Large-scale financial data analysis using the super-efficient database for ultra high-frequency financial data

2013 Fiscal Year Final Research Report

• Project/Area Number: 23653081
• Research Category: Grant-in-Aid for Challenging Exploratory Research
• Allocation Type: Multi-year Fund
• Research Field: Public finance/Monetary economics
• Research Institution: Nagasaki University
• Principal Investigator: MORIYASU Hiroshi 長崎大学, 経済学部, 教授 (10304924)
• Co-Investigator(Kenkyū-buntansha): FURUKAWA Tetsuya 九州大学, 経済学研究科(研究院), 教授 (00209165)
• Project Period (FY): 2011 – 2013
• Keywords: ファイナンス / マーケットマイクロストラクチャー

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.

Research Products

• [Journal Article] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Journal Title: Proceedings of the 1st Paris Financial Management Conference
  • Peer Reviewed
• [Journal Article] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Journal Title: Proceedings of Asian Financial Association 2013 Annual Conference
  • Peer Reviewed
• [Journal Article] The Role of Algorithmic Trading in Stock Liquidity : Evidence from Tokyo Stock Exchange (2013)
  • Author(s): H. Moriyasu, M. Wee, and J. Yu
  • Journal Title: Proceedings of FMA Asia
  • Peer Reviewed
• [Journal Article] Volatility and public information flows : evidence from disclosure and media coverage in the Japanese stock market (2012)
  • Author(s): H. Aman and H. Moriyasu
  • Journal Title: Proceedings of Southwestern Finance Association 51st Annual Meeting
  • Peer Reviewed
• [Presentation] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Organizer: 1st Paris Financial Management Conference
  • Place of Presentation: IPAG Business School, Paris (France)
  • Year and Date: 2013-12-17
• [Presentation] Stock option grants under pressure for good governance (2013)
  • Author(s): Shinya Shinozaki, Hiroshi Moriyasu, and Konari Uchida
  • Organizer: 日本経営財務研究学会第37回全国大会
  • Place of Presentation: 兵庫県立大学 (兵庫県神戸市)
  • Year and Date: 2013-10-05
• [Presentation] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: Asian Financial Association 2013 Annual Conference
  • Place of Presentation: Nanchang, Jiangxi, China
  • Year and Date: 2013-07-17
• [Presentation] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): Nanchang, Jiangxi, China
  • Organizer: 日本経済学会2013年度春期大会
  • Place of Presentation: 富山大学(富山県富山市)
  • Year and Date: 2013-06-22
• [Presentation] Mass media effects on stock market liquidity : Television broadcasting evidence from Japan (2013)
  • Author(s): H. Aman, N. Kasuga, and H. Moriyasu
  • Organizer: 日本ファイナンス学会第20回大会
  • Place of Presentation: 武蔵大学(東京都練馬区)
  • Year and Date: 2013-06-01
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity : Evidence from Tokyo Stock Exchange (2013)
  • Author(s): H. Moriyasu, M. Wee, and J. Yu
  • Organizer: FMA Asia 2013
  • Place of Presentation: Fudan University, Shanghai, China
  • Year and Date: 2013-04-13
• [Presentation] Mass Media Effects on Stock Market Liquidity : Television Broadcasting Evidence from Japan (2013)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: Midwest Finance Association
  • Place of Presentation: Westin Chicago River North Hotel, Chicago, IL, USA
  • Year and Date: 2013-03-13
• [Presentation] Mass Media Effects on Stock Market Liquidity : Television Broadcasting Evidence from Japan (2012)
  • Author(s): Westin Chicago River North Hotel, Chicago, IL, USA
  • Organizer: ITS Biennial Conference
  • Place of Presentation: Plaza Athene Bangkok, Bangkok, THAILAND
  • Year and Date: 2012-11-21
• [Presentation] Mass Media Effects on Stock Market Liquidity : Television Broadcasting Evidence from Japan (2012)
  • Author(s): Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
  • Organizer: Asian Academic Accounting Association
  • Place of Presentation: Kyoto University, JAPAN
  • Year and Date: 2012-11-10
• [Presentation] The Role of Algorithmic Trading in Stock Liquidity : Evidence from Tokyo Stock Exchange (2012)
  • Author(s): Hiroshi Moriyasu, Marvin Wee, and Jing Yu
  • Organizer: Annual conference of Financial Integrity Network
  • Place of Presentation: Hobart, Tasmania, AUSTRALIA
  • Year and Date: 2012-11-10
• [Presentation] Do stock option grants induce managerial risk taking? Evidence from Japan (2012)
  • Author(s): Hiroshi Moriyasu and Konari Uchida
  • Organizer: 2012 Asian Finance Association and Taiwan Finance Association Joint Conference
  • Place of Presentation: Taipei, TAIWAN
  • Year and Date: 2012-07-08
• [Presentation] Do stock option grants induce managerial risk taking? Evidence from Japan (2012)
  • Author(s): Hiroshi Moriyasu and Konari Uchida
  • Organizer: 29th GdRE Annual International Symposium on Money, Banking and Finance
  • Place of Presentation: University of Nantes, Nantes, FRANCE
  • Year and Date: 2012-06-29
• [Presentation] Do stock option grants induce managerial risk taking? Evidence from Japan (2012)
  • Author(s): Hiroshi Moriyasu and Konari Uchida
  • Organizer: IFABS 2012 Conference
  • Place of Presentation: Fundacion Universidad Empresa, Valencia, SPAIN
  • Year and Date: 2012-06-19
• [Presentation] Volatility and public information flows : Evidence from disclosure and media coverage in the Japanese stock market (2012)
  • Author(s): 阿萬弘行, 森保洋
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 一橋大学大学院ICS一ツ橋キャンパス
  • Year and Date: 2012-05-26