HAYASHI Takaki 林高樹

… Alternative Names

林高樹ハヤシタカキ

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Researcher Number	80420826
Other IDs
Affiliation (Current)	2025: 慶應義塾大学, 経営管理研究科(日吉), 教授
Affiliation (based on the past Project Information) *help	2015 – 2023: 慶應義塾大学, 経営管理研究科(日吉), 教授 2015 – 2016: 慶應義塾大学, 経営管理研究科, 教授 2011: 慶應義塾大学, 経営管理研究科, 教授 2007 – 2011: Keio University, 大学院・経営管理研究科, 准教授 2009: Keio University, 大学院・経営管理研究科, 教授
Review Section/Research Field	Principal Investigator Economic statistics Except Principal Investigator Basic Section 07030:Economic statistics-related / Foundations of mathematics/Applied mathematics / Statistical science / Social systems engineering/Safety system / Economic statistics
Keywords	Principal Investigator 高頻度データ / 経済統計学 / 統計解析 / HFT / 流動性 / データサイエンス / Kyleモデル / 推薦システム / 先行遅行分析 / 注文板市場 … More / マーケット・マイクロストラクチャ / 高頻度トレード (HFT) / 停止時刻 / マルチンゲール / 中心極限定理 / 漸近分布論 / 共分散 / 拡散過程 / 実現ボラティリティ / 非同期性 / 離散観測 / リスク管理 / 金融工学 … More Except Principal Investigator 統計数学 / 分散拡大係数 / ｔ値の分解 / 変数・モデル選択 / 重共線性 / 線形回帰モデル / ｙアコモデーティングモデルＸ / 回帰モデル選択 / ｔ検定 / 検出力縮小ファクタ / 分散拡大ファクタ / 重共線性問題 / 伝統的OLS枠組み / モデルのICリスク測度 / 実証的に有効なモデル / Xによる回帰モデル選択 / 検定方式への重共線性への影響 / 推定非効率性コントロール / 重共線性コントロール / 伝統的OLS枠組の問題点 / 予測変数の標本分散 / 2つのｔ値の平均値の恒等性検定 / モデル・変数選択 / 通常の最小2乗法 / 検定方式への重共線性の影響 / 実証的に有効なモデリング法 / 推定非効率性制御 / 重共線性制御 / decision theory / principal component / VIF / effective modeling / OLS / collinearity / model selection process / linear regression model / ジャンプ型確率過程 / 初期到達分布 / ジャンプ型拡散過程 / 確率微分方程式による死亡率予測モデリング / ある点過程の周辺尤度解析とモデル選択 / ウェーブレット解析 / 先行遅行分析 / 統計的機械学習 / 初期到達時刻分布 / セミマルチンゲールの期待値汎関数 / 計算統計 / 流動性 / リード・ラグ関係 / 漸近統計 / ファクターモデル / 保険数理 / リード・ラグ分析 / 高次元共分散推定 / 高頻度データ / 漸近理論 / 確率過程 / 確率微分方程式 / 数理統計学 / 解析学 / 確率解析 / 極限定理 / リミットオーダーブック / リード・ラグ / 擬似尤度解析 / 点過程 / 超高頻度データ / マルコフ解析 / ダウンロード数予測アルゴリズム / セキュリティー / 相殺的関係 / 相補的関係 / マルコフ連鎖 / 予測アルゴリズム / ダウンロード数 / 安定度 / 浸透度 / スマートフォン応用アプリ / 単語・文章スコア / テキストマイニング / プロファイル・ベクター / アクセスログ / VOC (Voice of Customers) / 製品組合せ販売 / ビッグデータ解析 / VOC（Voice of Customers) / スマートフォン応用ソフト / 将来値予測アルゴリズム / 判別アルゴリズム / テキスト・マイニング / プロダクト・プロファイル・ベクター / ブログ・プロファイル・ベクター / ビッグ・データ解析 / リスク尺度 / 高頻度金融データの計量理論 / 社債の価格理論 / 統計的強度モデル / 信用リスク / 統計的金融リスク管理論 / 高頻度ファイナンス計量分析 / ミクロ金融市場 / 金融危機 Less

