Takahashi Makoto 高橋慎

Researcher Number	20723852
Other IDs
Affiliation (Current)	2025: 法政大学, 経営学部, 教授
Affiliation (based on the past Project Information) *help	2022 – 2024: 法政大学, 経営学部, 教授 2018 – 2021: 法政大学, 経営学部, 准教授 2016 – 2017: 大阪大学, 経済学研究科, 講師 2015: 大阪大学, 経済学研究科(研究院), 講師 2014: 大阪大学, 金融・保健教育研究センター, 特任助教
Review Section/Research Field	Principal Investigator Basic Section 07030:Economic statistics-related / Economic statistics Except Principal Investigator Medium-sized Section 7:Economics, business administration, and related fields / Economic statistics
Keywords	Principal Investigator 価格インパクト / ベイズ推定 / 日内変動 / 高頻度注文板データ / 市場クオリティ / order flow / price impact / 取引不均衡 / 日中周期性 / マクロ経済指数 … More / 構造VARモデル / 流動性 / 注文不均衡 / 周期性 / 内生性 / 時系列モデル / 高頻度データ / ボラティリティ … More Except Principal Investigator 高頻度データ / ボラティリティ / 確率的ボラティリティ / マルコフ連鎖モンテカルロ法 / 潜在変数 / 確率的ボラティリティ変動モデル / ベイズ統計学 / ポートフォリオ最適化 / 実現ボラティリティ / ベイジアン・アプローチ / 統計的学習 / 非線形計量経済モデル / 統計的リスク / 統計的リスク分析 / マルコフ連鎖モンテカルロ法統 / 高次元データ / リスク管理 / 因子モデル / ランダム回答法 / 統計的リスク管理 / 計量ファイナンス / 経済統計 / 経済統計学 / 予測モデル / 金融市場 / リスク / 長期記憶性 / マルコフスイッチング / 一般化双曲非対称t分布 / ベイズ推定 Less

New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  2024 – 2026
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  The University of Tokyo
高頻度注文板データを用いた市場クオリティの分析Principal Investigator
- Principal Investigator
  
  高橋慎
- Project Period (FY)
  2023 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Hosei University
New developments in high dimensional data modeling and statistical risk analysis
- Principal Investigator
  
  Omori Yasuhiro
- Project Period (FY)
  2019 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  The University of Tokyo
Statistical inference and empirical study on the measurement of risk and its propagation
- Principal Investigator
  
  OYA Kosuke
- Project Period (FY)
  2016 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
Econometrics Analysis of Financial Markets with High Frequency DataPrincipal Investigator
- Principal Investigator
  
  Takahashi Makoto
- Project Period (FY)
  2015 – 2018
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Hosei University
  Osaka University
Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior
- Principal Investigator
  
  Omori Yasuhiro
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo

All 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014

All Journal Article Presentation Book

[Book] Stochastic Volatility and Realized Stochastic Volatility Models2023
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Total Pages
  113
- Publisher
  Springer
- ISBN
  9789819909346
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] On the evaluation of intraday market quality in the limit-order book markets: A collaborative filtering approach2021
- Author(s)
  Takaki Hayashi, Makoto Takahashi
- Journal Title
  
  Japanese Journal of Statistics and Data Science
  
  Volume: 印刷中
- NAID
  210000179374
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility2021
- Author(s)
  Takahashi Makoto、Watanabe Toshiaki、Omori Yasuhiro
- Journal Title
  
  Econometrics and Statistics
  
  Volume: ー Pages: 34-56
- DOI
  10.1016/j.ecosta.2021.08.002
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H00073, KAKENHI-PROJECT-19H00588
[Journal Article] On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach2021
- Author(s)
  Hayashi Takaki、Takahashi Makoto
- Journal Title
  
  Japanese Journal of Statistics and Data Science
  
  Volume: 4 Issue: 1 Pages: 697-730
- DOI
  10.1007/s42081-021-00116-0
- NAID
  210000179374
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-19H00588
[Journal Article] Realized Stochastic Volatilityモデル ―拡張と日本の株価指数への応用―2020
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Journal Title
  
