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統計数学セミナー
過去の記録 ～04/19｜次回の予定｜今後の予定 04/20～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2015年04月10日(金)
14:50-16:00 数理科学研究科棟(駒場) 128号室
Yacine Ait-Sahalia 氏 (Princeton University)
Principal Component Analysis of High Frequency Data (joint with Dacheng Xiu)
Yacine Ait-Sahalia 氏 (Princeton University)
Principal Component Analysis of High Frequency Data (joint with Dacheng Xiu)
[ 講演概要 ]
We develop a methodology to conduct principal component analysis of high frequency financial data. The procedure involves estimation of realized eigenvalues, realized eigenvectors, and realized principal components and we provide the asymptotic distribution of these estimators. Empirically, we study the components of the constituents of Dow Jones Industrial Average Index, in a high frequency version, with jumps, of the Fama-French analysis. Our findings show that, excluding jump variation, three Brownian factors explain between 50 and 60% of continuous variation of the stock returns. Their explanatory power varies over time. During crises, the first principal component becomes increasingly dominant, explaining up to 70% of the variation on its own, a clear sign of systemic risk.
We develop a methodology to conduct principal component analysis of high frequency financial data. The procedure involves estimation of realized eigenvalues, realized eigenvectors, and realized principal components and we provide the asymptotic distribution of these estimators. Empirically, we study the components of the constituents of Dow Jones Industrial Average Index, in a high frequency version, with jumps, of the Fama-French analysis. Our findings show that, excluding jump variation, three Brownian factors explain between 50 and 60% of continuous variation of the stock returns. Their explanatory power varies over time. During crises, the first principal component becomes increasingly dominant, explaining up to 70% of the variation on its own, a clear sign of systemic risk.