Multicollinearity Analysis and Variable/Model Selection in Regression
- Principal Investigator
  
  Kariya Takeaki
- Project Period (FY)
  2021 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Nagoya University of Commerce & Business
Interdisciplinary research in mathematical/data science and simulation science for stochastic differential equation models
- Principal Investigator
  
  Uchida Masayuki
- Project Period (FY)
  2017 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Foundations of mathematics/Applied mathematics
- Research Institution
  Osaka University
Statistical analysis on high-speed stock price formation with the use of high-frequency limit-order book dataPrincipal Investigator
- Principal Investigator
  
  HAYASHI Takaki
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Keio University
Ultra high frequency data and lead-lag
- Principal Investigator
  
  Yoshida Nakahiro
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Challenging Exploratory Research
- Research Field
  
  Statistical science
- Research Institution
  The University of Tokyo
Comparative analysis of how e-WoM (e-Word-of Mouth) may affect performances of products and services on the Internet:U.S.A vs. Japan
- Principal Investigator
  
  SUMITA Ushio
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Keio University
  University of Tsukuba
New Developments in Financial Econometrics and Financial Markets in Japan
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Analysis of covariance structure of the financial markets by use of high-frequency dataPrincipal Investigator
- Principal Investigator
  
  HAYASHI Takaki
- Project Period (FY)
  2007 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Keio University

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All Journal Article Presentation Book

[Book] 『経済時系列ハンドブック』(第6章4節)2012
- Author(s)
  共著:林高樹(前川功一編)
- Publisher
  朝倉書店(掲載決定)
- Data Source
  KAKENHI-PROJECT-21243019
[Book] 高頻度データ解析, 『オペレーションズ・リサーチ』2010
- Author(s)
  林高樹
- Publisher
  日科技連出版社
- Data Source
  KAKENHI-PROJECT-19530186
[Book] 離散非同期観測データ間の共分散推定, 『数理科学』2010
- Author(s)
  林高樹
- Publisher
  サイエンス社
- Data Source
  KAKENHI-PROJECT-19530186
[Book] 『21世紀の統計科学I : 社会・経済の統計科学』(国友直人・山本拓編)内第10章「高頻度金融データと統計科学」2008
- Author(s)
  林高樹, 吉田朋広(分担執筆)
- Publisher
  東京大学出版会
- Data Source
  KAKENHI-PROJECT-19530186
[Book] 高頻度金融データと統計科学, 『21世紀の統計科学I:社会・経済の統計科学』2008
- Author(s)
  林高樹, 吉田朋広, 国友直人・山本拓(編編)
- Publisher
  東京大学出版会
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] A modelling Framework for Regression with Collinearity2023
- Author(s)
  Takeaki KARIYA, Hiroshi KURATA, Takaki HAYASHI
- Journal Title
  
  Journal of Statistical Planning and Inference
  
  Volume: 228 Pages: 95-115
- DOI
  10.1016/j.jspi.2023.07.001
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K01431
[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] No arbitrage and lead-lag relationships2019
- Author(s)
  Takaki Hayashi and Yuta Koike
- Journal Title
  
  Statistics and Probability Letters
  
  Volume: 154 Pages: 1-11
- DOI
  10.1016/j.spl.2019.06.006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K03601
[Journal Article] Wavelet-based methods for high-frequency lead-lag analysis2018
- Author(s)
  Takaki Hayashi and Yuta Koike
- Journal Title
  
  SIAM Journal on Financial Mathematics
  
  Volume: 9 Pages: 1208-1248
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17H01100
[Journal Article] Wavelet-based methods for high-frequency lead-lag analysis2018
- Author(s)
  Takaki Hayashi and Yuta Koike
- Journal Title
  
  SIAM Journal on Financial Mathematics
  
  Volume: 9 Issue: 4 Pages: 1208-1208
- DOI
  10.1137/18m1166079
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K03601
[Journal Article] 高頻度注文板データの統計解析: 異市場・同一株式価格間の先行遅行関係2017
- Author(s)
  林　高樹
- Journal Title
  
