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

Souta Nakatani, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi

2019: Sequential ε-Contamination with Learning

Hiroyuki Kato, Kiyohiko G. Nishimura and Hiroyuki Ozaki

2019: Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations

Masaaki Fujii

2019: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments (Revised version of CARF-F-433)

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

2019: How Large is the Demand for Money at the ZLB? Evidence from Japan

Tsutomu Watanabe and Tomoyoshi Yabu

2019: Mechanism Design with General Ex-Ante Investments (Revised version of F415 )

Hitoshi Matsushima and Shunya Noda

2019: Detecting stock market bubbles based on the cross-sectional dispersion of stock prices

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

2019: Information Design in Blockchain: A Role of Trusted Intermediaries

Hitoshi Matsushima

2019: House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo

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

Hitoshi Matsushima

2019: Forecasting Japanese inflation with a news-based leading indicator of economic activities

Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani and Hiroki Yamamoto

2019: Recurrent Bubbles and Economic Growth

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)

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)

Hitoshi Matsushima

2019: Behavioral Theory of Repeated Prisoner’s Dilemma: Generous Tit-For-Tat Strategy (Forthcoming in the B. E. Journal of Theoretical Economics)

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)

Makoto Nirei, John Stachurski and Tsutomu Watanabe

2018: Predicting Adverse Media Risk using a Heterogeneous Information Network

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

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

Hitoshi Matsushima

2018: Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in "Asia-Pacific Financial Markets". )

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)

Masaaki Fujii and Akihiko Takahashi

2018: The Demand for Money at the Zero Interest Rate Bound

Tsutomu Watanabe and Tomoyoshi Yabu

2018: Implementation without Expected Utility: Ex-Post Verifiability

Hitoshi Matsushima

2018: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience

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)

Masaaki Fujii and Akihiko Takahashi

2018: The role of accounting conservatism in executive compensation contracts (Forthcoming in Journal of Business Finance and Accounting)

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.)

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)

Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino

2018: Online Supplement for "Stochastic Differential Game in High Frequency Market"

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)

Masaaki Fujii and Akihiko Takahashi

2018: Herding and Power Laws in Financial Markets

Makoto Nirei, John Stachurski, Koichiro Takaoka and Tsutomu Watanabe

2018: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

2018: Psychological Aspect of Monitoring Accuracy in Repeated Prisoners’ Dilemma

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

2018: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409)

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

Kenichi Ueda, Akira Ishide and Yasuo Goto

2018: Framing Game Theory

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

Kiyohiko G. Nishimura and Junko Ishikawa

2017: Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs

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)

Masaaki Fujii and Akihiko Takahashi

2017: On the effect of Bank of Japan's outright purchase on the JGB yield curve

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)

Taiga Saito

2017: Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)

Taiga Saito and Akihiko Takahashi

2017: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386)

Hitoshi Matsushima and Shunya Noda

2017: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory (Revised version of F-381)

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

2017: Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

2017: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix

Kenichiro Shiraya and Akihiko Takahashi

2017: Dynamic Implementation, Verification, and Detection

Hitoshi Matsushima

2017: Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-

Taiga Saito, Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino

2017: Why Has Japan Failed to Escape from Deflation?

Kota Watanabe and Tsutomu Watanabe

2017: Derivatives Pricing with Market Impact and Limit Order Book

Taiga Saito and Akihiko Takahashi

2017: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers

Masaaki Fujii and Akihiko Takahashi

2017: Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan

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

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

Yoshihiro Tamai, Chihiro Shimizu and Kiyohiko G. Nishimura