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Construction of stochastic volatility model based on realized volatility distribution and its application

Research Project

Project/Area Number 25330047
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Statistical science
Research InstitutionHiroshima University of Economics

Principal Investigator

Takaishi Tetsuya  広島経済大学, 経済学部, 教授 (60299279)

Project Period (FY) 2013-04-01 – 2016-03-31
Project Status Completed (Fiscal Year 2015)
Budget Amount *help
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywordsマルコフ連鎖モンテカルロ法 / ハイブリッドモンテカルロ法 / SVモデル / GPU計算 / 実現ボラティリティ / OpenACC / SVモデル
Outline of Final Research Achievements

We investigated properties of the realized volatility calculated with various sampling times. The hybrid Monte Carlo algorithm that infers the realized stochastic volatility model was developed. Since the hybrid Monte Carlo algorithm can be parallelized we made a program that executes the GPU calculation. We find that the GPU calculation is faster than the CPU calculation on a personal computer. We also use the OpenACC that enables us to make a GPU program easily, and find that the computational speed of the OpenACC is comparable with that of the CUDA.

Report

(4 results)
  • 2015 Annual Research Report   Final Research Report ( PDF )
  • 2014 Research-status Report
  • 2013 Research-status Report
  • Research Products

    (10 results)

All 2016 2015 2014 2013

All Journal Article (5 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 5 results,  Open Access: 3 results,  Acknowledgement Compliant: 3 results) Presentation (5 results) (of which Int'l Joint Research: 1 results)

  • [Journal Article] Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange2016

    • Author(s)
      Tetsuya Takaishi and Toshiaki Watanabe
    • Journal Title

      Journal of Physics: Conference Series

      Volume: 710 Pages: 012010-012010

    • DOI

      10.1088/1742-6596/710/1/012010

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Bayesian Inference of Realized Stochastic Volatility Model and Bias of Realized Volatility2015

    • Author(s)
      Tetsuya Takaishi
    • Journal Title

      International Journal of Engineering Science and Innovative Technology

      Volume: 4 Pages: 1-7

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model2015

    • Author(s)
      Tetsuya Takaishi
    • Journal Title

      Journal of Physics: Conference Series

      Volume: 574 Pages: 012143-012143

    • DOI

      10.1088/1742-6596/574/1/012143

    • Related Report
      2014 Research-status Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm2014

    • Author(s)
      Tetsuya Takaishi
    • Journal Title

      Journal of Physics: Conference Series

      Volume: 490 Pages: 12092-12092

    • DOI

      10.1088/1742-6596/490/1/012092

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Realized Volatility Analysis in A Spin Model of Financial Markets2014

    • Author(s)
      Tetsuya Takaishi
    • Journal Title

      JPS Conference Proceedings

      Volume: 1 Pages: 19007-19007

    • DOI

      10.7566/jpscp.1.019007

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Presentation] 実現確率的ボラティリティ変動モデルによる株価収益率変動の分析2016

    • Author(s)
      高石 哲弥
    • Organizer
      日本金融・証券計量・工学学会
    • Place of Presentation
      慶応義塾大学 三田キャンパス
    • Year and Date
      2016-01-24
    • Related Report
      2015 Annual Research Report
  • [Presentation] Accelerating the hybrid Monte Carlo algorithm by GPU computing for the realized stochastic volatility model2015

    • Author(s)
      Tetsuya Takaishi and Yubin Liu
    • Organizer
      GTC Japan 2015
    • Place of Presentation
      虎ノ門ヒルズフォーラム
    • Year and Date
      2015-09-18
    • Related Report
      2015 Annual Research Report
  • [Presentation] An application of the hybrid Monte Carlo algorithm for realized stochastic volatility model2015

    • Author(s)
      T.Takaishi, Y.Liu and T.T. Chen
    • Organizer
      LATTICE 2015
    • Place of Presentation
      Kobe International Conference Center
    • Year and Date
      2015-07-14
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] GPGPU Computing in Financial Time Series2014

    • Author(s)
      高石 哲弥
    • Organizer
      GTC Japan 2014
    • Place of Presentation
      東京ミッドタウンホール&カンファレンス、東京都港区
    • Year and Date
      2014-07-16
    • Related Report
      2014 Research-status Report
  • [Presentation] ハイブリッドモンテカルロ法による実現確率的ボラティリティモデルのベイズ推定2013

    • Author(s)
      高石 哲弥
    • Organizer
      日本金融・証券計量・工学学会
    • Place of Presentation
      明治大学
    • Related Report
      2013 Research-status Report

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Published: 2014-07-25   Modified: 2019-07-29  

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