Details about Ryuichi Yamamoto

Access statistics for papers by Ryuichi Yamamoto.

Last updated 2022-02-17. Update your information in the RePEc Author Service.

Short-id: pya313

Working Papers

2015

1. Dynamic predictor selection and order splitting in a limit order market
   Working Papers, Waseda University, Faculty of Political Science and Economics
   See also Journal Article DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET, Macroeconomic Dynamics, Cambridge University Press (2019) (2019)

Undated

2. Belief Changes and Expectation Heterogeneity in Buy- and Sell-Side Professionals in the Japanese Stock Market
   Working Paper, Harvard University OpenScholar View citations (1)
3. Strategy Switching in the Japanese Stock Market
   Working Paper, Harvard University OpenScholar View citations (5)
   See also Journal Article Strategy switching in the Japanese stock market, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (5) (2013)

Journal Articles

2022

1. Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange
   Computational Economics, 2022, 59, (1), 325-356 View citations (1)

2020

2. Limit order submission risks, order choice, and tick size
   Pacific-Basin Finance Journal, 2020, 59, (C) View citations (2)
3. Price discovery, order submission, and tick size during preopen period
   Pacific-Basin Finance Journal, 2020, 63, (C) View citations (1)

2019

4. DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET
   Macroeconomic Dynamics, 2019, 23, (5), 1757-1792
   See also Working Paper Dynamic predictor selection and order splitting in a limit order market, Working Papers (2015) (2015)

2016

5. Trading profitability from learning and adaptation on the Tokyo Stock Exchange
   Quantitative Finance, 2016, 16, (6), 969-996 View citations (2)

2014

6. An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange
   Journal of Empirical Finance, 2014, 29, (C), 369-383 View citations (5)

2013

7. Strategy switching in the Japanese stock market
   Journal of Economic Dynamics and Control, 2013, 37, (10), 2010-2022 View citations (5)
   See also Working Paper Strategy Switching in the Japanese Stock Market, Working Paper View citations (5)

2012

8. Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
   Journal of Banking & Finance, 2012, 36, (11), 3033-3047 View citations (21)

2011

9. Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
   Journal of Economic Dynamics and Control, 2011, 35, (11), 1938-1963 View citations (28)
10. Volatility clustering and herding agents: does it matter what they observe?
    Journal of Economic Interaction and Coordination, 2011, 6, (1), 41-59 View citations (3)

2010

11. Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (6), 1208-1214 View citations (3)
12. Order-splitting and long-memory in an order-driven market
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 73, (1), 51-57 View citations (13)

2008

13. The Impact of Imitation on Long Memory in an Order-Driven Market
    Eastern Economic Journal, 2008, 34, (4), 504-517 View citations (29)

2007

14. Long-memory in an order-driven market
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 85-89 View citations (35)

2006

15. WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET
    New Mathematics and Natural Computation (NMNC), 2006, 02, (03), 261-270 View citations (3)