Teppei OGIHARA

J-GLOBAL         Last updated: Apr 18, 2019 at 14:26
 
Avatar
Name
Teppei OGIHARA
Affiliation
The University of Tokyo
Section
Department of Mathematical Analysis and Statistical Inference
Job title
Assistant Professor
Degree
Ph.D. in Mathematical Sciences(University of Tokyo)
Other affiliation
Japan Science and Technology Agency
Research funding number
40746426

Research Areas

 
 

Academic & Professional Experience

 
Apr 2019
 - 
Today
Associate Professor, Mathematics and Informatics Center, University of Tokyo
 
Apr 2016
 - 
Mar 2019
Assistant Professor, Department of Mathematical Analysis and Statistical Inference, The Institute of Statistical Mathematics
 
Oct 2015
 - 
Mar 2019
PRESTO Researcher, Japan Science and Technology Agency
 
Jul 2014
 - 
Mar 2016
Assistant Professor, School of Statistical Thinking, The Institute of Statistical Mathematics
 
Jul 2012
 - 
Jun 2014
Project Assistant Professor, Center for the Study of Finance and Insurance, Osaka University
 

Education

 
Apr 2011
 - 
Jun 2012
Graduate School of Mathematical Sciences, University of Tokyo
 
Apr 2007
 - 
Mar 2009
Graduate School of Mathematical Sciences, University of Tokyo
 
Apr 2005
 - 
Mar 2007
Department of Mathematics, University of Tokyo
 

Published Papers

 
On the asymptotic properties of Bayes type estimators with general loss functions
Teppei OGIHARA
Journal of Statistical Planning and Inference   in press   2018   [Refereed]
Parametric Inference for Nonsynchronously Observed Diffusion Processes in the Presence of Market Microstructure Noise
Teppei OGIHARA
Bernoulli   24(4B) 3318-3383   Nov 2018   [Refereed]
Modeling Intraday Stock Price Dynamics Using Diffusion Processes and Estimating Volatility and Covariation
Teppei OGIHARA
Proceedings of the Institute of Statistical Mathematics (Japanese)   65(1) 5-20   Jun 2017   [Refereed]
Quasi likelihood analysis of point processes for ultra high frequency data
Teppei Ogihara and Nakahiro Yoshida
arXiv:1512.01619      Dec 2015
The Euler method for continuous-time nonlinear filtering and stable convergence of conditional law
Teppei Ogihara and Hideyuki Tanaka
arXiv:1511.06520      Nov 2015
Ogihara, Teppei The Institute of Statistical Mathematics
Bernoulli   21(4) 2024-2072   Nov 2015   [Refereed]
Ogihara, Teppei The Institute of Statistical Mathematics, Yoshida, Nakahiro University of Tokyo
Stochastic Processes and their Applications   124 2954-3008   Sep 2014   [Refereed]
The YUIMA Project: a computational framework for simulation and inference of stochastic differential equations
Brouste, A., Fukasawa, M., Hino, H., Iacus, S., Kamatani, K., Koike, Y., Masuda, H., Nomura, R., Ogihara, T., Shimizu, Y., Uchida, M., Yoshida, N.
Journal of Statistical Software   57(4) 1-51   Apr 2014   [Refereed]
Quasi-Likelihood Analysis for Diffusion Processes and Diffusion Processes with Jumps
Teppei OGIHARA
University of Tokyo (Ph. D thesis)      Jul 2013
Ogihara, Teppei Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd., Yoshida, Nakahiro University of Tokyo
Statistical Inference for stochastic processes   14 189-229   Oct 2011   [Refereed]