  統計数理
  
  Volume: 65
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-16K03601
[Journal Article] Comprehensive Analysis of Market Conditions in the Foreign Exchange Market : Fluctuation Scaling and Variance-Covariance Matrix2012
- Author(s)
  Aki-Hiro Sato, T.Hayashi
- Journal Title
  
  Journal of Economic Interaction and Coordination
  
  Volume: (accepted)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph2010
- Author(s)
  Sato, A., Hayashi, T.
- Journal Title
  
  European Physical Journal B (採択決定)
- NAID
  120002576694
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] 高頻度データと時間変更2009
- Author(s)
  林高樹
- Journal Title
  
  統計数理 57巻第1号
  
  Pages: 39-65
- NAID
  120006018990
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] High frequency statistics with irregularly spaced observations2009
- Author(s)
  Hayashi, T., Jacod, J., Yoshida, N.
- Journal Title
  
  『数理解析研究所講究録』「確率数値解析に於ける諸問題VIII」 No.1620
  
  Pages: 1-10
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] High frequency statistics with irregularly spaced observations2009
- Author(s)
  林高樹・Jean Jacod・吉田朋広
- Journal Title
  
  数理解析研究所講究録(「確率数値解析における諸問題(8)」RIMS共同研究報告集) 1620
  
  Pages: 1-10
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] 高頻度データと時間変更2009
- Author(s)
  林高樹
- Journal Title
  
  統計数理 57
  
  Pages: 39-65
- NAID
  120006018990
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] Nonsynchronous Covariance estimator and Limit Theorem II2008
- Author(s)
  Hayashi, T., Yoshida, N.
- Journal Title
  
  統計数理研究所Research Memorandum no.1067
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] Asymptotic Normality of a Covariance Estimator for Nonsynchronously Observed Diffusion Processes2008
- Author(s)
  T. Hayashi, N. Yoshida
- Journal Title
  
  Annals of the Institute of Statistical Mathematics 60-2
  
  Pages: 357-396
- NAID
  40016082029
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] Consistent estimation of covaridtion under nonsynchronicity2008
- Author(s)
  T. Hayashi, S. Kusuoka
- Journal Title
  
  Statistical Inference for Stochastic Processes 11-1
  
  Pages: 93-106
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530186
[Journal Article] 高頻度データの取引時間モデル2008
- Author(s)
  林高樹
- Journal Title
  
