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Takahashi Makoto  高橋 慎

ORCIDConnect your ORCID iD *help
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
  • Research Projects

    (6 results)
  • Research Products

    (53 results)
  • Co-Researchers

    (14 People)
  •  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

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