| Project/Area Number |
20K13470
|
|---|
| 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 |
Potiron Yoann 慶應義塾大学, 商学部(三田), 准教授 (60781119)
|
|---|
| Project Period (FY) |
2020-04-01 – 2024-03-31
|
| Project Status |
Completed (Fiscal Year 2023)
|
| 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)
|
|---|
| Keywords | financial econometrics / econometrics / statistics / finance / market microstructure / volatility / cointegration |
|---|
| 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.
|
| Outline of Final Research Achievements |
The research went well overall. All of the results obtained during the previous years have been presented in seminars, conferences and discussed with leading experts in the fields. We had a good feedback about our research, and some drawbacks in our approach to consider to improve the future of research.
|
| Academic Significance and Societal Importance of the Research Achievements |
High frequency financial econometrics is very useful for making predictions about the stock market, and also more generally to understand key macroeconomic ariables related to a specific country, such as inflation rate in Japan.
|
