Relativization of time and a new correlation analysis

2014 Fiscal Year Final Research Report

• Project/Area Number: 24650148
• Research Category: Grant-in-Aid for Challenging Exploratory Research
• Allocation Type: Multi-year Fund
• Research Field: Statistical science
• Research Institution: The University of Tokyo
• Principal Investigator: YOSHIDA Nakahiro 東京大学, 数理(科)学研究科(研究院), 教授 (90210707)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 統計数学 / 解析学

Outline of Final Research Achievements

Statistical properties, implementation and applications of the lead-lag index were investigated. For modeling of market microstructure applicable to the price model and the limit order book, a point process regression model was proposed and limit theorems of the maximum likelihood type estimator for the model were obtained. The lead-lag between two stochastic processes is captured by the coefficients of the Hawkes type intensity functions. A stochastic regression model was presented and it was shown that this model can be a basic model that expresses nonlinear relations at the volatility.

Free Research Field

統計科学