  慶應経営論集 25巻
  
  Pages: 23-37
- NAID
  40015983183
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 線形回帰分析における多重共線性を考慮した変数選択法の実装2024
- Author(s)
  林高樹
- Organizer
  日本オペレーションズ・リサーチ学会
- Data Source
  KAKENHI-PROJECT-21K01431
[Presentation] 高頻度金融市場における多重先行遅行関係のウェーブレット解析2021
- Author(s)
  林高樹，小池祐太
- Organizer
  2021年度統計数理セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 東京証券取引所におけるETFマーケットメイク制度導入の先行遅行関係への影響分析2021
- Author(s)
  林高樹，小池祐太
- Organizer
  2021年度冬季JAFEE大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Bootstrap test for multi-scale lead-lag relationships in high-frequency data2021
- Author(s)
  Takaki Hayashi，Yuta Koike
- Organizer
  Bernoulli-IMS 10th World Congress in Probability and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] ウェーブレット法による株式市場における多重先行遅行関係に関する実証分析2021
- Author(s)
  林高樹
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 協調フィルタリンク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
  第52回2019年度冬季JAFEE大会 (中央大学) (大会中止・発表成立)
- Data Source
  KAKENHI-PROJECT-16K03601
[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回統計数理研究所リスク解析戦略研究センター金融シンポジウム (東京)
- Invited
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Strategic Liquidity Provision in High Frequency Trading2019
- Author(s)
  Takaki Hayashi and Katsumasa Nishide
- Organizer
  Quantitative Methods in Finance Conference 2019, Sydney
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Strategic Liquidity Provision in High Frequency Trading2019
- Author(s)
  林高樹, 西出勝正
- Organizer
  日本ファイナンス学会第1回秋季研究大会 (大阪大学)
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] No arbitrage and lead-lag relationships2018
- Author(s)
  林高樹
- Organizer
  JAFEE2018冬季大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] No arbitrage and lead-lag relationships2018
- Author(s)
  Takaki Hayashi
- Organizer
  10th Bachelier Finance Society World Congress
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018
- Author(s)
  林高樹, 小池祐太
- Organizer
  2018 年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018
- Author(s)
  林高樹
- Organizer
  2018 年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度データによる証券価格間の先行遅行関係分析: 代替的アプローチ2017
- Author(s)
  林高樹
- Organizer
  ワークショップ「証券市場の諸問題」
- Place of Presentation
  大阪大学数理・データ科学教育研究センター (大阪府大阪市)
- Year and Date
  2017-03-07
- Invited
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] No arbitrage and lead-lag relationships2017
- Author(s)
  Takaki Hayashi, Yuta Koike
- Organizer
  JAFEE2018冬季大会
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] ウェーブレット法による高頻度金融時系列間の先行遅行関係分析2017
- Author(s)
  林高樹
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Multi-scale analysis of lead-lag relationships in high-frequency financial markets2017
- Author(s)
  Takaki Hayashi, Yuta Koike
- Organizer
  釧路・経済統計キャンプ2017 (新しい時系列計量分析の理論と応用)
- Invited
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  林高樹、小池祐太
- Organizer
  日本ファイナンス学会第25回大会
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] 高頻度データを用いた金融証券価格間の先行遅行時間推定方法の比較2017
- Author(s)
  林高樹
- Organizer
  日本金融・証券計量・工学学会(JAFEE)2016冬季大会
- Place of Presentation
  武蔵大学 (東京都練馬区)
- Year and Date
  2017-02-17
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  Takaki Hayashi and Yuta Koike
- Organizer
  Asymptotic Statistics and Computations 2017
- Place of Presentation
  University of Tokyo (東京都目黒区)
- Year and Date
  2017-01-31
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  Takaki Hayashi
- Organizer
  10th Annual SoFiE Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  Takaki Hayashi, Yuta Koike
- Organizer
  10th Annual SoFiE Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] ウェーブレット法による高頻度金融時系列間の先行遅行関係分析2017
- Author(s)
  林高樹, 小池祐太
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  林高樹
- Organizer
  2017年度日本ファイナンス学会第25回大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2016
- Author(s)
  Takaki Hayashi and Yuta Koike
- Organizer
  TMU Workshop on Financial Mathematics and Statistics 2016
- Place of Presentation
  Tokyo Metropolitan University (東京都千代田区)
- Year and Date
  2016-11-29
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] From covariance estimation to lead-lag analysis with high-frequency data: methods and issues2016
- Author(s)
  Takaki Hayashi
- Organizer
  9th Bachelier World Congress
- Place of Presentation
  New York, U.S.A.
- Year and Date
  2016-07-19
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] A Multiresolution Approach to High-Frequency Lead-Lag Analysis2016
- Author(s)
  Takaki Hayashi and Yuta Koike
- Organizer
  Market Microstructure Confronting Many Viewpoints 2016
- Place of Presentation
  L'Institut de Louis Bachelier, Paris, France
- Year and Date
  2016-12-07
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Analysis of VOC (Voice of Customer) Data for Assessing Corporate Image of a Housing Equipment Company2016
