A study on the causal effect from investment behavior to price fluctuation focusing on risk premium components
| Project/Area Number |
22530324
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Meiji University |
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Principal Investigator |
INUI Koji 明治大学, 総合数理学部, 教授 (60359825)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2010: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
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| Keywords | 金融論 / 金融工学 / 行動ファイナンス マーケットマイクロストラクチャー / マーケットマイクロストラクチャー / 取引コスト / ティックデータ / 行動ファイナンス / マイクロストラクチャー |
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| Research Abstract |
In this study, we investigate whether the high-speed trading system have improved market efficiency or not by analyzing with more than 2 year tick data set which is detailed trading data recorded 1/1000 sec time stamp. We mainly focused on index related trades which are actively traded by hedge funds and professional traders, and we presented empirical results showing that trading speed-up could not necessarily have improved market efficiency
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Report
(4 results)
Research Products
(13 results)
