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Misaki Hiroumi

Affiliation
Faculty of Engineering, Information and Systems
Official title
Assistant Professor
Research fields
Statistical science
Money/ Finance
Economic statistics
Research keywords
高頻度・大規模データ解析
資産価格
金融リスク
状態空間モデル
Research projects
高頻度データによる資産価格の分散・共分散推定2016-04 -- 2018-03公益財団法人野村財団/社会科学研究助成
Academic societies
-- (current)Nippon Finance Association
-- (current)THE JAPAN STATISTICAL SOCIETY
-- (current)The Econometric Society
-- (current)Japanease Economic Association
Honors & Awards
2016-01JAFEE論文賞(応用部門)
Articles
  • An Empirical Analysis of Volatility by the SIML Estimation with High-Frequency Trades and Quotes
    Misaki Hiroumi
    Intelligent Decision Technologies 2018 (KES-IDT 2018), Smart Innovation, Systems and Technologies, vol. 97, 2018-06
  • Recent developments in the SIML estimation of integrated volatility with high frequency financial data
    Misaki Hiroumi
    International Symposium on Statistical Analysis for Large Complex Data (Abstracts)/pp.9-18, 2016-11
  • 粒子フィルタによる信用リスクの推定
    三崎 広海
    日本統計学会誌, 2011-09
  • The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling
    Naoto Kunitomo; 三崎 広海; Seisho Sato
    Asia-Pacific Financial Markets, 2015-09
  • On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling
    Misaki Hiroumi; Naoto Kunitomo
    International Review of Economics & Finance, 2015-11
Conference, etc.
  • An Empirical Analysis of Volatility by the SIML Estimation with High-Frequency Trades and Quotes
    Misaki Hiroumi
    10th KES International Conference on Intelligent Decision Technologies (KES-IDT 2018)/2018--2018
  • Recent developments in the SIML estimation of integrated volatility with high frequency financial data
    Misaki Hiroumi
    International Symposium on Statistical Analysis for Large Complex Data/2016-11-21--2016-11-23
Teaching
2018-10 -- 2018-12Financial Risk AnalysisUniversity of Tsukuba.
2018-10 -- 2018-12Time Series AnalysisUniversity of Tsukuba.
2018-10 -- 2018-12Workshop on Social and Economic Planning:Global and Public Systems AreaUniversity of Tsukuba.
2018-04 -- 2018-06Time Series AnalysisUniversity of Tsukuba.
2018-07 -- 2018-07Introduction to Risk ManagementUniversity of Tsukuba.
2018-10 -- 2019-02Basic Master's Seminar in Policy and Planning Sciences IUniversity of Tsukuba.
2018-10 -- 2019-02Basic Master's Seminar in Policy and Planning Sciences IIUniversity of Tsukuba.
2018-10 -- 2019-02Special Master's Seminar in Policy and Planning Sciences IUniversity of Tsukuba.
2018-10 -- 2019-02Special Master's Seminar in Policy and Planning Sciences IIUniversity of Tsukuba.
2018-10 -- 2019-02Special Master's Research Work in Policy and Planning Sciences IUniversity of Tsukuba.
University Management
2016-04 -- (current)社会工学類クラス担任
2016-04 -- 2018-03社会工学類入試委員会委員
2015-04 -- 2017-03社会工学類広報委員会委員
2016-04 -- 2018-03リスク工学専攻学年担当M1, M2主担当
2016-04 -- 2017-03リスク工学専攻カリキュラム委員会委員
2016-04 -- (current)リスク工学専攻GP達成度評価委員会委員
2016-04 -- (current)リスク工学専攻大塚キャンパス対策委員会委員
2015-04 -- (current)リスク工学専攻入試委員会委員
2016-04 -- 2017-03リスク工学専攻演習担当主担当
2015-04 -- (current)リスク工学専攻演習担当担当
Other activities
2016-10 -- 2016-10高大連携・出前講義,「金融・経済と統計学」,新潟県立長岡高等学校

(Last updated: 2018-08-31)