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Statistics, Econometrics, and Financial Econometrics Lab (Hiromi Misaki)
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A lab that analyzes high-frequency financial data using statistical methods.
AboutAbout the lab
Reading financial data through statistics.
The lab of Assistant Professor Hiromi Misaki, who specializes in statistics, econometrics, and financial econometrics, analyzes financial data such as asset prices using statistical methods.
In particular, it works on methods for estimating the variance and covariance of asset prices from high-frequency data, meaning large volumes of observations recorded at short intervals.
Research keywords include financial risk, time series analysis, and state space models.
Key terms
- High-frequency data
- Data recorded in fine detail at short time intervals, such as stock trading records. In this lab, it is used with financial time series data.
- Volatility
- A measure of how much an asset's price moves.
- Portfolio
- The combination of multiple assets, such as stocks, that one holds together.
ResearchResearch themes
The lab analyzes price data recorded in financial markets using methods from statistics and econometrics. It works on estimating the variance and covariance of asset prices using high-frequency data, and on financial risk management.
*Illustrative imageEstimating Volatility from High-Frequency Data
The lab compares estimators of price volatility (the magnitude of price fluctuations) and covariance computed from high-frequency price data. It examines them through simulations that assume noise contained in transaction records, and with real data from the Japanese stock market.
*Illustrative imageEmpirical Study of Risk Parity Investing
The lab empirically analyzes hierarchical risk parity, one approach to portfolio construction, to test whether it can actually be used in the Japanese market.
MembersFaculty
- Assistant ProfessorHiromi Misaki
VoicesStudent voices
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Report an errorAbout the images
The top and research theme images are illustrative and were not taken at the lab. They are cropped from Wikimedia Commons images. Cropped CC BY-SA images are provided under the same CC BY-SA license as the original (version shown on each line).
- Top image: “Stock Exchange Yangon” Myrmux / CC BY-SA 4.0 (cropped)
- Estimating Volatility from High-Frequency Data: “Frankfurt Stock Exchange (Ank Kumar) 03” Ank Kumar / CC BY-SA 4.0 (cropped)
- Empirical Study of Risk Parity Investing: “Artefacts at Tokyo Stock Exchange (45543)” Syced / CC0 (cropped)
- Related lab (黒瀬研究室): “No Known Restrictions Trading Floor, New York Stock Exchange (Highsmith LOC) ( )” Carol M. Highsmith / Public domain (cropped)
- Related lab (応用計量経済学・統計学
（小西 葉子） ): “Data Analysis ( )” IAEA Imagebank / CC BY 2.0 (cropped) - Related lab (サービス工学・実験経済学・計量経済学
（髙橋 裕紀） ): “Customer Service counter, Pimpama Railway Station, Old Pacific Highway, Gold Coast P1130327” John Robert McPherson / CC0 (cropped) - Related lab (大久保研究室): “New York Stock Exchange August 2017 02” Arild Vågen / CC BY-SA 4.0 (cropped)
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