Large-scale financial data analysis using the super-efficient database for ultra high-frequency financial data

• Project/Area Number: 23653081
• Research Category: Grant-in-Aid for Challenging Exploratory Research
• Allocation Type: Multi-year Fund
• Research Field: Public finance/Monetary economics
• Research Institution: Nagasaki University
• Principal Investigator: MORIYASU Hiroshi 長崎大学, 経済学部, 教授 (10304924)
• Co-Investigator(Kenkyū-buntansha): FURUKAWA Tetsuya 九州大学, 経済学研究科(研究院), 教授 (00209165)
• Project Period (FY): 2011 – 2013
• Project Status: Completed (Fiscal Year 2013)
• Budget Amount: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000); Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
• Keywords: ファイナンス / マーケットマイクロストラクチャー / 金融論

Research Abstract

I constructed the database for ultra high-frequency financial data with which we can access financial data with low-latency. Also, I developed the compression algorithms for tick-by-tick financial data. The database was used for the following empirical analysis: the relationship between algorithm trading and stock liquidity, impact of public disclosure on intraday stock price formation, and effect of stock option grants on managerial risk taking.

Research Products

• [Journal Article] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Journal Title: Proceedings of the 1st Paris Financial Management Conference
  • Peer Reviewed
• [Journal Article] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Journal Title: Proceedings of Asian Financial Association 2013 Annual Conference
  • Peer Reviewed
• [Journal Article] The Role of Algorithmic Trading in Stock Liquidity : Evidence from Tokyo Stock Exchange (2013)
  • Author(s): H. Moriyasu, M. Wee, and J. Yu
  • Journal Title: Proceedings of FMA Asia
  • Peer Reviewed
• [Journal Article] Volatility and public information flows : evidence from disclosure and media coverage in the Japanese stock market (2012)
  • Author(s): H. Aman and H. Moriyasu
  • Journal Title: Proceedings of Southwestern Finance Association 51st Annual Meeting
  • Peer Reviewed
• [Journal Article] 日経225先物の価格発見―大阪証券取引所とシンガポール取引所からの証左― (2012)
  • Author(s): 森保洋
  • Journal Title: 東南アジア研究年報 Volume: 54 Pages: 53-69
  • NAID: 110009558739
• [Presentation] Why Firms Adopt Good Governance Practices? Evidence from Stock Option Adoptions in Japan (2014)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Organizer: Asian Finance Association 2014 Conference
  • Place of Presentation: Bali, Indonesia
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity: Evidence from Tokyo Stock Exchange (2014)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: Asian Finance Association 2014 Conference
  • Place of Presentation: Bali, Indonesia
• [Presentation] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Organizer: 1st Paris Financial Management Conference
  • Place of Presentation: IPAG Business School, Paris (France)
  • Year and Date: 2013-12-17
• [Presentation] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Organizer: 日本経営財務研究学会第37回全国大会
  • Place of Presentation: 兵庫県立大学 (兵庫県神戸市)
  • Year and Date: 2013-10-05
• [Presentation] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: Asian Financial Association 2013 Annual Conference
  • Place of Presentation: Nanchang, Jiangxi, China
  • Year and Date: 2013-07-17
• [Presentation] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): Nanchang, Jiangxi, China
  • Organizer: 日本経済学会2013年度春期大会
  • Place of Presentation: 富山大学(富山県富山市)
  • Year and Date: 2013-06-22
• [Presentation] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: 日本ファイナンス学会第20回大会
  • Place of Presentation: 武蔵大学(東京都練馬区)
  • Year and Date: 2013-06-01
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity : Evidence from Tokyo Stock Exchange (2013)
  • Author(s): H. Moriyasu, M. Wee, and J. Yu
  • Organizer: FMA Asia 2013
  • Place of Presentation: Fudan University, Shanghai, China
  • Year and Date: 2013-04-13
• [Presentation] Mass Media Effects on Stock Market Liquidity : Television Broadcasting Evidence from Japan (2013)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: Midwest Finance Association
  • Place of Presentation: Westin Chicago River North Hotel, Chicago, IL, USA
  • Year and Date: 2013-03-13
