Selected publications
Original articles
Sato A.H., Hayashi, T, and Holyst, J.A. “Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix,” J. of Economic Interaction and Cooperation 7-2, 167-179, 2012.
Hayashi, T., Jacod, J., and Yoshida, N. “Irregular Sampling and the Central Limit Theorem for Power Variations: the Continuous Case,”Annales de l’institut Henri Poincare 47-4, 1197-1218, 2011.
Hayashi, T. and Yoshida, N. “Nonsynchronous Covariation Process and Limit Theorems,” Stochastic Processes and their Applications 121-10, 2416-2454, 2011.
Sato A.H. and Hayashi, T. “Fluctuation Scaling and Covariance Matrix of Constituents’ Flows on a Bipartite Graph,” European Physical Journal B, 76-4, 529-535, 2010.
Hayashi, T. and Kusuoka, S. “Consistent Estimation of Covariation under Nonsynchronicity,” Statistical Inference for Stochastic Processes 11-1, 93-106, 2008.
Hayashi, T. and Yoshida, N. “Asymptotic Normality of a Covariance Estimator for Nonsynchronously Observed Diffusion Processes,” Annals of the Institute of Statistical Mathematics 60-2, 357-396, 2008.
Hayashi, T. and Mykland, P.A. Evaluating Hedging Errors: An Asymptotic Approach. Mathematical Finance 15-2, 309-343, 2005.
Hayashi, T. and Yoshida, N. “On Covariance Estimation of Non-synchronously Observed Diffusion Processes,” Bernoulli 11-2, 359-379, 2005.
Hayashi, T. “A Discrete-Time Model of High-Frequency Stock Returns,” Quantitative Finance 4-2, 140-150, 2004.
Conference proceedings
Hayashi, T. and Yoshida, N. “On Covariance Estimation for High-frequency Financial Data,” in Financial Engineering and Applications 2004 (edited by M.H. Hamza), no. 437-801, ACTA Press, 2004.
Survey articles and book chapters (in Japanese)
Hayashi, T. “High-frequency data analysis (2): Analysis of irregularly spaced data”(in Japanese), in Handbook on Economic Time Series (edited by T. Kariya, K. Makekawa, Y. Yajima, J. Fukuchi, Y. Kawasaki), Section 6.4, Asakura Publishing Co. Ltd., 2012.
Hayashi, T. “Covariance Estimation for Nonsynchronously Observed Discrete Data”(in Japanese), Suuri-Kagaku, 569-11, 34-40, 2010.
Hayashi, T. “High-frequency Data Analysis: Advances in the Methodologies for Measuring Market Risks” (in Japanese) , Communications of the Operations Research Society of Japan, 55-9, 546-552, 2010.
Hayashi, T. “What is High-Frequency Data?” (in Japanese), Securities Analyst Journal, 48-1, 56-66, 2010.
Hayashi, T. “Financial Models of High-frequency Data Using Time Change: A Review” (in Japanese), Proceedings of the Institute of Statistical Mathematics, 57-1, 2009.
Hayashi, T. “Duration Models in High-frequency Finance: A Review” (in Japanese), Keio Business Forum, 25-1, 23-37, 2008.
Hayashi, T. and Yoshida, N. “High-frequency financial data and statistical sciences” (in Japanese), in Statistical Sciences for The 21st Century I: Society, Economy and the Statistical Sciences (edited by N. Kunitomo and T. Yamamoto), University of Tokyo Press, 2008.
Professional memberships
IMS (Institute of Mathematical Statistics), Bachelier Finance Society, INFORMS (Institute for Operations Research and the Management Science/ DAS (Decision Analysis Society), Japan Statistical Society, JAFEE (Japanese Association of Financial Econometrics and Engineering).
Service to academic community
Associate Editor for Asia-Pacific Financial Markets (APFM) (October 2005-present).
Ad-hoc reviewer for such journals as Annals of Statistics, International Journal of Theoretical and Applied Finance, Journal of Econometrics, Journal of Economics Dynamics and Control, Journal of Financial Econometrics, Mathematical Finance, Quantitative Finance, SIAM journal on Financial Mathematics, etc.
Conference and seminar talks (last five years)
7th Ritsumeikan International Symposium on Stochastic Processes and Mathematical Finance, Ritsumeikan University, February 28, 2007.
Stanford-Tsukuba-WCQF (Western Consortium in Quantitative Finance) Joint Workshop, Stanford University, March 10, 2007.
SAPS (Asymptotical Statistics of Stochastic Processes) VI, Universite du Maine, Le Mans, March 22, 2007.
Econometrics Seminar, Institute of Economic Research, Kyoto University, March 30, 2007.
32nd Conference on Stochastic Processes and their Applications (SPA07), Univ. of Illinois at Urbana-Champaign, August 7, 2007.
Japanese Joint Statistical Meeting, Kobe University, September 8, 2007.
Workshop on “Stochastic Analysis and Statistical Inference,” University of Tokyo, Graduate School of Mathematical Sciences, November 30, 2007.
Japan Statistical Society Spring Meeting, Seijo University, March 1, 2008.
“Finance and Decision Making” Workshop, Operations Research Society of Japan, June 18, 2008.
Economics and Statistics Workshop, Hitotsubashi University, July 12, 2008.
Statistics Summer Seminar, Kawaguchi-ko, Japan, August 5, 2008.
Institute for Monetary and Economics Studies seminar at Bank of Japan, September 18, 2008.
Japanese Economic Association Spring Meeting, Kyoto University, June 7, 2009.
3rd International Conference on Computational and Financial Econometrics, Limassol, Cyprus, October 31, 2009.
Workshop on “Advances in Financial Econometrics 2010,” University of Tokyo, March 30, 2010.
Conference on Modeling High Frequency Data in Finance II, Stevens Institute of Technology, June 27, 2010.
Nanzan-Yokokoku Finance Workshop, Nanzan University, November 13, 2010.
Korean Statistical Society International Conference on Statistics and Probability, July 1,2011.
TMU Finance Seminar, Tokyo Metropolitan University, July 6, 2011.
Workshop on “Advances in Financial Econometrics 2011,” University of Tokyo, September 29, 2011.
Workshop on “Financial Engineering, Mathematical/ Quantitative Finance and Related Issues 2011,” Osaka University, December 2, 2011.
Statistics Seminar, Hong Kong University of Science and Technology, March 26, 2012.
4th Annual Modeling High Frequency Data in Finance Conference, Stevens Institute of Technology, July 22, 2012.
Scholarships and grants
External funding
Grant-in-Aid for Scientific Research (A), Ministry of Education, Culture, Sports, Science and Technology, 2009-2012 (No. 21243019), Co-Principal Investigator.
Grant-in-Aid for Scientific Research (C), Japan Society for the Promotion of Science (JSPS), 2007-2010 (No. 19530186).
Ishi Memorial Securities Research Promotion Foundation Scholarship, 2008-2010.
The Japan Securities Scholarship Foundation Scholarship, 2009-2010.
The 21st Century COE Program at Graduate School of Mathematical Sciences, The University of Tokyo, 2004.
Daiwa Securities Chairship at Kyoto University, 2003.
On-campus funding
Keio Gakuji Academic Development Funds, 2005-2008, 2010-2013.
Grants for the Advancement of Research at the Graduate Schools of Keio University, 2005-2006.
