| 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 |
完了 (2023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 | financial econometrics / 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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| 研究成果の概要 |
The research went well overall. All of the results obtained during the previous years have been presented in seminars, conferences and discussed with leading experts in the fields.
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| 研究成果の学術的意義や社会的意義 |
High frequency financial econometrics is very useful for making predictions about the stock market, and also more generally to understand key macroeconomic ariables related to a specific country, such as inflation rate in Japan.
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