The University of Tokyo · 경제학
hattori 교수의 연구실은 금융시장의 비효율성과 자산 가격 형성 메커니즘을 중심으로, 암호자산(비트코인)의 시장 구조, 거래 비용, 변동성 예측 등에 중점을 두고 있습니다. 특히 비트코인 선물 및 현물 시장 간 아웃리처지, 시장 붕괴 시 나타나는 거래 기회, 그리고 변동성 모델링의 정확도 평가를 통해 금융자산의 리스크와 수익성 간 균형을 분석하고 있습니다. 또한 일본의 지방정부채 시장의 수익률 곡선 구축과 중앙은행의 주식 매입 정책 등 거시금융 정책의 영향력에 대한 분석도 진행 중입니다.
표시된 성과는 수집된 데이터 기준으로 산출되며, 일부 차이가 있을 수 있습니다.
Abstract We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes.”
This paper first evaluates the volatility modeling in the Bitcoin market in terms of its realized volatility, which is considered to be a reliable proxy of its true volatility. Based on the 5-minute return of Bitcoin, the proxy of its true volatility is computed as the sum of the squared intraday returns. To evaluate the performance of volatility modeling, this paper relies on MSE and QLIKE, which are the measures for making the forecast accuracy robust to noise in the imperfect volatility proxy
In the letter we experimentally demonstrate high-power CO laser transmission through As-S glass fibres. The maximum transmitted laser power reaches about 40 W with a 420 cm-long 1000 μm-diameter fibre. In this case no damage is observed in the fibre. Calculating from the damage threshold power intensity of 10.0 kW/cm2, it appears possible to transmit a power of up to about 80 W with a 1000 μm-diameter fibre.
<p align="left">The aim of this paper is to present the par yield curve for Japan’s Municipal Bonds, by examining daily data from 2002 to the present. Moreover, this paper contributes to current literature by making available for the first time additional long-run market data on Japan’s Municipal Bonds, and thereby enabling economists and practitioners to analyze the large municipal bond market of Japan in detail. We also investigate the fit of the well-known parametric and spline methods
This is the first study to analyze the Bank of Japan's (BOJ) purchase of real estate investment trusts (REITs) since 2010 as part of enhanced unconventional monetary policy. The BOJ purchases REIT shares after observing a significantly negative return over the previous night and during the morning market. The BOJ continues daily purchases until the overnight and morning REIT returns become positive. On the day of the BOJ's purchase, the lunchtime and afternoon returns are more likely to be posit
