An empirical analysis to disentangle sources of high frequency market microstructure noise

Material type: 文書・図像類

Author: Potiron, Yoann

Publisher: 慶應義塾大学

Publication date: 2018

Material Format: Digital

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Note (General)：: type:textThe research results are very satisfying. During the period, two projects have been finished, which correspond to two papers, one of which wa...

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Material Type: 文書・図像類
Title: An empirical analysis to disentangle sources of high frequency market microstructure noise
Author/Editor: Potiron, Yoann
Author Heading: Potiron, Yoann
Publication, Distribution, etc.: 慶應義塾大学
Publication Date: 2018
Publication Date (W3CDTF): 2018
Periodical title: 学事振興資金研究成果実績報告書
Text Language Code: eng
Target Audience: 一般
Note (General): type:text
The research results are very satisfying. During the period, two projects have been finished, which correspond to two papers, one of which was submitted to Journal of Business and Economic Statistics and the other one to be submitted to Econometrica. The first paper is in revision for Journal of Business and Economic Statistics. Several talks related to those two projects were given at the The 2nd International Conference on Econometrics and Statistics (EcoSta 2018) at the City University of Hong Kong, 2018 Asian meeting of the Econometric Society at Sogang University, Econometric Society Australasian Meeting at Auckland University of Technology and Mathematisches Seminar at Kiel University. Going to the conferences, I was able to exchange about ideas with many other researchers, most likely leading to future research projects. Also, I could get some feedback which really helped to improve the content of the papers. Overall, my research projects were positively affected by the possibility to present them to international conferences.
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