Misaki Hiroumi 三崎広海

Researcher Number	00710774
Other IDs
Affiliation (Current)	2026: 筑波大学, システム情報系, 助教
Affiliation (based on the past Project Information) *help	2019 – 2024: 筑波大学, システム情報系, 助教
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related
Keywords	Principal Investigator 高頻度金融データ / ポートフォリオ / 時系列モデル / 金融リスク管理 / ボラティリティ / モデルアンサンブル / 高頻度データ / 分散共分散行列 / 時系列分析 / 大規模データ / 計量ファイナンス / 統計科学

Research Projects
(2 results)
Research Products
(9 results)

Financial risk management based on high-frequency financial time series data using a multi-model ensemblePrincipal Investigator
- Principal Investigator
  
  Misaki Hiroumi
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  University of Tsukuba
Adjusting the volatility prediction models by using quote prices and its applicationsPrincipal Investigator
- Principal Investigator
  
  Misaki Hiroumi
- Project Period (FY)
  2019 – 2020
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  University of Tsukuba

All 2025 2023 2020 2019

All Journal Article Presentation

[Journal Article] Comparing robustness of realised measures under round-off errors, price adjustments and serial correlations: a simulation study2020
- Author(s)
  Hiroumi Misaki
- Journal Title
  
  International Journal of Computational Systems Engineering
  
  Volume: 6 Issue: 1 Pages: 1-13
- DOI
  10.1504/ijcsyse.2020.109122
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13735
[Journal Article] Comparing Robustness of Realized Measures under Round-off Errors, Price Adjustments and Serial Correlations: A Simulation Study2020
- Author(s)
  Hiroumi Misaki
- Journal Title
  
  International Journal of Computational Systems Engineering
  
  Volume: －
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13735
[Journal Article] Practical Application of the SIML Estimation of Covariance, Correlation, and Hedging Ratio with High-Frequency Financial Data2019
- Author(s)
  Hiroumi Misaki
- Journal Title
  
  Smart Innovation, Systems and Technologies
  
  Volume: 142 Pages: 53-63
- DOI
  10.1007/978-981-13-8311-3_5
- ISBN
  9789811383106, 9789811383113
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K13735
[Presentation] Actual Data Comparison of Realized Measures in the Japanese Stock Market2025
- Author(s)
  Hiroumi Misaki
- Organizer
  50th EBES Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K01555
[Presentation] A Simulation-based Comparison of Realized Covariance Measures under the Market Microstructure Noise2023
- Author(s)
  Hiroumi Misaki
- Organizer
  43rd EBES Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K01555
[Presentation] 高頻度金融時系列データによるボラティリティ推定量の比較と資産運用への応用2019
- Author(s)
  三崎広海
- Organizer
  2019年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-19K13735
[Presentation] Financial Risk Management with High-Frequency Data2019
- Author(s)
  Hiroumi Misaki
- Organizer
  International Symposium on Theories and Methodologies for Large Complex Data
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13735
[Presentation] The SIML Estimation of Integrated Volatility and Covariance2019
- Author(s)
  Hiroumi Misaki
- Organizer
  Ritsumeikan One Day Workshop on Probability and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13735
[Presentation] Practical Application of the SIML Estimation of Covariance, Correlation and Hedging Ratio with High-Frequency Financial Data2019
- Author(s)
  Hiroumi Misaki
- Organizer
  Smart Innovation, Systems and Technologies 2019
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13735

Misaki Hiroumi 三崎 広海

Research Projects

Research Products

Financial risk management based on high-frequency financial time series data using a multi-model ensemblePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Adjusting the volatility prediction models by using quote prices and its applicationsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] Comparing robustness of realised measures under round-off errors, price adjustments and serial correlations: a simulation study2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Comparing Robustness of Realized Measures under Round-off Errors, Price Adjustments and Serial Correlations: A Simulation Study2020

Author(s)

Journal Title

Data Source

[Journal Article] Practical Application of the SIML Estimation of Covariance, Correlation, and Hedging Ratio with High-Frequency Financial Data2019

Author(s)

Journal Title

DOI

ISBN

Data Source

[Presentation] Actual Data Comparison of Realized Measures in the Japanese Stock Market2025

Author(s)

Organizer

Data Source

[Presentation] A Simulation-based Comparison of Realized Covariance Measures under the Market Microstructure Noise2023

Author(s)

Organizer

Data Source

[Presentation] 高頻度金融時系列データによるボラティリティ推定量の比較と資産運用への応用2019

Author(s)

Organizer

Data Source

[Presentation] Financial Risk Management with High-Frequency Data2019

Author(s)

Organizer

Data Source

[Presentation] The SIML Estimation of Integrated Volatility and Covariance2019

Author(s)

Organizer

Data Source

[Presentation] Practical Application of the SIML Estimation of Covariance, Correlation and Hedging Ratio with High-Frequency Financial Data2019

Author(s)

Organizer

Data Source

Misaki Hiroumi 三崎広海