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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
気配価格を利用したボラティリティ予測モデルの補正とその応用2019-04 -- 2021-03Japan Society of for the Promotion of Science/若手研究2,990,000Yen
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
2018-04教育貢献賞
2016-01JAFEE論文賞(応用部門)
Articles
  • Comparison of Financial Volatility Estimators: RK, TS, PA and SIML
    Misaki Hiroumi
    International Symposium on Statistical Theory and Methodology for Large Complex Data/pp.11-18, 2018-11
  • Practical Application of the SIML Estimation of Covariance, Correlation, and Hedging Ratio with High-Frequency Financial Data
    Misaki Hiroumi
    Intelligent Decision Technologies 2019 (KES-IDT 2019), Smart Innovation, Systems and Technologies, 2020
  • 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.
  • Comparison of Financial Volatility Estimators: RK, TS, PA and SIML
    Misaki Hiroumi
    International Symposium on Statistical Theory and Methodology for Large Complex Data/2018-11
  • On the Error of Realized Measures of Volatility in Finance,” International Conference on “Data Science, Time Series Modeling and Applications
    Misaki Hiroumi
    International Conference on “Data Science, Time Series Modeling and Applications” (ICMMA 2018)/2019-02
  • Practical Application of the SIML Estimation of Covariance, Correlation, and Hedging Ratio with High-Frequency Financial Data
    Misaki Hiroumi
    Smart Innovation, Systems and Technologies 2019/2019-06
  • 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: 2019-05-06)