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In this paper, we build on the analysis of Muni Toke and Yoshida (2020) andconduct several empirical studies using high-frequency financial data. MuniToke and Yoshida (2020) showed the consistency and asymptotic behavior of theCox-type model estimators for relative intensities of orders in the limit orderbook, and then by using high-frequency trading data for 36 stocks traded on theParis Stock Exchange, they carry out model selection and trading signprediction. In this study, we add new covariates and carry out model selectionand trading sign prediction using high-frequency trading data for 222 stockstraded on the Tokyo Stock Exchange. We not only show that the Cox-type modelperforms well in the Japanese market as well as in the Euronext Paris market,but also present the key factors for more accurate estimation. We also suggesthow often the covariates should be calibrated.

Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities