practitioner which has limit order book data at hands, will be able to use this new estimator to estimate more accurately volatility or any other integrated quantity such as high frequency covariance or leverage effect, estimators which are not necessarily robust to noise.
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| Outline of Annual Research Achievements |
The research went well overall. With my coworker Per Mykland, we were able to finalize the project on local estimation. The paper is now published in Journal of Business and Economic Statistics. With my coworker Simon Clinet, we also finished our work related to explaining the market microstructure noise from an econometrics view-point. We were able to publish two new related papers about this project, one in Journal of Business and Economic Statistics and another one in Annals of the Institute of Statistical Mathematics. Finally, we have also completed our project on cointegration with high frequency data, with the publication of a paper in Electronic Journal of Statistics. All of these results have also been presented in seminars, conferences and discussed with leading experts in the field.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
The research is progressing as planned.
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| Strategy for Future Research Activity |
I plan to continue advertising the research by giving seminars, going to conferences and discussing with researchers in this field about this progress.
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Report
(3 results)
Research Products
(6 results)