- Author(s)
  Hiroaki Takagi, Kaoru Ema, Ushio Sumita, Takaki Hayashi and Masahiro Okada
- Organizer
  The 2016 International Conference on Industrial Engineering and Operations Management
- Place of Presentation
  Kuala Lumpur, Malaysia
- Year and Date
  2016-03-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282086
[Presentation] Development of Effective Marketing Strategies for a Housing Equipment Company Based on Analysis of Sales Data and Sales Personnel2016
- Author(s)
  Kakunoshin Nishiyama, Yuya Nakata, Ushio Sumita, Takaki Hayashi, and Masahiro Okada Graduate School of Business Administration
- Organizer
  The 2016 International Conference on Industrial Engineering and Operations Management
- Place of Presentation
  Kuala Lumpur, Malaysia
- Year and Date
  2016-03-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282086
[Presentation] On lead-lag analysis with high-frequency data2016
- Author(s)
  Takaki Hayashi
- Organizer
  Keio Symposium on Risk Assessment
- Place of Presentation
  Keio University (神奈川県横浜市)
- Year and Date
  2016-09-21
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K03601
[Presentation] Structural Analysis of Page Access Behaviors of Sessions at Website of a Housing Equipment Company2016
- Author(s)
  Mikio Komatsu, Masahito Mori, Ushio Sumita, Takaki Hayashi and Masahiro Okada
- Organizer
  The 2016 International Conference on Industrial Engineering and Operations Management
- Place of Presentation
  Kuala Lumpur, Malaysia
- Year and Date
  2016-03-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282086
[Presentation] Statistical Analysis of Transaction Prices and Timestamps : An Approach via generalized realized power variations2012
- Author(s)
  Takaki Hayashi
- Organizer
  Joint Statistics Seminar
- Place of Presentation
  HKUST Business School 中国
- Year and Date
  2012-03-26
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Irregularly spaced timestamps and trade price fluctuation, Korean Statistical Society International Conference on Statistics and Probability2011
- Author(s)
  Takaki Hayashi
- Place of Presentation
  Bussan, Korea
- Year and Date
  2011-07-01
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Irregularly spaced timestamps and trade price fluctuation2011
- Author(s)
  Takaki Hayashi
- Organizer
  Korean Statistical Society International Conference on Statistics and Probability
- Place of Presentation
  Busan, Korea
- Year and Date
  2011-07-01
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] 高頻度データの取引価格とタイムスタンプ2011
- Author(s)
  林高樹
- Organizer
  「金融工学・数理計量ファイナンスの諸問題2011」ワークショップ
- Place of Presentation
  大阪大学金融・保険教育研究センター
- Year and Date
  2011-12-02
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Irregularly spaced timestamps and trade price fluctuation2011
- Author(s)
  林高樹
- Organizer
  TMUファイナンスセミナー
- Place of Presentation
  首都大学東京大学院社会科学研究科
- Year and Date
  2011-07-06
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Interdependency between trade prices and timestamps : An empirical study2010
- Author(s)
  Takaki Hayashi
- Organizer
  Conference on Modeling High Frequency Data in Finance II
- Place of Presentation
  Stevens Institute of Technology(ニュージャージー、米国)
- Year and Date
  2010-06-27
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Irregularly spaced timestamps and trade price fluctuation2010
- Author(s)
  Takaki Hayashi
- Organizer
  南山横国ファイナンス・ワークショップ
- Place of Presentation
  南山大学
- Year and Date
  2010-11-13
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] 外国為替市場におけるゆらぎのスケーリング:実測と理論2010
- Author(s)
  佐藤彰洋(報告者), 林高樹
- Organizer
  統計数理研究所「経済物理学とその周辺研究会」
- Place of Presentation
  統計数理研究所
- Year and Date
  2010-03-06
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Interdependency between trade prices and timestamps : An empirical study2010
- Author(s)
  Takaki Hayashi
- Organizer
  Conference on Modeling High Frequency Data in Finance II
- Place of Presentation
  Stevens Institute of Technology
- Year and Date
  2010-06-27
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Comprehensive measurement of agent behavior in financial markets2009
- Author(s)
  Sato, A. (報告者), Hayashi, T.
- Organizer
  Complex'09
- Place of Presentation
  中央大学
- Year and Date
  2009-11-06
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] ゆらぎのスケーリング則に関する確率モデル京都大学基礎物理学研究所「経済物理学2009」・統計数理研究所「経済物理学とその周辺研究会」2009
- Author(s)
  佐藤彰洋(報告者), 林高樹
- Organizer
  京都大学基礎物理学研究所
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Statistical analysis of covariance and cross-spectral matrices for multiple high-frequency financial data2009
- Author(s)
  佐藤彰洋(報告者), 林高樹
- Organizer
  APFA7(第7回国際会議『物理学の金融データ解析への応用』
- Place of Presentation
