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KAKEN_16K03601seika.pdf
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高頻度注文板データを用いた高速での株価形成に関する統計解析
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Kana |
コウヒンド チュウモンバン データ オ モチイタ コウソク デノ カブカ ケイセイ ニ カンスル トウケイ カイセキ
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Kōhindo chūmonban dēta o mochiita kōsoku deno kabuka keisei ni kansuru tōkei kaiseki
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Statistical analysis on high-speed stock price formation with the use of high-frequency limit-order book data
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林, 高樹
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ハヤシ, タカキ
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Romanization |
Hayashi, Takaki
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慶應義塾大学・経営管理研究科 (日吉) ・教授
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Research team head
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科研費研究者番号 : 80420826
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2020
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科学研究費補助金研究成果報告書
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2019
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本研究は, 高頻度注文板データに対する統計的データ解析により, 高速化の進む今日の株式市場の株価形成に関する実証的知見を獲得し理解を深めることを目指すものであり, 以下の成果を得た. (1) 国内株式市場の高速での株価間の先行遅行関係を探索的に分析し, 実証的特徴を示した. (2) ウェーブレットを応用することで, 証券価格の変動を異なる周波数成分毎に先行遅行時間を推定する統計理論・方法論を開発した. (3) 高速取引を行う市場参加者の取引行動に関する理論モデルを提案した. (4) 個別銘柄の高頻度領域での流動性を評価する方法論として, 協調フィルタリングを応用するアプローチを検討した.
The purpose of this study is to obtain empirical knowledge and deepen understanding of stock price formation in the stock markets with increasing speed of execution by statistical analysis of high-frequency limit order book data, and the following results are obtained. (1) An exploratory data analysis of high-frequency lead-lag relationships between stock prices in the domestic stock market is performed and empirical characteristics are demonstrated. (2) Based on wavelet theory, we develop a statistical theory and methodology for estimating the lead-lag times for each of the frequency components of securities price fluctuations. (3) A theoretical model is proposed to explain the trading behaviors of high-speed market participants. (4) A collaborative filtering-based methodology to evaluate the liquidity of individual securities in the high-frequency domain is investigated.
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研究種目 : 基盤研究 (C) (一般)
研究期間 : 2016~2019
課題番号 : 16K03601
研究分野 : 計量ファイナンス
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