Summary
K-ARIF promotes research centered on methodologies for appropriately analyzing financial and securities market data and translating the results into decision-making, as a venue for practical research in asset management. K-ARIF is being established as a place to put into practice, in the field of finance research, Keio’s longstanding commitment since its founding to the social implementation of academic knowledge. Through its research activities, K-ARIF aims both to refine and advance the methodologies and technologies related to asset management and to foster people capable of carrying out such research in professional practice and academia.
The main focus of K-ARIF’s research is quantitative analysis of securities markets and the research and development of techniques and methods for decision-making based on such analysis, including stock selection, portfolio construction, and rebalancing. It places particular emphasis on empirical analysis involving data analysis and on applied research. It is not bound by traditional approaches and will actively pursue new research themes.
The following are envisioned as major groups of research themes:
asset pricing and portfolio construction; estimation and forecasting of volatility, tail risk, and related measures, as well as risk management; high-frequency data analysis; evaluation of market impact and liquidity, market microstructure analysis, and optimal execution; the use of derivatives; fintech and crypto assets; ESG investing and green finance; and the use of alternative data and AI.
In addition, K-ARIF will actively take up other research themes that are highly novel and significant.
In conducting its analyses, K-ARIF will consider not only market data, such as prices, trading volume, order book data, and news, but also corporate data, macroeconomic data, and social media data. As for analytical methods, it will actively employ statistics/econometrics, data science, and, in addition, methods such as machine learning and generative AI, which have developed rapidly in recent years.
Project Members
Principal Investigator