このﾍﾟｰｼﾞはPC版を携帯向けに変換して表示しています。
[画像+] ﾎﾟﾁﾛﾝ ﾖｱﾝ
Potiron Yoann 専任講師
【Webﾍﾟｰｼﾞ】
- 学歴(卒業･学位取得): 大学院
- B.S. in Applied Mathematics (Ecole Polytechnique) 2013.
- M.S. in Statistics (University of Chicago) 2015
- Ph.D. in Statistics (University of Chicago) 2016
- 研究室:三田研究室439B(内線23298)
- E-mail:potiron@fbc.keio.ac.jp
(@は全角で表示してあります｡半角の@に置き換えてご利用ください) - 専門領域:Stochastic Processes, Applied Probability, Statistics, Econometrics, Finance.
- 研究紹介:I am interested in problems arising in stochastic processes, applied probability, statistics, econometrics and finance.
主要著作･論文
〔論文〕
1.Estimation for high-frequency data under parametric market microstructure noise, with Simon Clinet, Annals of the Institute of Statistical Mathematics, 2021, 73, 649-669.
2.Cointegration in high frequency data, with Simon Clinet, Electronic Journal of Statistics, 2021, 15(1), 1263-1327.
3.Disentangling Sources of High Frequency Market Microstructure Noise, with Simon Clinet, Journal of Business & Economic Statistics, 2021, 39(1), 18-39.
4.Local Parametric Estimation in High Frequency Data, with Per Aslak Mykland, Journal of Business & Economic Statistics, 2020, 38(3), 679-692.
5.Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book, with Simon Clinet. Journal of Econometrics, 2019, 209, 289-337.
6.Efficient asymptotic variance reduction when estimating volatility in high frequency data, with Simon Clinet, Journal of Econometrics, 2018, 206, 103-142.
7.Statistical inference for the doubly stochastic self-exciting process, with Simon Clinet, Bernoulli, 2018, 24(4B), 3469-3493.
8.Classifying patents based on their semantic content, with Antonin Bergeaud and Juste Raimbault. PLoS ONE, 2017, 12(4), e0176310.
9.Estimation of integrated quadratic covariation with endogenous sampling times, with Per Aslak Mykland, Journal of Econometrics, 2017, 197, 20-41.
海外歴:
2013, Department of Mathematics, University of Tokyo (exchange student)
2013-16, Department of Statistics, University of Chicago (graduate student)
2016 Department of Information Systems, Hong Kong University of
Science and Technology
2019 Department of Economics, University of Cambridge
2022-2023 Geneva Finance Research Institute, University of Geneva
一番上へ
TOP
