Ultra high frequency data and lead-lag
| Project/Area Number |
26540011
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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 |
Statistical science
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| Research Institution | The University of Tokyo |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
MASUDA Hiroki 九州大学, 数理学研究院, 教授 (10380669)
UCHIDA Masayuki 大阪大学, 基礎工学研究科, 教授 (70280526)
SHIMIZU Yasutaka 早稲田大学基幹理工学部, 応用数理学科, 教授 (70423085)
KAMATANI Kengo 大阪大学, 基礎工学研究科, 講師 (00569767)
HAYASHI Takaki 慶應義塾大学, 経営管理研究科, 教授 (80420826)
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2015: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | 超高頻度データ / 点過程 / 擬似尤度解析 / リード・ラグ / リミットオーダーブック / 極限定理 / 確率解析 / 統計数学 / 解析学 |
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| Outline of Final Research Achievements |
An estimator for correlation between two intensity processes was proposed and limit theorems were proved when the intensities diverge under finite time horizon. These results form the basis for lead-lag estimation and price modeling. For a point process regression model, we constructed Quasi Likelihood Analysis based on statistical random fields and polynomial type large deviation inequalities, especially in long-term asymptotics. Models of limit order book dynamics were proposed and fitted to real data.
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Report
(4 results)
Research Products
(34 results)
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[Journal Article] The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations2014
Author(s)
A. Brouste, M. Fukasawa, H. Hino, S. M. Iacus, K. Kamatani, Y. Koike, H. Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida, N. Yoshida
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Journal Title
Journal of Statistical Software
Volume: 57, no. 4
Pages: 1-51
Related Report
Peer Reviewed
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