2015 Fiscal Year Final Research Report
A study on the volatility dynamics and trading system structural changes using high frequency data.
| Project/Area Number |
26780134
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Osaka University (2015)
Hitotsubashi University (2014) |
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Principal Investigator |
Ishihara Tsunehiro 大阪大学, 数理・データ科学教育研究センター, 特任講師(常勤) (60609072)
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| Project Period (FY) |
2014-04-01 – 2016-03-31
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| Keywords | 計量ファイナンス / ベイズデータ解析 / 確率的ボラティリティ変動モデル / 構造変化 / 実現ボラティリティ |
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| Outline of Final Research Achievements |
The daily volatility is used as an indicator of the magnitude of the daily price change of stock return, and as a scale of market risk. We extend the stochastic volatility model to study the relation between the daily volatility dynamics and the trading system changes. We incorporated realized volatility, which is the estimator calculated using intradaily high frequency data.
We propose a method to decompose return dynamics into several components using several different realized volatility measurements. In the Japanese dataset, we cannot find the drastic change in the level of the daily volatility between before and after a high-frequency trading system introduction.
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| Free Research Field |
計量ファイナンス
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