MISAKI Hiroumi

Affiliation
Institute of Systems and Information Engineering
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
時系列データ解析
金融リスク
資産価格
状態空間モデル
Research projects
マルチモデルアンサンブルによる高頻度金融時系列データに基づく金融リスク管理2021-04 -- 2024-03MISAKI HiroumiJapan Society for the Promotion of Science/Grant-in-Aid for Scientific Research (C)4,030,000Yen
ティックデータを利用した深層学習によるボラティリティ予測―時系列モデルとの融合として―2019-04 -- 2021-03MISAKI HiroumiNOMURA Foundation/社会科学研究助成
Adjusting the volatility prediction models by using quote prices and its applications2019-04 -- 2021-03MISAKI HiroumiJapan Society for the Promotion of Science/Grant-in-Aid for Early-Career Scientists2,990,000Yen
高頻度データによる資産価格の分散・共分散推定2016-04 -- 2018-03MISAKI HiroumiNOMURA Foundation/社会科学研究助成
Degree
2013-03博士（経済学）東京大学
Academic societies
-- (current)日本応用数理学会
-- (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
  • Financial Risk Management with High-Frequency Data
    Misaki Hiroumi
    International Symposium on Theories and Methodologies for Large Complex Data, 2019-11
  • Comparing Robustness of Realized Measures under Round-off Errors, Price Adjustments and Serial Correlations: A Simulation Study
    Misaki Hiroumi
    International Journal of Computational Systems Engineering, 2020-08
  • 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, 2020-01
  • 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, 2019-01
  • 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.
  • A Simulation-based Comparison of Realized Covariance Measures under the Market Microstructure Noise
    Misaki Hiroumi
    43rd EBES Conference/2023-04-12--2023-04-14
  • 高頻度金融時系列データによるボラティリティ推定量の比較と資産運用への応用
    三崎 広海
    2019年度統計関連学会連合大会/2019-09-08--2019-09-12
  • The SIML Estimation of Integrated Volatility and Covariance,” Ritsumeikan One Day Workshop on Probability and Statistics
    Misaki Hiroumi
    Ritsumeikan One Day Workshop on Probability and Statistics/2019-10-15
  • Financial Risk Management with High-Frequency Data
    Misaki Hiroumi
    International Symposium on Theories and Methodologies for Large Complex Data/2019-11-21--2019-11-23
  • NT-GHARモデル：週末を考慮したGHARモデルの拡張
    常見 真宏; 三崎 広海
    第13回日本統計学会春季集会/2019-03-10--2019-03-10
  • 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
2024-10 -- 2025-02Advanced Seminar in Risk EngineeringUniversity of Tsukuba.
2024-04 -- 2024-08Advanced Seminar in Risk EngineeringUniversity of Tsukuba.
2024-04 -- 2024-08Internship A in Risk and Resilience Engineering in Doctoral ProgramUniversity of Tsukuba.
2024-10 -- 2025-02Internship A in Risk and Resilience Engineering in Doctoral ProgramUniversity of Tsukuba.
2024-10 -- 2025-02Risk Case StudyUniversity of Tsukuba.
2024-04 -- 2024-08Risk Case StudyUniversity of Tsukuba.
2024-10 -- 2025-02Internship B in Risk and Resilience Engineering in Doctoral ProgramUniversity of Tsukuba.
2024-04 -- 2024-08Internship B in Risk and Resilience Engineering in Doctoral ProgramUniversity of Tsukuba.
2024-10 -- 2025-02Internship B in Risk Engineering in Doctoral ProgramUniversity of Tsukuba.
2024-04 -- 2024-08Internship B in Risk Engineering in Doctoral ProgramUniversity of Tsukuba.
more...
University Management
2023-11 -- 2024-10システム情報工学研究群就職委員会
2023-04 -- 2024-03リスク・レジリエンス工学学位プログラム ダイバーシティ・アクセシビリティ担当教員
2023-04 -- 2024-03ダイバーシティ・アクセシビリティ担当教員
2022-04 -- 2024-03リスク・レジリエンス工学学位プログラム就職委員会
2022-04 -- 2024-03社会工学類カリキュラム委員会
2022-04 -- 2023-03施設安全衛生管理・省エネルギー委員会
2022-04 -- 2023-03リスクレジリエンス工学学位プログラム広報委員会
2021-04 -- (current)リスク・レジリエンス工学学位プログラム学務委員会
2021-04 -- (current)リスク・レジリエンス工学学位プログラム教育企画委員会
2021-04 -- (current)リスク・レジリエンス工学学位プログラム達成度評価実施委員会
more...
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: 2024-11-14)