Asset Pricing by Spatial Interaction Identified with Internet Co-search Relation

基于互联网共搜索关系的空间交互资产定价

• 批准号: 22K01420
• 负责人: KO IATMENG
• 金额: $ 2.58万
• 依托单位: Tohoku University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2022
• 资助国家: 日本
• 起止时间: 2022-04-01 至 2026-03-31
• 项目状态: 未结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-22K01420/
• 关键词: Contagion test; Network interconnection; COVID-19; Capital asset pricing; EDGAR search traffic; Co-search; Spatial interaction

The year achievement is summarized as follows1. Completed one academic paper entitled "Stock Market Interconnection and Contagion during the COVID-19 Pandemic: A Network Perspective". It has been submitted and is currently under reviewed in the Journal of Financial Econometrics.2. The internet traffic data on the US Securities and Exchange Commission's (SEC) Electronic Data Gathering, Analysis, and Retrieval (EDGAR) website is successfully collected. This data is subsequently used in the Spatial Arbitrary Pricing Theory (S-APT) study.3. One conference presentation has been conducted at the 5th International Conference on Econometrics and Statistics (EcoSta 2022) in Jun. 4-6 2022 at Ryukoku University, Kyoto.

这一年的成果总结如下：1.完成一篇题为《新冠肺炎大流行期间的股市互联互通与传染：网络视角》的学术论文。它已经提交，目前正在《金融计量学杂志》2上进行审查。美国证券交易委员会(SEC)电子数据收集、分析和检索(EDGAR)网站上的互联网流量数据收集成功。这些数据随后被用于空间任意定价理论(S-APT)研究。在2022年6月4日至6日在京都琉球大学举行的第五届国际计量经济学和统计会议(EcoSta 2022)上进行了一次会议演讲。

项目成果

Indian Buffet Process Factor Model for Counterfactual Analysis

用于反事实分析的印度自助餐过程因子模型

• 发表时间: 2022
• 作者: 鍋島直樹;ロバート・スキデルスキー著（鍋島直樹訳）;石井穣;Jou Ishii;石井穣;Takakazu Honryo;Nobuo Koida;Nobuo Koida;Nobuo Koida;Ko Iat Meng
• 通讯作者: Ko Iat Meng