  統計数理
  
  Volume: 68(1) Pages: 65-85
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] Realized Stochastic Volatilityモデルー拡張と日本の株価指数への応用ー2020
- Author(s)
  高橋慎、渡部敏明、大森裕浩
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 65-85
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] 価格インパクトの日中変動2019
- Author(s)
  高橋　慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 31 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] 価格インパクトの日中変動2019
- Author(s)
  高橋慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 31 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] J-GATE稼働と日経225先物市場の日中流動性2018
- Author(s)
  高橋慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 30(3) Pages: 1-5
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] J-GATE稼働と日経225先物市場の日中流動性2018
- Author(s)
  高橋慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 30 Pages: 1-5
- Open Access
- Data Source
  KAKENHI-PROJECT-15K17037
[Journal Article] J-GATE稼働と日経225 先物市場の日中流動性2018
- Author(s)
  高橋　慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 30 Pages: 1-5
- Open Access
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] 注文フロー不均衡と価格インパクト2016
- Author(s)
  高橋　慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-15K17037
[Journal Article] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2016
- Author(s)
  Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
- Journal Title
  
  International Journal of Forecasting
  
  Volume: 32 Issue: 2 Pages: 437-457
- DOI
  10.1016/j.ijforecast.2015.07.005
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-26245028
[Journal Article] 注文フロー不均衡と価格インパクト2016
- Author(s)
  高橋　慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] 注文フロー不均衡と価格インパクト2016
- Author(s)
  高橋慎
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28（４） Pages: 1-5
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] Smooth Transition Realized Stochastic Volatilityモデル2014
- Author(s)
  高橋慎
- Journal Title
  
  日本統計学会誌
  
  Volume: 44(1) Pages: 41-60
- NAID
  110009864635
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Analyzing Intraday Variation in Price Impact: A Bayesian SVAR Approach with Stochastic Volatility Estimation2023
- Author(s)
  Makoto Takahashi
- Organizer
  The 25th International Conference on Computational Statistics (COMPSTAT 2023)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K01338
[Presentation] Analyzing Intraday Variation in Price Impact: A Bayesian SVAR Approach with Stochastic Volatility Estimation2023
- Author(s)
  Makoto Takahashi
- Organizer
  The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K01338
[Presentation] Realized stochastic volatility with skewed t distribution2023
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Analyzing Intraday Variation in Price Impact: A Bayesian SVAR Approach with Stochastic Volatility2023
- Author(s)
  Makoto Takahashi
- Organizer
  The 17th International Conference on Computational and Financial Econometrics (CFE 2023)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K01338
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  24th International Conference on Computational Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2021
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe, Yuta Yamauchi
- Organizer
  15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] A collaborative filtering approach to the evaluation of liquidity in the limit-order book markets2021
- Author(s)
  Takaki Hayashi and Makoto Takahashi
- Organizer
  4th International Conference on Econometrics and Statistics (EcoSta2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] A collaborative filtering approach to the evaluation of liquidity in the limit-order book markets2020
- Author(s)
  林高樹、高橋慎
- Organizer
  日本ファイナンス学会第28回大会
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] A collaborative filtering approach to the evaluation of liquidity in the limit-order book markets2020
- Author(s)
  高橋慎, 林高樹
- Organizer
  日本ファイナンス学会第28回大会
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] 協調フィルタリングによる注文板市場の流動性評価2020
- Author(s)
  林高樹、高橋慎
- Organizer
  日本金融・証券計量・工学学会（JAFEE）冬季大会
- Invited
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] 協調フィルタリングを応用した注文板市場の流動性評価2020
- Author(s)
  林高樹、高橋慎
- Organizer
  Summer Workshop on Economic Theory (SWET 2020)
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] 協調フィルタリングを応用した注文板市場の流動性評価2020
- Author(s)
  高橋慎, 林高樹
- Organizer
  Summer Workshop on Economic Theory（国際金融セッション）
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements.2019
- Author(s)
  高橋慎
- Organizer
  The 3rd International Conference on Econometrics and Statistics (EcoSta 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] 協調フィルタリングを応用した注文板市場の流動性計測2019
- Author(s)
  林高樹、高橋慎
- Organizer
  第7回統数研リスク解析戦略研究センター金融シンポジウム『金融が直面する新環境への対応と方法論II』
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements2019
- Author(s)
  高橋慎
- Organizer
  15th International Symposium on Econometric Theory and Applications (SETA2019）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements.2019
- Author(s)
  高橋慎
- Organizer
  15th International Symposium on Econometric Theory and Applications
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Realized stochastic volatility with skewed t distribution2019
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ベイズ計量経済学研究集会
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements2019
- Author(s)
  高橋慎
- Organizer
  3rd International Conference on Econometrics and Statistics (EcoSta2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  Workshop on Financial/Economic Analytics in 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  ベイズ計量経済分析研究集会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility with Skew-t Distribution2018
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility with Skew-t Distribution2018
- Author(s)
  高橋　慎
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE 2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17037
[Presentation] Realized Stochastic Volatility with Skew-t Error2017
- Author(s)
  高橋慎
- Organizer
  11th International Conference on Computational and Financial Econometrics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17037
[Presentation] Flow-Driven and Non-Flow-Driven Realized Variances2017
- Author(s)
  高橋慎
- Organizer
  1st International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17037
[Presentation] Flow-Driven and Non-Flow-Driven Realized Variances2017
- Author(s)
  Makoto Takahashi
- Organizer
  The 1st International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Realized Stochastic Volatility with Skew-t Error2017
- Author(s)
  高橋慎
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility with Skew-t Error2017
- Author(s)
  Makoto Takahashi (Yasuhiro Omori, Toshiaki Watanabe)
- Organizer
  11th International Conference on Computational and Financial Econometrics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Flow-Driven and Non-Flow-Driven Realized Variances2017
- Author(s)
  高橋慎
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Contemporaneous relationship between transaction returns and order flows: Implications on return variance2016
- Author(s)
  高橋　慎
- Organizer
  日本ファイナンス学会第24回大会
- Place of Presentation
  横浜国立大学（神奈川）
- Year and Date
  2016-05-21
- Data Source
  KAKENHI-PROJECT-15K17037
[Presentation] Contemporaneous Relationship between Transaction Returns and Order Flows: Implications on Return Variance2016
- Author(s)
  高橋慎
- Organizer
  日本ファイナンス学会
- Place of Presentation
  横浜国立大学（神奈川県横浜市）
- Year and Date
  2016-05-21
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Contemporaneous Relationship between Transaction Returns and Order Flows: Implications on Return Variance2016
- Author(s)
  高橋　慎
- Organizer
  日本ファイナンス学会
- Place of Presentation
  横浜国立大学（神奈川県横浜市）
- Year and Date
  2016-05-21
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution2015
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Price Impact, Flow Sensitivity and Volatility2015
- Author(s)
  高橋慎
- Organizer
  Hitotsubashi Summer Institute Workshop "Frontiers in Financial Econometrics"
- Place of Presentation
  一橋大学（東京）
- Year and Date
  2015-08-04
- Data Source
  KAKENHI-PROJECT-15K17037
[Presentation] Smooth Transition Realized Stochastic Volatilityモデル2014
- Author(s)
  高橋慎
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学（東京都文京区）
- Year and Date
  2014-09-15
- Data Source
  KAKENHI-PROJECT-26245028

