Econometric methods for high frequency data

2021 Fiscal Year Research-status Report

• Project/Area Number: 20K13470
• Research Institution: Keio University
• Principal Investigator: ポチロン ヨアン 慶應義塾大学, 商学部(三田), 准教授 (60781119)
• Project Period (FY): 2020-04-01 – 2023-03-31
• Keywords: econometrics

Outline of Annual Research Achievements

I had promising results on two different projects, namely Hawkes processes and hitting boundary of stochastic processes. This will be highly useful for econometrics of financial high frequency data. The theory, including an extensive definition of the model and comparison to the literature, was included for both projects.I have also derived the asymptotic results, namely consistency of the estimators and central limit theory.

Current Status of Research Progress

2: Research has progressed on the whole more than it was originally planned.

Reason

I am progressing just as planned. The project on Hawkes processes theory part is done, as expected. On the other hand, there is still the applied part of the project to be done, which is just what was more or less planned. The other project theory is almost done, and I have been working actively on the numerical studies.

Strategy for Future Research Activity

We are going to continue this research by dividing in two projects. We are going to conduct Monte Carlo experiments, and empirical study on SP 500. Once the projects are done, I will submit to top econometrics and/or statistics journals.

Causes of Carryover

The funding was not fully used because of COVID related situation. It was almost impossible to travel internationally, and I had to cancel several conferences/seminars all over the World. Next year, I plan to use more to go to conferences if the situation allows it.