  東京工業大学
- Year and Date
  2009-03-02
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariation and high-frequency data2009
- Author(s)
  林高樹(発表者)・吉田朋広
- Organizer
  3^<rd> CSDA International Conference on Computational and Financial Econometrics(CEF09)
- Place of Presentation
  Limassol, Cyprus
- Year and Date
  2009-10-31
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] ゆらぎのスケーリングに関する確率モデル2009
- Author(s)
  佐藤彰洋(発表者)・林高樹
- Organizer
  京都大学基礎物理学研究所「経済物理学2009」・統計数理研究所「経済物理学とその周辺研究会」
- Place of Presentation
  京都大学
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariation and high-frequency data2009
- Author(s)
  Hayashi, T. (報告者), Yoshida, N.
- Organizer
  3rd CSDA International Conference on Computational and Financial Econometrics(CEF09)
- Place of Presentation
  Limassol, Cyprus
- Year and Date
  2009-10-31
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Limit Theorems for Realized Volatility Type Quantities Based on Nonsynchronous, Irregularly Spaced Samples2009
- Author(s)
  林高樹(発表者)・吉田朋広
- Organizer
  日本経済学会春季大会
- Place of Presentation
  京都大学
- Year and Date
  2009-06-07
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Limit theorems for realized volatility type quantities based on nonsynchronous2009
- Author(s)
  林高樹(報告者), 吉田朋広
- Organizer
  irregularly spaced samples, 日本経済学会春季大会
- Place of Presentation
  京都大学
- Year and Date
  2009-06-07
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariation and limit theorem2009
- Author(s)
  吉田朋広(報告者), 林高樹
- Organizer
  日本数学会2008年度年会
- Place of Presentation
  東京大学
- Year and Date
  2009-03-28
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] High frequency statistics with irregularly spaced observations2008
- Author(s)
  Hayashi, T., Jacod, J. (報告者), Yoshida, N.
- Organizer
  第8回「確率数値解析に於ける諸問題」ワークショップ
- Place of Presentation
  京都大学数理解析研究所
- Year and Date
  2008-07-07
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 高頻度金融データの統計科学:最近の発展と展望2008
- Author(s)
  林高樹
- Organizer
  日本統計学会春期大会
- Place of Presentation
  成城大学
- Year and Date
  2008-03-01
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 高頻度データと統計科学2008
- Author(s)
  林高樹
- Organizer
  統計学会春季大会(計量ファイナンス-金融リスクの統計科学)
- Place of Presentation
  成城大学
- Year and Date
  2008-03-01
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 高頻度データの統計学: Realized Volatilityとその周辺2008
- Author(s)
  林高樹(報告者)
- Organizer
  統計サマーセミナー2008
- Place of Presentation
  河口湖
- Year and Date
  2008-08-05
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 高頻度データ分析とその周辺2008
- Author(s)
  林高樹
- Organizer
  日本or学会「ファイナンスと意思決定」研究会
- Place of Presentation
  首都大学東京(秋葉原キャンパス)
- Year and Date
  2008-06-18
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 高頻度データ分析とその周辺2008
- Author(s)
  林高樹
- Organizer
  日本OR学会「ファイナンスと意思決定」研究会
- Place of Presentation
  首都大学東京・秋葉原ダイビル
- Year and Date
  2008-06-18
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 高頻度データの統計学 : realized volatilityとその周辺2008
- Author(s)
  林高樹
- Organizer
  統計サマーセミナー2008
- Place of Presentation
  山梨県南都留郡富士河口湖町(河口湖)
- Year and Date
  2008-08-05
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariation with application to high-fregeuncy finance2007
- Author(s)
  林高樹
- Organizer
  経済統計ワークショップ
- Place of Presentation
  一橋大学
- Year and Date
  2007-07-12
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 非同期観測下における拡散過程間の共分散推定問題2007
- Author(s)
  林高樹(報告者), 吉田朋広
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-08
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] 非同期観測下における拡散過程間の共分散推定問題2007
- Author(s)
  林高樹
- Organizer
  統計学会連合大会『高頻度データを用いた計量ファイナンス分析』企画セッション
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-08
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariance estimator and limit theorem2007
- Author(s)
  Hayashi, T. (報告者), Yoshida, N
- Organizer
  研究集会「確率解析と統計的推測」
- Place of Presentation
  東京大学
- Year and Date
  2007-11-30
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariance estimator and limit theorem2007
- Author(s)
  林高樹
- Organizer
  『確率適程と統計的推測』研究集会
- Place of Presentation
  東京大学
- Year and Date
  2007-11-30
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous covariance estimator and limit theorem2007
- Author(s)
  林高樹
- Organizer
  『確率過程とその応用2007』国際会議(Stochastic Processes and their Applications 2007)
- Place of Presentation
  Univehsty of Illinois at Urbana-Champaign
- Year and Date
  2007-08-07
- Data Source
  KAKENHI-PROJECT-19530186
[Presentation] Nonsynchronous Covariation with Application to High-Frequency Finance2007
- Author(s)
  Hayashi, T. (報告者), Yoshida, N
- Organizer
  32nd Conference on Stochastic Processes and their Applications (SPA07)
- Place of Presentation
  イリノイ大学アバナシャンパン校
- Year and Date
  2007-08-07
- Data Source
  KAKENHI-PROJECT-19530186

