統計数学セミナー

過去の記録 ~01/25次回の予定今後の予定 01/26~

開催情報 火曜日 13:00~14:10 数理科学研究科棟(駒場) 052号室
担当者 http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
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.

2016年11月01日(火)

10:40-11:30   数理科学研究科棟(駒場) 123号室
Yuta Koike 氏 (Tokyo Metropolitan University, JST CREST)
Wavelet-based methods for high-frequency lead-lag analysis
[ 講演概要 ]
We propose a novel framework to investigate the lead-lag effect between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multi-scale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice. This talk is based on a joint work of Prof. Takaki Hayashi (Keio University).