New Research


Statistical analysis for stochastic processes

For the development of statistical methods for finance and insurance

Professor・Masayuki Uchida, Associate professor・Yasutaka Shimizu

Statistical inference for financial models and insurance models and its application to data analysis are mainly studied in Uchida laboratory. Applying mathematical statistics to mathematical finance and actuarial mathematics, we analyze phenomena of financial and insurance market based on statistical data. Our studies are called “statistical finance”, “financial data analysis” and “actuarial mathematical statistics”, and they are very important research fields in mathematical science for social systems. Thanks to globalization and development of the financial database, we can easily get high- frequency financial data on the Internet. Furthermore, the development of computers makes it possible to do numerical analysis for enormous high- frequency data. Under these situations, statistical inference for stochastic processes plays an important role in the development of high- frequency data analysis.


In statistical finance and actuarial mathematical statistics, continuous time stochastic processes are standard mathematical models and statistical analysis is done based on stochastic differential equation and stochastic analysis. For statistical modeling of stochastic processes, we often use several methods of mathematical statistics, for example, statistical estimation and statistical hypothesis test. Moreover, we also study practical applications based on computer-intensive statistics, for example, computer simulation which investigates the behavior of statistics, data analysis, and empirical research. Our researches are related to various fields of science and technology including stochastic analysis, mathematical statistics, financial and insurance mathematics and data analysis.

Uchida laboratory
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