1. UCHIDA Masayuki (70280526)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. SHIMIZU Yasutaka (70423085)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. KUNITOMO Naoto (10153313)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. OHTA Wataru (20293681)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. NAKAGAWA Hidetoshi (30361760)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. KAWASAKI Yoshinori (70249910)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. TSUKAHARA Hideatsu (10282550)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. SUMITA Ushio (10236044)

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
10. OKADA Masahiro (70327667)

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
11. HACHIMORI Masayasu (00344862)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. TAKEHARA Kota (70611747)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. Yoshida Nakahiro (90210707)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. MASUDA Hiroki (10380669)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. KAMATANI Kengo (00569767)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. Kariya Takeaki (70092624)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
17. 小池祐太 (80745290)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results

HAYASHI Takaki 林 高樹

林 高樹 ハヤシ タカキ

Research Projects

Research Products

Co-Researchers

Multicollinearity Analysis and Variable/Model Selection in Regression

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Interdisciplinary research in mathematical/data science and simulation science for stochastic differential equation models

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Statistical analysis on high-speed stock price formation with the use of high-frequency limit-order book dataPrincipal Investigator

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Ultra high frequency data and lead-lag

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Comparative analysis of how e-WoM (e-Word-of Mouth) may affect performances of products and services on the Internet:U.S.A vs. Japan

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New Developments in Financial Econometrics and Financial Markets in Japan

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Analysis of covariance structure of the financial markets by use of high-frequency dataPrincipal Investigator

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[Book] 『経済時系列ハンドブック』(第6章4節)2012

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[Book] 高頻度データ解析, 『オペレーションズ・リサーチ』2010

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[Book] 離散非同期観測データ間の共分散推定, 『数理科学』2010

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[Book] 『21世紀の統計科学I : 社会・経済の統計科学』(国友直人・山本拓編)内 第10章「高頻度金融データと統計科学」2008

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[Book] 高頻度金融データと統計科学, 『21世紀の統計科学I:社会・経済の統計科学』2008

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[Journal Article] A modelling Framework for Regression with Collinearity2023

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

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[Journal Article] No arbitrage and lead-lag relationships2019

Author(s)

HAYASHI Takaki 林高樹

林高樹ハヤシタカキ

[Book] 『21世紀の統計科学I : 社会・経済の統計科学』(国友直人・山本拓編)内第10章「高頻度金融データと統計科学」2008