| 研究課題/領域番号 |
20K13470
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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 |
ポチロン ヨアン 慶應義塾大学, 商学部(三田), 准教授 (60781119)
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| 研究期間 (年度) |
2020-04-01 – 2024-03-31
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| 研究課題ステータス |
交付 (2022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)
2022年度: 1,430千円 (直接経費: 1,100千円、間接経費: 330千円)
2021年度: 1,430千円 (直接経費: 1,100千円、間接経費: 330千円)
2020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 | econometrics / statistics / finance / market microstructure / volatility / cointegration |
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| 研究開始時の研究の概要 |
We will exhibit limit order book variables that matter for the market microstructure noise. My aim is to explain (almost) fully the market microstructure noise. In other words, the practitioner which has limit order book data at hands, will be able to use this new estimator to estimate more accurately volatility or any other integrated quantity such as high frequency covariance or leverage effect, estimators which are not necessarily robust to noise.
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| 研究実績の概要 |
The research went well overall. With my coworker Per Mykland, we were able to finalize the project on local estimation. The paper is now published in Journal of Business and Economic Statistics. With my coworker Simon Clinet, we also finished our work related to explaining the market microstructure noise from an econometrics view-point. We were able to publish two new related papers about this project, one in Journal of Business and Economic Statistics and another one in Annals of the Institute of Statistical Mathematics. Finally, we have also completed our project on cointegration with high frequency data, with the publication of a paper in Electronic Journal of Statistics. All of these results have also been presented in seminars, conferences and discussed with leading experts in the field.
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| 現在までの達成度 (区分) |
現在までの達成度 (区分)
2: おおむね順調に進展している
理由
The research is progressing as planned.
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| 今後の研究の推進方策 |
I plan to continue advertising the research by giving seminars, going to conferences and discussing with researchers in this field about this progress.
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