Conference Activities & Talks

 
Local asymptotic mixed normality for integrated diffusion processes
CMStatistics, University of Pisa, Italy   15 Dec 2018   
Local asymptotic mixed normality for diffusion processes with irregular observations
Ogihara, Teppei The Institute of Statistical Mathematics
Asymptotic expansion and Malliavin calculus, INSTITUT HENRI POINCARE, France   16 Nov 2018   
Parameter estimation for misspecified diffusion with market microstructure noise
Ogihara, Teppei The Institute of Statistical Mathematics
Stochastic Processes and Risk Analysis, The Institute of Statistical Mathematics, Tokyo   19 Oct 2018   
Local asymptotic mixed normality for integrated diffusion processes
Ogihara, Teppei The Institute of Statistical Mathematics, Masaaki, Fukasawa Osaka University
The 5th IMS-APRM, National University of Singapore, Singapore   27 Jun 2018   
Parametric Inference for diffusion processes with noisy, nonsynchronous observations
Ogihara, Teppei The Institute of Statistical Mathematics
Research seminar at Institute of Stochastics, Ulm University, Germany   17 Apr 2018   
Parametric inference for diffusion processes with high-frequency data
Ogihara, Teppei The Institute of Statistical Mathematics
Risk Analysis and Random Field, The Institute of Statistical Mathematics, Tokyo   22 Feb 2018   
Statistical inference for integrated diffusion processes
Ogihara, Teppei The Institute of Statistical Mathematics
ASC2018: Asymptotic Statistics and Computations, University of Tokyo, Tokyo   5 Feb 2018   
Statistical inference for integrated diffusion processes
Ogihara, Teppei The Institute of Statistical Mathematics
ISI-ISM-ISSAS Joint Conference 2018, The Institute of Statistical Mathematics, Tokyo   2 Dec 2017   
Parametric inference for diffusion processes with high-frequency data
Ogihara, Teppei The Institute of Statistical Mathematics
Workshop – Portfolio dynamics and limit order books   12 Dec 2016   
Parameter estimation for diffusion processes with noisy, nonsynchronous observations
Ogihara, Teppei The Institute of Statistical Mathematics
TMU Workshop on Financial Mathematics and Statistics 2016   29 Nov 2016   
Parameter estimation for diffusion processes with high-frequency observations
Ogihara, Teppei The Institute of Statistical Mathematics
31 Oct 2016   
LAMN property and optimal estimation for diffusion with nonsynchronous observations
Workshop “Stochastic Analysis and Statistics 2”, Tokyo   6 Aug 2016   
Parametric inference for diffusion processes with high-frequency financial data
The 4th Institute of Mathematical Statistics Asia Pacific Rim Meeting, Hong Kong   30 Jun 2016   
LAMN property and optimal estimation for diffusion with non synchronous observations
Teppei Ogihara
Workshop "Stochastic Analysis and Statistics 1", Tokyo   26 Apr 2016   
Parameter estimation for diffusion processes with noisy, nonsynchronous observations
Ogihara, Teppei The Institute of Statistical Mathematics
Asymptotic Statistics and Computations 2016   15 Feb 2016   
Parameter estimation for diffusion processes with high-frequency data
Ogihara, Teppei The Institute of Statistical Mathematics
ISI-ISM-ISSAS Joint Conference 2016   1 Feb 2016   
Maximum-likelihood-type estimation for diffusion processes with noisy, nonsynchronous observations
Ogihara, Teppei The Institute of Statistical Mathematics
CMStatistics 2015   13 Dec 2015   
Parameter Estimation for Diffusion Processes with Noisy, Nonsynchronous Observations
Ogihara, Teppei The Institute of Statistical Mathematics
Berlin Meeting on Statistical Analysis of Stochastic Processes   6 Nov 2015   
Parametric Inference for Diffusion Processes with Noisy, Nonsynchronous Observations
Ogihara, Teppei The Institute of Statistical Mathematics
Dynstoch Meeting 2015   29 May 2015   
Maximum likelihood type estimation for parametric diffusion processes with high-frequency data
Ogihara, Teppei The Institute of Statistical Mathematics
ISI-ISM-ISSAS Joint Conference 2015   4 Apr 2015   
Quasi likelihood analysis and LAMN properties for diffusion processes with nonsynchronous observations
Ogihara, Teppei The Institute of Statistical Mathematics
Statistics for Stochastic Processes and Analysis of High Frequency Data IV   23 Mar 2015   
Parametric Inference for Diffusion Processes with Noisy, Nonsynchronous Observations
Ogihara, Teppei The Institute of Statistical Mathematics
Statistique Asymptotique des Processus Stochastiques X   18 Mar 2015   
Parametric Inference for Diffusion Processes with High-Frequency Financial Data
Ogihara, Teppei The Institute of Statistical Mathematics
International Statistical Symposium   6 Dec 2014   

Research Grants & Projects

 
Machine Learning Theories on functional spaces and there applications to high-frequency financial data analysis
Japan Science and Technology Agency: Strategic Basic Research Programs (PRESTO-type)
Project Year: Oct 2015 - Mar 2019    Investigator(s): Teppei Ogihara
Statistical Inference for stochastic processes and application to high-frequency financial data
Japan Society for the Promotion of Science: Grant-in-Aid for Young Scientists(B)
Project Year: Apr 2015 - Mar 2018    Investigator(s): Teppei OGIHARA