The University of Tokyo · Economics, Econometrics and Finance
Professor Takahiro Hattori's research lab specializes in financial econometrics and market microstructure, with a focus on asset pricing, volatility modeling, and central bank intervention in financial markets. The lab investigates market efficiency and arbitrage dynamics in digital and traditional financial assets, including Bitcoin and real estate investment trusts (REITs), using high-frequency data and advanced econometric techniques. It also explores the intersection of monetary policy and financial stability, particularly through the lens of unconventional monetary operations such as central bank equity purchases. Additionally, the lab contributes to applied physics through experimental research on high-power laser transmission in chalcogenide glass fibers.
Figures are computed from collected data and may differ slightly.
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
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