157 citations · 987 across the 55 of their papers we have counts for
4 papers · 1 filter
The relationship between trading volumes, number of transactions, and stock volatility in GARCH models
Tetsuya Takaishi, Ting Ting Chen
We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributio…
Statistical properties and multifractality of Bitcoin
Tetsuya Takaishi
Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed,…
Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix
Tetsuya Takaishi
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to Decem…
Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
Tetsuya Takaishi, Toshiaki Watanabe
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized vo…