| 研究課題/領域番号 |
19K13671
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| 研究種目 |
若手研究
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| 配分区分 | 基金 |
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| 審査区分 |
小区分07030:経済統計関連
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| 研究機関 | 慶應義塾大学 |
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研究代表者 |
クリネ シモン 慶應義塾大学, 経済学部(三田), 准教授 (70814797)
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| 研究期間 (年度) |
2019-04-01 – 2021-03-31
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| 研究課題ステータス |
中途終了 (2020年度)
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| 配分額 *注記 |
4,290千円 (直接経費: 3,300千円、間接経費: 990千円)
2021年度: 1,560千円 (直接経費: 1,200千円、間接経費: 360千円)
2020年度: 1,300千円 (直接経費: 1,000千円、間接経費: 300千円)
2019年度: 1,430千円 (直接経費: 1,100千円、間接経費: 330千円)
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| キーワード | High-frequency / microstructure / High-Frequency data / Microstructure noise / Statistical inference / Noise-Robust estimation / Parametric noise / Plug-In estimation / Financial Econometrics / High-frequency data / Statistical Inference / Stochastic Processes |
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| 研究開始時の研究の概要 |
We will focus on novel methods to estimate the structure of high-frequency financial data through three possible axes: a LASSO type estimation method for microstructure noise, efficient estimation of price characteristics, and finally application of those methods to the problem of optimal execution.
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| 研究実績の概要 |
The main result for this period is the acceptance for publication of my preprint "Estimation for high-frequency data under parametric market microstructure noise" by the Annals of the Institute of Statistical Mathematics [1]. The original approach using LASSO estimation was replaced by a more direct plug-in method for this project. The final paper is now solid and yields theoretically strong results.
I did not attend any conference due to the coronavirus pandemic.
[1] Estimation for high-frequency data under parametric market microstructure noise, Annals of the Institute of Statistical Mathematics, To appear.
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