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CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2019: Online Appendix for Interest Rate Model with Investor Attitude and Text Mining Downloads
Souta Nakatani, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi
2019: Sequential ε-Contamination with Learning Downloads
Hiroyuki Kato, Kiyohiko G. Nishimura and Hiroyuki Ozaki
2019: Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations Downloads
Masaaki Fujii
2019: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments (Revised version of CARF-F-433) Downloads
Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama
2019: How Large is the Demand for Money at the ZLB? Evidence from Japan Downloads
Tsutomu Watanabe and Tomoyoshi Yabu
2019: Mechanism Design with General Ex-Ante Investments (Revised version of F415 ) Downloads
Hitoshi Matsushima and Shunya Noda
2019: Detecting stock market bubbles based on the cross-sectional dispersion of stock prices Downloads
Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2019: Information Design in Blockchain: A Role of Trusted Intermediaries Downloads
Hitoshi Matsushima
2019: House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo Downloads
Takaaki Ohnishi, Takayuki Mizuno and Tsutomu Watanabe
2019: State space approach to adaptive fuzzy modeling for financial investment (Published in Applied Soft Computing)
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2019: Blockchain Disables Real-World Governance Downloads
Hitoshi Matsushima
2019: Forecasting Japanese inflation with a news-based leading indicator of economic activities Downloads
Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani and Hiroki Yamamoto
2019: Recurrent Bubbles and Economic Growth Downloads
Pablo Guerron, Tomohiro Hirano and Ryo Jinnai
2019: Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets) Downloads
Masaaki Fujii, Akihiko Takahashi and Masayuki Takahashi
2019: Partial Ex-Post Verifiability and Unique Implementation of Social Choice Functions (Forthcoming in Social Choice and Welfare) Downloads
Hitoshi Matsushima
2019: Behavioral Theory of Repeated Prisoner’s Dilemma: Generous Tit-For-Tat Strategy (Forthcoming in the B. E. Journal of Theoretical Economics) Downloads
Hitoshi Matsushima
2019: Stochastic Differential Game in High Frequency Market (Forthcoming in Automatica)
Taiga Saito and Akihiko Takahashi
2018: Trade Clustering and Power Laws in Financial Markets (Published in Theoretical Economics, 15:1365?1398, 2020) Downloads
Makoto Nirei, John Stachurski and Tsutomu Watanabe
2018: Predicting Adverse Media Risk using a Heterogeneous Information Network Downloads
Ryohei Hisano, Didier Sornette and Takayuki Mizuno
2018: Application of Online Booking Data to Hotel Revenue Management (Forthcoming in International Journal of Information Management)
Taiga Saito, Akihiko Takahashi, Noriaki Koide and Yu Ichifuji
2018: Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach Downloads
Elisa Alos and Kenichiro Shiraya
2018: An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)
Kenichiro Shiraya
2018: Bank Runs and Minimum Reciprocity Downloads
Hitoshi Matsushima
2018: Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in "Asia-Pacific Financial Markets". ) Downloads
Kiyohiko G. Nishimura, Seisho Sato and Akihiko Takahashi
2018: Asymptotic Expansion for Forward-Backward SDEs with JumpsAsymptotic Expansion for Forward-Backward SDEs with Jumps (Forthcoming in Stochastics) (Revised version of F-372) Downloads
Masaaki Fujii and Akihiko Takahashi
2018: The Demand for Money at the Zero Interest Rate Bound Downloads
Tsutomu Watanabe and Tomoyoshi Yabu
2018: Implementation without Expected Utility: Ex-Post Verifiability Downloads
Hitoshi Matsushima
2018: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience Downloads
Jess Diamond, Kota Watanabe and Tsutomu Watanabe
2018: Bitcoin technical trading with artificial neural network
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2018: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Forthcoming in Stochastics and Dynamics) (Revised version of F-431) Downloads
Masaaki Fujii and Akihiko Takahashi
2018: The role of accounting conservatism in executive compensation contracts (Forthcoming in Journal of Business Finance and Accounting) Downloads
Takuya Iwasaki, Shota Otomasa, Atsushi Shiiba and Akinobu Shuto
2018: Timing Games with Irrational Types: Leverage-Driven Bubbles and Crash-Contingent Claims (Revised version of CARF-F-306)(Forthcoming in the B. E. Journal of Theoretical Economics.) Downloads
Hitoshi Matsushima
2018: Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-(Forthcoming in Asia-Pacific Financial Markets)(Revised version of CARF-F-411) Downloads
Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino
2018: Online Supplement for "Stochastic Differential Game in High Frequency Market" Downloads
Taiga Saito and Akihiko Takahashi
2018: Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions (Forthcoming in Stochastic Processes and their Applications) (Revised version of CARF-F-398) Downloads
Masaaki Fujii and Akihiko Takahashi
2018: Herding and Power Laws in Financial Markets Downloads
Makoto Nirei, John Stachurski, Koichiro Takaoka and Tsutomu Watanabe
2018: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments Downloads
Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama
2018: Psychological Aspect of Monitoring Accuracy in Repeated Prisoners’ Dilemma Downloads
Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama
2018: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409) Downloads
Masaaki Fujii and Akihiko Takahashi
2018: Bitcoin technical trading with artificial neural network
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2018: Listing and Financial Constraints Downloads
Kenichi Ueda, Akira Ishide and Yasuo Goto
2018: Framing Game Theory Downloads
Hitoshi Matsushima
2018: State Space Approach to Adaptive Artificial Intelligence Modeling: Application to Financial Portfolio with Fuzzy System
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2018: An approximation formula for normal implied volatility under general local stochastic volatility models
Yasaman Karami and Kenichiro Shiraya
2017: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365: Subsequently published in Mathematics of Operations Research)
Kenichiro Shiraya and Akihiko Takahashi
2017: Framing Game Theory
Hitoshi Matsushima
2017: Understanding Macroeconomic Statistics: An "Ideal-Type" Economy Approach Downloads
Kiyohiko G. Nishimura and Junko Ishikawa
2017: Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs Downloads
Masaaki Fujii, Akihiko Takahashi and Masayuki Takahashi
2017: Optimal overbooking strategy in online hotel booking systems¡ÊRevised as "Application of Online Booking Data to Hotel Revenue Management" in F-448¡Ë
Taiga Saito, Akihiko Takahashi, Noriaki Koide and Yu Ichifuji
2017: Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395) Downloads
Masaaki Fujii and Akihiko Takahashi
2017: On the effect of Bank of Japan's outright purchase on the JGB yield curve Downloads
Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi and Takami Tokioka
2017: Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering) Downloads
Taiga Saito
2017: Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385) Downloads
Taiga Saito and Akihiko Takahashi
2017: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386) Downloads
Hitoshi Matsushima and Shunya Noda
2017: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory (Revised version of F-381) Downloads
Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama
2017: Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".) Downloads
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2017: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix Downloads
Kenichiro Shiraya and Akihiko Takahashi
2017: Dynamic Implementation, Verification, and Detection Downloads
Hitoshi Matsushima
2017: Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market- Downloads
Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino
2017: Why Has Japan Failed to Escape from Deflation? Downloads
Kota Watanabe and Tsutomu Watanabe
2017: Derivatives Pricing with Market Impact and Limit Order Book Downloads
Taiga Saito and Akihiko Takahashi
2017: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers Downloads
Masaaki Fujii and Akihiko Takahashi
2017: Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan Downloads
Kota Watanabe and Tsutomu Watanabe
2017: This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex-posure of each style index as a latent state variable in a state space model and employ a Monte Carlo filter as a particle filtering method, where GSA is effectively applied to estimating unknown parameters. An empirical analysis using data of three Japanese equity mu- tual funds with six standard style indexes con rms the validity of our method. Moreover, we create fund-specific style indexes to further improves estimation in the analysis Downloads
Takaya Fukui, Seisho Sato and Akihiko Takahashi
2017: Creating Investment Scheme with State Space Modeling
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2017: Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2017: Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s Downloads
Yoshihiro Tamai, Chihiro Shimizu and Kiyohiko G. Nishimura
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