Large-scale financial data analysis using the super-efficient database for ultra high-frequency financial data
| Project/Area Number |
23653081
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| Research Category |
Grant-in-Aid for Challenging Exploratory Research
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Nagasaki University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
FURUKAWA Tetsuya 九州大学, 経済学研究科(研究院), 教授 (00209165)
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| Project Period (FY) |
2011 – 2013
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(31 results)
