The Second International Conference
"High Frequency Data Analysis in Financial Markets"

hosted by the Hitotsubashi University Global COE Program "Research Unit for Statistical and Empirical Analysis in Social Sciences" and the Grant-in-Aid for Scientific Research (A), #22243021, Project "Financial Risk: Quantification and Statistical Inference."

Dates: October 28-30, 2011

Venue: Osaka University Nakanoshima Center, Osaka, Japan

Aims and Scope

High-frequency data on securities prices refers to tick-by-tick or minute-by-minute price data in individual transactions during the day and is being found particularly useful for financial risk management. Since there were few such studies in Japan, the international conference "High-Frequency Data Analysis in Financial Markets" took place at the Mercury Tower of Hitotsubashi University on October 25 and 26, 2008 (more details here). This is a rapidly evolving area of research and the number of researchers in Japan is also increasing. So, we decided to organize the second international conference inviting Tim Bollerslev, Torben Andersen, and Peter Hansen, who are the first-class researchers in this area. The aim of this conference is to learn the newest topics from them and discuss the researches in Japan with them.

Invited Speakers include:
Torben Andersen (Northwestern University)
Tim Bollerslev (Duke University)
Peter Hansen (European University Institute & Stanford University)

Kosuke Oya (Osaka University)
Toshiaki Watanabe (Hitotsubashi University)