Statistical inference and empirical analysis of high frequency market data

2015 Fiscal Year Final Research Report

• Project/Area Number: 25245034
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Osaka University
• Principal Investigator: OYA KOSUKE 大阪大学, 経済学研究科(研究院), 教授 (20233281)
• Co-Investigator(Kenkyū-buntansha): OHTA Wataru 大阪大学, 大学院経済学研究科, 教授 (20293681) ; WATANABE Toshiaki 一橋大学, 経済研究所, 教授 (90254135) ; TAKADA Teruko 大阪市立大学, 大学院経営学研究科, 准教授 (30347504) ; UCHIDA Masayuki 大阪大学, 大学院基礎工学研究科, 教授 (70280526) ; FUKASAWA Masaaki 大阪大学, 大学院理学研究科, 准教授 (70506451) ; ISHIDA Isao 甲南大学, 経済学部, 教授 (20361579) ; KINOSHITA Ryo 大阪大学, 大学院経済学研究科, 助教 (10732323)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: 高頻度データ / 市場流動性

Outline of Final Research Achievements

The statistical analysis of high frequency market data suffers from the market microstructure noise. In this research, we develop the robust estimation method for the market volatility which provides us more accurate market risk measure. Further we propose a new approach to shed light on entangled relation among financial instruments. The approach is based on the causality analysis in frequency domain and make the identification of the causality direction at different frequencies possible. For the market liquidity, we conduct the empirical analysis to see how newly introduced the high-speed trading system in the Tokyo Stock Exchange affects the market liquidity and confirm that the asymmetric relational changes between adverse selection cost and the small and large size stocks after introducing the high-speed trading system. We also examine the market phase classification such as bull/bear or bubble/non-bubble and identification of the phase change that is useful to risk management.

Free Research Field

計量経済学