2020 Fiscal Year Annual Research Report
Statistical inference and model selection for high-frequency financial data
| Project/Area Number |
19K13671
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| Research Institution | Keio University |
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Principal Investigator |
クリネ シモン 慶應義塾大学, 経済学部(三田), 准教授 (70814797)
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| Project Period (FY) |
2019-04-01 – 2021-03-31
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| Keywords | High-frequency / microstructure |
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| Outline of Annual Research Achievements |
The main result for this period is the acceptance for publication of my preprint "Estimation for high-frequency data under parametric market microstructure noise" by the Annals of the Institute of Statistical Mathematics [1]. The original approach using LASSO estimation was replaced by a more direct plug-in method for this project. The final paper is now solid and yields theoretically strong results.
I did not attend any conference due to the coronavirus pandemic.
[1] Estimation for high-frequency data under parametric market microstructure noise, Annals of the Institute of Statistical Mathematics, To appear.
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