1. Omori Yasuhiro (60251188)

# of Collaborated Projects: 4 results

# of Collaborated Products: 13 results
2. 渡部敏明 (90254135)

# of Collaborated Projects: 4 results

# of Collaborated Products: 14 results
3. 黒瀬雄大 (20713910)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
4. 國濱剛 (40779716)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
5. 石原庸博 (60609072)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
6. OYA Kosuke (20233281)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. 入江薫 (20789169)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
8. 山内雄太 (00914160)

# of Collaborated Projects: 2 results

# of Collaborated Products: 5 results
9. 菅原慎矢 (30711379)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. 新谷元嗣 (00252718)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. Ohta Wataru

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. Torben Andersen

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. Viktor Todorov

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. HAYASHI Takaki

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

Takahashi Makoto 高橋 慎

Research Projects

Research Products

Co-Researchers

New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

高頻度注文板データを用いた市場クオリティの分析Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

New developments in high dimensional data modeling and statistical risk analysis

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Statistical inference and empirical study on the measurement of risk and its propagation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Econometrics Analysis of Financial Markets with High Frequency DataPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] Stochastic Volatility and Realized Stochastic Volatility Models2023

Author(s)

Total Pages

Publisher

ISBN

Data Source

[Journal Article] On the evaluation of intraday market quality in the limit-order book markets: A collaborative filtering approach2021

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility2021

Author(s)

Journal Title

DOI

Data Source

[Journal Article] On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach2021

Author(s)

Journal Title

DOI

NAID

Data Source

[Journal Article] Realized Stochastic Volatilityモデル ―拡張と日本の株価指数への応用―2020

Author(s)

Journal Title

Data Source

[Journal Article] Realized Stochastic Volatilityモデルー拡張と日本の株価指数への 応用ー2020

Author(s)

Journal Title

Data Source

[Journal Article] 価格インパクトの日中変動2019

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