Faculty of Business and Commerce, Keio University.
2-15-45 Mita, Minato-ku, Tokyo 108-8345
E-mail: potiron (at) fbc.keio.ac.jp
Phone: +81 (0)3 5418 6571
Office : My office is in Research building 439B (4th floor), but I work from my coworker Simon Clinet's office in South Research Building 20709 (7th floor).
Fields of Interest
Econometrics, Finance, High Frequency Data, Market Microstructure Noise, Limit Order Book.
April 2018 - Tenured Assistant Professor, Faculty of Business and Commerce, Keio University.
April 2016 - March 2018 Assistant Professor, Faculty of Business and Commerce, Keio University.
2019/12/18 Mini workshop on Financial Econometrics at the University of Cambridge INET Institute
2019/12/16 13th International Conference on Computational and Financial Econometrics at Senate House and Birkbeck University of London
2019/06/27 The 3rd International Conference on Econometrics and Statistics (EcoSta 2019) at National Chung Hsing University, Taiwan
2019/06/23 Nippon Finance Association 27th annual conference at Keio University
2019/01/10 Mathematisches Seminar at Kiel University, Germany
2018/07/04 Econometric Society Australasian Meeting at Auckland University of Technology
2018 Asian meeting of the Econometric Society at Sogang University, Seoul
2018/06/21 The 2nd International Conference on Econometrics and Statistics (EcoSta 2018) at the City University of Hong Kong
CMAP Ecole Polytechnique Seminar, Paris
Seminar at the Faculty of Business and Commerce (joint with the Econometrics workshop), Keio University
Joint Statistical Meetings in Baltimore, Maryland
SoFiE Financial Econometrics Summer School 2017 at Kellogg School of Management, Northwestern University, Chicago
Tenth Annual SoFiE Conference at NYU Stern School of Business
2017/06/04 2017 Asian meeting of the Econometric Society at The Chinese University of Hong Kong
2017/03/15 Special Lecture and Workshop on Theory and Practice in Econometrics at Keio University
2017/02/22 13th Workshop on Stochastic Models, Statistics and Their Applications, Humboldt-Universitat zu Berlin
2016/12/15 The Quantitative Methods in Finance 2016 Conference, Sydney
2016/12/12 Workshop on Portfolio dynamics and limit order books, Ecole Centrale Paris
2016/09/09 Center for Mathematical Modeling and Data Science, Osaka University
2016/07/08 6th International IMS-FIPS Workshop at the University of Alberta in Edmonton, Canada
Ninth Annual SoFiE Conference at City University of Hong Kong and GRU
2016/04/25 ICS Hitotsubashi University Seminar
The Fourth Asian Quantitative Finance Conference (AQFC), the Osaka University Nakanoshima Center (Bachelier Finance conference)
2016/01/21 IMES Bank of Japan Seminar
2016/01/18 Hitotsubashi University Department of Economics Seminar
2016/01/16 Keio University Department of Business and Commerce Seminar
2015/12/18 HU Berlin Statistics Seminar
Institute of Economic Studies, Keio University Econometrics Workshop
2015/10/25 Conference on new developments of statistical science in various fields, Toyama Syposium
2015/08/10 Hong Kong University Science and Technology Business School Seminar
2015/08/07 The University of Tokyo Seminar on Probability and Statistics
2015/08/04 Conference Frontiers in Financial Econometrics. Hosted by Hitotsubashi Institute for
Advanced Studies and CFEE (Center for Financial
2015/07/31 Seminar Center for the Study of Finance and Insurance Osaka
2015/07/30 Math-fi Seminar. Department of Mathematical Sciences, Ritsumeikan University
Annals of the Institute of Statistical Mathematics, Electronic Journal of Statistics, Journal of the American Statistical Association, Journal of Econometrics, Journal of Financial Econometrics,
Quantitative Finance, Research Policy, Science China Mathematics, The Annals of Applied Statistics.
The main objective of this course is to develop the
skills needed to do work in the industry or research
with financial data. The course aims
to provide students with techniques and receipts for
estimation and assessment of quality of financial
models. Each student is expected to choose a project, and to make a report and a final presentation to the class. In addition, the student is
expected to discuss about the advancement of the project at least once during the semester. The
presentation can include theory, numerical simulations and/or data analysis.
The main objective of this course is to develop the skills needed to
conduct work in the industry or empirical research in fields operating with
time series data using the software R. The course aims to provide students with techniques and
receipts for estimation and assessment of quality of economic models with
time series data. Each student is expected to
choose a dataset, to implement some methods from the book studied in class and to make a report based on the analysis of the results. More information about the project will be provided later in the class.
The emphasis of this class is on linear models with R. The
objective is to learn what methods are available and more importantly, when they should
be applied. Many examples are presented to clarify the use of the techniques and to
demonstrate what conclusions can be made.
The course starts with a quick introduction to normal distribution and multivariate normal distribution, and then Brownian motion and the Ito integral are defined and discussed carefully. Numerous applications are given to high-frequency financial data estimation problems. This includes providing some basic tools of asymptotic statistics on the way.
The main objective of this course is to develop the
to do work in the industry or empirical research in
operating with time series data. The course
aims to provide
students with techniques and receipts for estimation
of quality of economic models with time series data.
attention will be placed on limitations and pitfalls
methods and their potential fixes. The course will
recent developments in Time Series Analysis and will
open questions and areas of ongoing research. We
will be using the
software R, but students can do their
homework using their own software.
You can find the website of my co-author Simon Clinet.