CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf458: Forecasting Japanese inflation with a news-based leading indicator of economic activities

Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani and Hiroki Yamamoto

cf457: Recurrent Bubbles and Economic Growth

Pablo Guerron, Tomohiro Hirano and Ryo Jinnai

cf456: 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

cf455: A General Control Variate Method for Lévy Models in Finance (Published in European Journal of Operational Research.)

Kenichiro Shiraya, Hiroki Uenishi and Akira Yamazaki

cf454: Approximation Method Using Black-Scholes Formula for Barrier Option Pricing under Lévy Models

Yuan Li, Kaimon Miyachi, Kenichiro Shiraya and Akira Yamazaki

cf453: Partial Ex-Post Verifiability and Unique Implementation of Social Choice Functions (Forthcoming in Social Choice and Welfare)

Hitoshi Matsushima

cf452: Behavioral Theory of Repeated Prisoner’s Dilemma: Generous Tit-For-Tat Strategy (Forthcoming in the B. E. Journal of Theoretical Economics)

Hitoshi Matsushima

cf451: Stochastic Differential Game in High Frequency Market (Forthcoming in Automatica)

Taiga Saito and Akihiko Takahashi

cf450: Trade Clustering and Power Laws in Financial Markets (Published in Theoretical Economics, 15:1365?1398, 2020)

Makoto Nirei, John Stachurski and Tsutomu Watanabe

cf449: Predicting Adverse Media Risk using a Heterogeneous Information Network

Ryohei Hisano, Didier Sornette and Takayuki Mizuno

cf448: 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

cf447: Bank Runs and Minimum Reciprocity

Hitoshi Matsushima

cf446: 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

cf445: 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

cf444: The Demand for Money at the Zero Interest Rate Bound

Tsutomu Watanabe and Tomoyoshi Yabu

cf443: Implementation without Expected Utility: Ex-Post Verifiability

Hitoshi Matsushima

cf442: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience

Jess Diamond, Kota Watanabe and Tsutomu Watanabe

cf441: Bitcoin technical trading with artificial neural network

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf440: 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

cf439: 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

cf438: 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

cf437: Online Supplement for "Stochastic Differential Game in High Frequency Market"

Taiga Saito and Akihiko Takahashi

cf436: 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

cf435: Are More Able Managers Good Future Tellers? Learning from Japan (Forthcoming in Journal of Accounting and Public Policy)

Souhei Ishida, Takuma Kochiyama and Akinobu Shuto

cf434: Herding and Power Laws in Financial Markets

Makoto Nirei, John Stachurski, Koichiro Takaoka and Tsutomu Watanabe

cf433: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

cf432: Psychological Aspect of Monitoring Accuracy in Repeated Prisoners’ Dilemma

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

cf431: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409)

Masaaki Fujii and Akihiko Takahashi

cf430: Bitcoin technical trading with artificial neural network

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf429: Listing and Financial Constraints

Kenichi Ueda, Akira Ishide and Yasuo Goto

cf428: Framing Game Theory

Hitoshi Matsushima

cf427: An approximation formula for normal implied volatility under general local stochastic volatility models

Yasaman Karami and Kenichiro Shiraya

cf426: 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

cf425: Framing Game Theory

Hitoshi Matsushima

cf424: Understanding Macroeconomic Statistics: An "Ideal-Type" Economy Approach

Kiyohiko G. Nishimura and Junko Ishikawa

cf423: Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs

Masaaki Fujii, Akihiko Takahashi and Masayuki Takahashi

cf422: State Space Approach to Adaptive Artificial Intelligence Modeling: Application to Financial Portfolio with Fuzzy System

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf421: 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

cf420: 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

cf419: On the effect of Bank of Japan's outright purchase on the JGB yield curve

Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi and Takami Tokioka

cf418: Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering)

Taiga Saito

cf417: Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)

Taiga Saito and Akihiko Takahashi

cf416: Dynamic Implementation, Verification, and Detection

Hitoshi Matsushima

cf415: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386)

Hitoshi Matsushima and Shunya Noda

cf414: 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

cf413: Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf412: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix

Kenichiro Shiraya and Akihiko Takahashi

cf411: 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

cf410: Why Has Japan Failed to Escape from Deflation?

Kota Watanabe and Tsutomu Watanabe

cf409: Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers

Masaaki Fujii and Akihiko Takahashi