| | Teppei OGIHARA Last updated: Apr 9, 2018 at 16:47 Academic & Professional Experience Apr 2016 - Today Assistant Professor, Department of Mathematical Analysis and Statistical Inference, The Institute of Statistical Mathematics Oct 2015 - Today 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 Assistant Professor, Center for the Study of Finance and Insurance, Osaka University Apr 2009 - Jun 2012 Researcher, Mitsubishi UFJ Trust investment Technology Institute Co., Ltd. Education Apr 2011 - Jun 2012 Doctoral Course of Mathematical Sciences (Unfinished), Graduate School of Mathematical Sciences, University of Tokyo Apr 2007 - Mar 2009 Master of Mathematical Sciences, Graduate School of Mathematical Sciences, University of Tokyo Apr 2005 - Mar 2007 Bachelor of Science, Department of Mathematics, University of Tokyo Published Papers 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] Parametric Inference for Nonsynchronously Observed Diffusion Processes in the Presence of Market Microstructure Noise Teppei OGIHARA Bernoulli, to appear Jun 2017 [Refereed] Ogihara, Teppei The Institute of Statistical Mathematics, Yoshida, Nakahiro University of Tokyo Stochastic Processes and their Applications 124(9) 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] On asymptotic properties of Bayes type estimators with general loss functions Teppei OGIHARA arXiv:1312.7795 Dec 2013 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(3) 189-229 Oct 2011 [Refereed] Conference Activities & Talks Parametric inference for diffusion processes with high-frequency data Ogihara, Teppei The Institute of Statistical Mathematics Risk Analysis and Random Field 22 Feb 2018 Statistical inference for integrated diffusion processes Ogihara, Teppei The Institute of Statistical Mathematics ASC2018: Asymptotic Statistics and Computations 5 Feb 2018 Statistical inference for integrated diffusion processes Ogihara, Teppei The Institute of Statistical Mathematics ISI-ISM-ISSAS Joint Conference 2018 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 |
|
|
|
|  |
