2016 Fiscal Year Final Research Report
Ultra high frequency data and lead-lag
| Project/Area Number |
26540011
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| Research Category |
Grant-in-Aid for Challenging Exploratory Research
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| Allocation Type | Multi-year Fund |
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| Research Field |
Statistical science
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| Research Institution | The University of Tokyo |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
MASUDA Hiroki 九州大学, 数理学研究院, 教授 (10380669)
UCHIDA Masayuki 大阪大学, 基礎工学研究科, 教授 (70280526)
SHIMIZU Yasutaka 早稲田大学基幹理工学部, 応用数理学科, 教授 (70423085)
KAMATANI Kengo 大阪大学, 基礎工学研究科, 講師 (00569767)
HAYASHI Takaki 慶應義塾大学, 経営管理研究科, 教授 (80420826)
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Keywords | 超高頻度データ / 点過程 / 擬似尤度解析 / リード・ラグ / リミットオーダーブック / 極限定理 / 確率解析 |
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| Outline of Final Research Achievements |
An estimator for correlation between two intensity processes was proposed and limit theorems were proved when the intensities diverge under finite time horizon. These results form the basis for lead-lag estimation and price modeling. For a point process regression model, we constructed Quasi Likelihood Analysis based on statistical random fields and polynomial type large deviation inequalities, especially in long-term asymptotics. Models of limit order book dynamics were proposed and fitted to real data.
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| Free Research Field |
理論統計学，確率論
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