Econometric methods for high frequency data

Notes on use

Note (General)：: type:textIn Project 1, we have exhibited limit order book variables that matter for the market microstructure noise. My aim was to explain (almost) fu...

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Material Type: 文書・図像類
Title: Econometric methods for high frequency data
Author/Editor: Potiron, Yoann
Author Heading: Potiron, Yoann
Publication, Distribution, etc.: 慶應義塾大学
Publication Date: 2020
Publication Date (W3CDTF): 2020
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
In Project 1, we have exhibited limit order book variables that matter for the market microstructure noise. My aim was to explain (almost) fully the market microstructure noise. In other words, the practitioner which has limit order book data at hands, is now 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. In Project 2, I have brought forward an estimator of latency, which has been coded. The source files were available for free on my website. In Project 3, I have also exhibited an estimator of parameters related to the noise shape. The related code has been made available on my website.
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