Hayashi, T. and Takahashi, M. "On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach." Japanese Journal of Statistics and Data Science, 4-1, 697-730, 2021.
Hayashi, T. and Koike, Y. "No arbitrage and lead-lag relationships." Statistics and Probability Letters, 154, 108530, 2019.
Hayashi, T. and Koike, Y. "Wavelet-based methods for high-frequency lead-lag analysis." SIAM Journal on Financial Mathematics, 9-4, 1208-1248, 2018.
Sato A.H., Hayashi, T, and Holyst, J.A. "Comprehensive analysis of market conditions in the foreign exchange market: Fluctuation scaling and variance-covariance matrix." Journal of Economic Interaction and Coordination, 7-2, 167-179, 2012.
林「高頻度データの分析(2)」, 『経済時系列分析ハンドブック』(6.4節分担執筆), 2012.
Hayashi, T., Jacod, J., and Yoshida, N. "Irregular sampling and Central Limit Theorem for Power Variations: the Continuous Case." Annales de L'Institut Henri Poincare, 47-4, 1197-1218, 2011.
Hayashi, T. and Yoshida, N. "Nonsynchronous Covariation Process and Limit Theorems." Stochastic Processes and their Applications, 121-10, 2416-2454, 2011.
Sato A.H. and Hayashi, T. "Fluctuation Scaling and Covariance Matrix of Constituents' Flows on a Bipartite Graph." European Physical Journal B, 76-4, 529-535, 2010.
林「高頻度データとは何か」, 『証券アナリストジャーナル』, 48-1, 56-66, 2010.
林「高頻度データと時間変更」, 『統計数理』,57-1, 39-65, 2009.
Hayashi, T. and Kusuoka, S. "Consistent Estimation of Covariation under Nonsynchronicity." Statistical Inference for Stochastic Processes,11-1, 93-106, 2008.
Hayashi, T. and Yoshida, N. "Asymptotic Normality of a Covariance Estimator for Nonsynchronously Observed Diffusion Processes." Annals of the Institute of Statistical Mathematics 60-2, 357-396, 2008.
Hayashi, T. and Mykland, P.A. "Evaluating Hedging Errors: An Asymptotic Approach." Mathematical Finance 15-2, 309-343, 2005.
Hayashi, T. and Yoshida, N. "On Covariance Estimation of Non-synchronously Observed Diffusion Processes." Bernoulli 11-2, 359-379, 2005.
Hayashi, T. "A Discrete-Time Model of High-Frequency Stock Returns." Quantitative Finance 4-2, 140-150, 2004.