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity: Evidence from Tokyo Stock Exchange (2013)
  • Author(s): H. Moriyasu, M. Wee, and J. Yu
  • Organizer: FMA Asia 2013
  • Place of Presentation: Fudan University, Shanghai, China
• [Presentation] Mass media effects on stock market liquidity: Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: 日本ファイナンス学会第20回大会
  • Place of Presentation: 武蔵大学（東京都練馬区）
• [Presentation] Mass media effects on stock market liquidity: Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: 日本経済学会2013年度春期大会
  • Place of Presentation: 富山大学（富山県富山市）
• [Presentation] Mass media effects on stock market liquidity: Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: Asian Financial Association 2013 Annual Conference
  • Place of Presentation: Nanchang, Jiangxi, China
• [Presentation] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Organizer: 日本経営財務研究学会第37回全国大会
  • Place of Presentation: 兵庫県立大学 (兵庫県神戸市）
• [Presentation] Mass Media Effects on Stock Market Liquidity: Television Broadcasting Evidence from Japan (2013)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: Midwest Finance Association
  • Place of Presentation: Westin Chicago River North Hotel, Chicago, IL, USA
• [Presentation] Mass Media Effects on Stock Market Liquidity : Television Broadcasting Evidence from Japan (2012)
  • Author(s): Westin Chicago River North Hotel, Chicago, IL, USA
  • Organizer: ITS Biennial Conference
  • Place of Presentation: Plaza Athene Bangkok, Bangkok, THAILAND
  • Year and Date: 2012-11-21
• [Presentation] Mass Media Effects on Stock Market Liquidity : Television Broadcasting Evidence from Japan (2012)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: Asian Academic Accounting Association
  • Place of Presentation: Kyoto University, JAPAN
  • Year and Date: 2012-11-10
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity : Evidence from Tokyo Stock Exchange (2012)
  • Author(s): Hiroshi Moriyasu, Marvin Wee, and Jing Yu
  • Organizer: Annual conference of Financial Integrity Network
  • Place of Presentation: Hobart, Tasmania, AUSTRALIA
  • Year and Date: 2012-11-10
• [Presentation] Do stock option grants induce managerial risk taking? Evidence from Japan (2012)
  • Author(s): Hiroshi Moriyasu and Konari Uchida
  • Organizer: 2012 Asian Finance Association and Taiwan Finance Association Joint Conference
  • Place of Presentation: Taipei, TAIWAN
  • Year and Date: 2012-07-08
• [Presentation] Do stock option grants induce managerial risk taking? Evidence from Japan (2012)
  • Author(s): Hiroshi Moriyasu and Konari Uchida
  • Organizer: 29th GdRE Annual International Symposium on Money, Banking and Finance
  • Place of Presentation: University of Nantes, Nantes, FRANCE
  • Year and Date: 2012-06-29
• [Presentation] Do stock option grants induce managerial risk taking? Evidence from Japan (2012)
  • Author(s): Hiroshi Moriyasu and Konari Uchida
  • Organizer: IFABS 2012 Conference
  • Place of Presentation: Fundacion Universidad Empresa, Valencia, SPAIN
  • Year and Date: 2012-06-19
• [Presentation] Volatility and public information flows : Evidence from disclosure and media coverage in the Japanese stock market (2012)
  • Author(s): 阿萬弘行, 森保洋
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 一橋大学大学院ICS一ツ橋キャンパス
  • Year and Date: 2012-05-26
• [Presentation] Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market (2012)
  • Author(s): 阿萬弘行、森保洋
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 一橋大学大学院ICS一ツ橋キャンパス
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity: Evidence from Tokyo Stock Exchange (2012)
  • Author(s): Hiroshi Moriyasu, Marvin Wee, and Jing Yu
  • Organizer: Annual conference of Financial Integrity Network
  • Place of Presentation: Hobart, Tasmania, AUSTRALIA
• [Presentation] Mass Media Effects on Stock Market Liquidity: Television Broadcasting Evidence from Japan (2012)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: Asian Academic Accounting Association
  • Place of Presentation: Kyoto University, JAPAN
• [Presentation] Mass Media Effects on Stock Market Liquidity: Television Broadcasting Evidence from Japan (2012)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: ITS Biennial Conference
  • Place of Presentation: Plaza Athene Bangkok, Bangkok, THAILAND