CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2016: Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection (Forthcoming in "Expert Systems With Applications")

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

2016: Product Turnover and Deflation: Evidence from Japan

Kozo Ueda, Kota Watanabe and Tsutomu Watanabe

2016: Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar

Shin-ichi Fukuda and Mariko Tanaka

2016: The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan

Hiroyuki Kasahara, Yasuyuki Sawada and Michio Suzuki

2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387)

Masaaki Fujii and Akihiko Takahashi

2016: Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation

Kenichi Ueda and Stijn Claessen

2016: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376)

Masaaki Fujii and Akihiko Takahashi

2016: Predicting accounting fraud: Evidence from Japan (Accepted by The Japanese Accounting Review)

Song Mingzi, Naoto Oshiro and Akinobu Shuto

2016: An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)

Akihiko Takahashi and Toshihiro Yamada

2016: Who buys what, where: Reconstruction of the international trade flows by commodity and industry

Yuichi Ikeda and Tsutomu Watanabe

2016: Power laws in market capitalization during the Dot-com and Shanghai bubble periods

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

2016: A Return Prediction-based Investment with Particle Filtering and Anomaly Detection

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

2016: A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance (Subsequently published in "European Journal of Operational Research")

Kenichiro Shiraya and Akihiko Takahashi

2016: Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools

Kazuo Ueda

2016: The gradual evolution of buyer-seller networks and their role in aggregate fluctuations

Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette

2016: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience

Jess Diamond, Kota Watanabe and Tsutomu Watanabe

2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions

Masaaki Fujii and Akihiko Takahashi

2016: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves

Hitoshi Matsushima and Shunya Noda

2016: Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering)

Akihiko Takahashi and Yukihiro Tsuzuki

2016: A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"

Akihiko Takahashi and Toshihiro Yamada

2016: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

2016: Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity (Forthcoming in "International Journal of Hospitality Management")

Taiga Saito, Akihiko Takahashi and Hiroshi Tsuda

2016: Three "Seismic Shifts" in the Global Economy and Policy Challenges

Kiyohiko G. Nishimura

2016: A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engineering)

Masaaki Fujii and Akihiko Takahashi

2015: An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)

Kenichiro Shiraya and Akihiko Takahashi

2015: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability

Masaaki Fujii and Akihiko Takahashi

2015: Asymptotic Expansion for Forward-Backward SDEs

Masaaki Fujii and Akihiko Takahashi

2015: Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")

Kenichiro Shiraya and Akihiko Takahashi

2015: Financial Disintermediation and Financial Fragility

Kosuke Aoki and Kalin Nikolov

2015: Price Impacts of Imperfect Collateralization

Kenichiro Shiraya and Akihiko Takahashi

2015: Currency intervention and the global portfolio balance effect: Japanese lessons

Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda

2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts

Masaaki Fujii

2015: Choice of Collateral Currency Updated -A market model for the benchmark pricing-

Masaaki Fujii and Akihiko Takahashi

2015: An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets

Kenichiro Shiraya and Akihiko Takahashi

2015: Asymptotic Expansion Approach in Finance

Akihiko Takahashi

2015: Management Earnings Forecasts as a Performance Target in Executive Compensation Contracts

Shota Otomasa, Atsushi Shiiba and Akinobu Shuto

2015: Novel and topical business news and their impact on stock market activities

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

2015: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models

Kenichiro Shiraya and Akihiko Takahashi

2015: Replicating Japan's CPI Using Scanner Data

Satoshi Imai and Tsutomu Watanabe

2015: An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Akihiko Takahashi and Toshihiro Yamada

2015: Structure of global buyer-supplier networks and its implications for conflict minerals regulations

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

2015: Connected Price Dynamics with Revealed Preferences and Auctioneer’s Discretionin VCG Combinatorial Auction (Published in the B. E. Journal of Theoretical Economics 18 (1), 2018.)

Hitoshi Matsushima

2015: Optimal Mechanism Design: Type-Independent Preference Orderings (Published in the Japanese Economic Review 69 (4), 2018.)

Hitoshi Matsushima

2015: Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

Masaaki Fujii and Akihiko Takahashi

2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing

Masaaki Fujii

2014: Buyer-Supplier Networks and Aggregate Volatility

Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe

2014: An FBSDE Approach to American Option Pricing with an Interacting Particle Method

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

2014: Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades

Nao Sudo, Kozo Ueda, Kota Watanabe and Tsutomu Watanabe

2014: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research", Revised in September 2014)

Akihiko Takahashi and Toshihiro Yamada

2014: MULTI-BELIEF RATIONAL-EXPECTATIONS EQUILIBRIA: INDETERMINACY, COMPLEXITY AND SUSTAINED DEFLATION

Kiyohiko G. Nishimura and Hiroyuki Ozaki S

2014: A New Improvement Scheme for Approximation Methods of Probability Density Functions

Akihiko Takahashi and Yukihiro Tsuzuki

2014: A Semi-group Expansion for Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Masaaki Fujii and Akihiko Takahashi

2014: Beauty Contests and Fat Tails in Financial Markets

Makoto Nirei and Tsutomu Watanabe

2014: Complexity of Payment Network

Hitoshi Hayakawa

2014: Safe Asset Shortages and Asset Price Bubbles

Kosuke Aoki, Tomoyuki Nakajima and Kalin Nikolov

2014: Pricing Basket Options under Local Stochastic Volatility with Jumps

Kenichiro Shiraya and Akihiko Takahashi

2014: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-

Akihiko Takahashi and Toshihiro Yamada

2014: We construct a Törnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained Törnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period

Kota Watanabe and Tsutomu Watanabe

2014: A New Improvement Scheme for Approximation Methods of Probability Density Functions

Akihiko Takahashi and Yukihiro Tsuzuki

2014: Speculative Attacks with Multiple Targets

Junichi Fujimoto

2014: The Structure and Evolution of Buyer-Supplier Networks

Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe

2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Masaaki Fujii and Akihiko Takahashi

2014: LIQUIDITY PREFERENCE AND KNIGHTIAN UNCERTAINTY

Kiyohiko G. Nishimura and Hiroyuki Ozaki

2014: A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada