2015 Fiscal Year Final Research Report
Market Microstructure analysis on High-Frequency Trading Markets
Project/Area Number |
25380409
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Money/ Finance
|
Research Institution | Meiji University |
Principal Investigator |
INUI KOJI 明治大学, 総合数理学部, 教授 (60359825)
|
Project Period (FY) |
2013-04-01 – 2016-03-31
|
Keywords | 高速取引 / ティックデータ / 取引コスト / 日経平均 |
Outline of Final Research Achievements |
In this study, we explore the efficiency of pricing formation in short interval trades by detailed tick data recorded with millisecond time stamp. Contrary to previous researches, we can conclude, for Nikkei average constituent stocks, that the transaction cost had increased when the trading volume was relatively large. Moreover, we explored lead-lag relations between futures and Nikkei average constituent stocks around the timing of Nikkei basket trade had occurred. And we conclude that Nikkei average future and large-contribution stocks to Nikkei average demonstrated strong preceding property than the other futures (Nikkei mini and TOPIX) and other constituent stocks.
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Free Research Field |
金融工学
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