Graduate School of Mathematical Sciences, The University of Tokyo (Komaba Campus)
Room 123, February 15-16, 2016

http://www.ms.u-tokyo.ac.jp/access/index.html

This workshop aims at exchanges of the state-of-the-art in a wide range of asymptotic statistics, computational statistics, and statistical modeling from theoretical, methodological, and implementation points of view.

This workshop is partially supported by CREST, JST: Mathematical statistics and stochastic analysis for modeling and analysis of complex random systems (Research Director: Nakahiro Yoshida, The University of Tokyo)

Program

Feb 15 (Mon.)

13:00 ~ 13:35 Mark Podolskij (Aarhus University)
On U-statistics of discontinuous Ito semimartingales

13:35 ~ 14:10 Teppei Ogihara (The institute of Statistical Mathematics, JST PRESTO)
Parameter estimation for diffusion processes with noisy, nonsynchronous observations

14:30 ~ 15:05 Nakahiro Yoshida (The University of Tokyo, JST CREST, Institute of Statistical Mathematics) 
Asymptotic expansion of quasi likelihood estimators and model selection for volatility

15:05 ~ 15:40 Kengo Kamatani (Osaka University, MMDS, JST CREST)
Ergodicity of MpCN and related MCMC algorithms

16:00 ~ 16:35 Yuta Koike (The institute of Statistical Mathematics)
Statistical analysis of price discovery: a stochastic process approach

16:35 ~ 17:10 Hiroki Masuda (Kyushu University, JST CREST)
Stepwise estimation of ergodic Levy driven SDE

February 16 (Tue.)

9:30 ~ 10:05 Akitoshi Kimura (The University of Tokyo) 
Estimation of correlation between latent processes

10:05 ~ 10:45 Takanori Adachi (Ritsumeikan University)
A Note on algorithmic trading based on some personal experience

11:00 ~ 11:35 Takaki Hayashi (Keio University) 
Empirical performance of alternative lead-lag measures for high-frequency, cross-market stock price movements

13:00 ~ 13:35 Ryosuke Nomura (Osaka University, MMDS)
Computation of higher order terms in an asymptotic expansion

13:35 ~ 14:10 Masayuki Uchida (Osaka University, MMDS, JST CREST)
Adaptive estimation for small diffusion processes and its applications

14:30 ~ 15:05 Simon Clinet (The University of Tokyo)
Statistical inferences for point processes and Limit Order Book

15:05 ~ 15:40 Frédéric Abergel (Ecole Centrale Paris)
Point process modeling and estimation for order-driven markets

16:00 ~ 16:35 Stefano Iacus (University of Milan) 
Simulation and Inference for CARMA and COGARCH models