TH’s research

Research interest:

High-frequency financial data modeling and analysis. Statistical inference for stochastic processes.

Selected publications:

Refereed journal articles:

Hayashi, T. and Kusuoka, S. Consistent Esimation of Covariation under Nonsynchronicity. Preprint (2004). 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. Preprint (2004). Annals of the Institute of Statistical Mathematics 60-2, 357-396, 2008.

Hayashi, T. and Mykland, P.A. Evaluating Hedging Errors: An Asymptotic Approach. Technical Report No.540, Univ. of Chicago (2002). Mathematical Finance, 15-2, 309-343 (2005).

Hayashi, T. and Yoshida, N. On Covariance Estimation of Non-synchronously Observed Diffusion Processes. Preprint (2003). Bernoulli, 11-2, 359-379 (2005).

Hayashi, T. A Discrete-Time Model of High-Frequency Stock Returns. Quantitative Finance, 4-2, 140-150 (2004).

Refereed conference article:

Hayashi, T. and Yoshida, N. On Covariance Estimation for High-frequency Financial Data. In Financial Engineering and Applications 2004 (edited by M.H. Hamza), no. 437-801, ACTA Press (2004). ISBN: 0-88986-417-9.

Preprints

Hayashi, T. and Yoshida, N. Estimating Correlations with Nonsynchronous Observations in Continuous Diffusion Models. Preprint (2005).

Hayashi, T. and Yoshida, N. Nonsynchronous Covariance Estimator and Limit Theorem. ISM Research Memorandum no.1020 (2006).

Hayashi, T. and Yoshida, N. Nonsynchronous Covariance Estimator and Limit Theorem - II. (2007).

Presentations (2003~):

Computational Finance seminar at Purdue University, January 31, 2003.

5^th Columbia-JAFEE Mathematics of Finance Conference, Tokyo, March 2003.

Midwest Finance Association 52^nd Annual Meeting, St. Louis, March 27, 2003.

Mathematical Finance Seminar at the University of Tokyo, July 2, 2003.

Statistical Mathematics Seminar at the University of Tokyo, July 3 & 10, 2003.

Mathematical Finance Seminar at the University of Tokyo, January 21, 2004.

FTA Seminar at Osaka University, February 23, 2004.

4^th ICS Int’l Conference on Financial Engineering and Statistical Finance, at Hitotsubashi Univ., March 18, 2004.

“Prospects of Financial Engineering 2004” (in the honor of Professor Kariya’s retirement), Research Center for Financial Engineering, Kyoto University, March 24, 2004.

Applied Statistics Workshop at the University of Tokyo, May 7, 2004.

Mathematical Finance Workshop at Hitotsubashi University, June 16, 2004.

12^th INFORMS/APS Conference, Beijing, June 23, 2004.

Statistical Mathematics Seminar at the University of Tokyo, July 1, 2004.

3^rd Bachelier World Congress, Chicago, July 22, 2004.

6^th World Congress of the Bernoulli Society, Barcelona, July 28, 2004.

7^th Columbia-JAFEE Mathematics of Finance Conference, New York, October 9, 2004.

Operations Research & Financial Engineering Seminar at Princeton University, October 19, 2004.

Center for Applied Mathematics Colloquium/Financial Engineering Seminar at Cornell University, October 29, 2004.

IASTED Int’l Conference on Financial Engineering and Applications 2004, Boston, November 10, 2004.

Statistics Seminar at Rutgers University, February 16, 2005.

Princeton-Chicago Conference on the Econometrics of High Frequency Financial Data, Bonita Springs, June 25, 2005.

Research Center for Mathematical Economics Workshop “2005 Mathematical Economics” at Kyoto University, Research Center for Mathematical Sciences, November 19, 2005.

Symposium on “Asymptotic Methods in Probability and Statistics” at the University of Tokyo, Graduate School of Mathematical Sciences, December 8, 2005.

Quantitative Methods in Finance Conference 2005, Sydney, December 14, 2005.

Symposium on “Theory and Practice of Statistical Inference for Stochastic Differential Equations II,” University of Tokyo, Graduate School of Mathematical Sciences, February 20, 2006.

Workshop on “Risk Measures and Risk Management for High-Frequency Data,” EURANDOM, Eindhoven, The Netherlands, March 7, 2006.

Financial Mathematics Seminar, Stanford University, March 10, 2006.

CIREQ Conference on Realized Volatility, Montreal, April 22, 2006.

Japan Statistical Society 75^th Anniversary Symposium, University of Tokyo, May 6, 2006.

Int’l Chinese Statistical Association 2006 Applied Statistics Symposium, Univ. of Connecticut at Storrs, June 15, 2006.

4th Bachelier World Congress, Tokyo, August 20, 2006.

7^th Ritsumeikan International Symposium on Stochastic Processes and Mathematical Finance, Ritsumeikan University, February 28, 2007.

2007 Stanford-Tsukuba-WCQF (Western Consortium in Quantitative Finance) Joint Workshop, Stanford University, March 10, 2007.

SAPS (Asymptotical Statistics of Stochastic Processes) VI, Université du Maine, Le Mans, March 22, 2007.

Econometrics Seminar, Institute of Economic Research, Kyoto University, March 30, 2007.

Economics and Statistics Workshop, Hitotsubashi University, July 12, 2008.

32^nd Conference on Stochastic Processes and their Applications (SPA07), Univ. of Illinois at Urbana-Champaign, August 7, 2007.

2007 Japanese Joint Statistical Meeting, Kobe University, September 8, 2007.

Workshop on “Stochastic Analysis and Statistical Inference,” University of Tokyo, Graduate School of Mathematical Sciences, November 30, 2007.

Japan Statistical Society Spring Meeting, Seijo University, March 1, 2008.

“Finance and Decision Making” Workshop, Operations Research Society of Japan, June 18, 2008.

Other professional activities:

Associate Editor: Asia-Pacific Financial Markets (APFM).

Ad-hoc referee of manuscripts: Statistics and Probability Letters, International Journal of Theoretical and Applied Finance, Quantitative Finance, Journal of Economic Dynamics and Control, Journal of Econometrics, Annals of Statistics, etc.

Reviewer of grant proposals: NSF.

Professional member: Bernoulli, IMS (Institute of Mathematical Statistics), Bachelier Finance, JAFEE (Japanese Association of Financial Econometrics and Engineering), Japan Statistical Society.

Grants and fellowships:

Daiwa Securities Chairship, Kyoto University, Graduate School of Econmics, 2003.

The 21^st Century COE (Center-Of-Excellence) Program, University of Tokyo, Graduate School of Mathematical Sciences, 2004.

Grants for the Advancement of Research at the Graduate Schools of Keio University, 2005-2007.

Keio Gakuji Academic Development Funds, 2005-2006, 2006-2007, 2007-.

Grant-in-Aid for Scientific Research (C), Japan Society for the Promotion of Science (JSPS), 2007-present (No. 19530186).