Content
2024
- CARF-F-588 A New Equity Investment Strategy with Artificial Intelligence, Multi Factors, and Technical Indicators
by Daiya Mita & Akihiko Takahashi - CARF-F-587 Mean field equilibrium asset pricing model with habit formation
by Masaaki Fujii & Masashi Sekine - CARF-F-584 Optimal Vaccine Allocation Strategy: Theory and Application to the Early Stage of COVID-19 in Japan
by Toshikazu Kuniya & Taisuke Nakata & Daisuke Fujii - CARF-F-583 COVID-19 Risk Perceptions in Japan: A Cross Sectional Study
by Asako Chiba & Taisuke Nakata & Thuy Linh Nguyen & Reo Takaku - CARF-F-581 Bilateral Lucas Paradox
by Yasumasa Morito & Kenichi Ueda - CARF-F-580 Loan Screening When Banks Have Superior Information Technology
by Yun Gao & Kenichi Ueda - CARF-F-578 Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market
by Keisuke Kizaki & Taiga Saito & Akihiko Takahashi
2023
- CARF-F-576 A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in "Insurance: Mathematics and Economics")
by Keisuke Kizaki & Taiga Saito & Akihiko Takahashi - CARF-F-575 Multi-agent Robust Optimal Investment Problem in Incomplete Market
by Keisuke Kizaki & Taiga Saito & Akihiko Takahashi - CARF-F-574 Financial Innovations, Taxes, and the Growth of Finance
by Shuhei Aoki & Makoto Nirei & Kazufumi Yamana - CARF-F-570 Evidence on Price Stickiness in Japan
by Kozo Ueda - CARF-F-568 A Model-Free Approximation for Barrier Options in a General Stochastic Volatility Framework (Forthcoming in Journal of Futures Markets)
by Frido Rolloos & Kenichiro Shiraya - CARF-F-567 The Effect of Framing in Sealed-Bid Auctions: Theory and Experiments
by Yutaka Kayaba & Jun Maekawa & Hitoshi Matsushima - CARF-F-565 Oligopolistic Competition, Price Rigidity, and Monetary Policy
by Kozo Ueda & Kota Watanabe - CARF-F-564 A lower bound for the volatility swap in the lognormal SABR model "Forthcoming in Axioms"
by Elisa AlÃ²s & Frido Rolloos & Kenichiro Shiraya - CARF-F-563 New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion (Forthcoming in Asymptotic Analysis)
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-562 Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations (Forthcoming in ESAIM: Control, Optimisation and Calculus of Variations) (Revised version of CARF-F-545)
by Masaaki Fujii - CARF-F-560 Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Forthcoming in "Partial Differential Equations and Applications")(Revised version of CARF-F-547)
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-559 Mean-field equilibrium price formation with exponential utility
by Masaaki Fujii & Masashi Sekine - CARF-F-558 Optimal Loan Portfolio under Regulatory and Internal Constraints "Forthcoming in International Journal of Financial Engineering"
by Makoto Okawara & Akihiko Takahashi - CARF-F-555 Macroeconomic Effects of Monetary Policy in Japan: An Analysis Using Interest Rate Futures Surprises
by Hiroyuki Kubota & Mototsugu Shintani - CARF-F-553 Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility (Forthcoming in European Journal of Operational Research)
by Kenichiro Shiraya & Tomohisa Yamakami
2022
- CARF-F-552 The Demand for Money at the Zero Interest Rate Bound
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-551 A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
by Keisuke Kizaki & Taiga Saito & Akihiko Takahashi - CARF-F-550 Big data applications with theoretical models and social media in financial management
by Taiga Saito & Shivam Gupta - CARF-F-549 Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information
by Hitoshi Matsushima - CARF-F-548 Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information
by Hitoshi Matsushima - CARF-F-547 Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coefficients
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-546 Heterogeneous Risk Attitudes and Waves of Infection
by Daisuke Fujii & Taisuke Nakata & Takeshi Ojima - CARF-F-545 Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations
by Masaaki Fujii - CARF-F-543 A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"
by Akihiko Takahashi & Soichiro Takahashi - CARF-F-542 COVID-19 and Suicide in Japan
by Quentin Batista & Daisuke Fujii & Taisuke Nakata & Takeki Sunakawa - CARF-F-541 Understanding Cross-Country Heterogeneity in Health and Economic Outcomes during the COVID-19 Pandemic: A Revealed-Preference Approach
by Daisuke Fujii & Sohta Kawawaki & Yuta Maeda & Masataka Mori & Taisuke Nakata - CARF-F-540 Cross-Regional Heterogeneity in Health and Economic Outcomes during the COVID-19 Pandemic: An Analysis of Japan
by Shotaro Beppu & Daisuke Fujii & Hiroyuki Kubota & Kohei Machi & Yuta Maeda & Taisuke Nakata & Haruki Shibuya - CARF-F-539 The Effects of Hosting the Olympic and Paralympic Games on COVID-19 in Tokyo: Ex-Ante Analyses
by Asako Chiba & Daisuke Fujii & Yuta Maeda & Masataka Mori & Kenichi Nagasawa & Taisuke Nakata & Wataru Okamoto - CARF-F-538 Going Cashless: Governmentâ€™s Point Reward Program vs. COVID-19
by Toshitaka Sekine & Toshiaki Shoji & Tsutomu Watanabe - CARF-F-536 Moments of Maximum of LÃ©vy Processes: Application to Barrier and Lookback Option Pricing
by Yuan Li & Kenichiro Shiraya & Yuji Umezawa & Akira Yamazaki - CARF-F-535 Estimating a Behavioral New Keynesian Model with the Zero Lower Bound
by Yasuo Hirose & Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda - CARF-F-534 Portfolio optimization with choice of a probability measure (forthcoming in proceedings of IEEE CIFEr 2022)
by Taiga Saito & Akihiko Takahashi - CARF-F-533 Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-532 A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)
by Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada - CARF-F-531 Free-Rider Problem And Sovereignty Protection
by Hitoshi Matsushima
2021
- CARF-F-530 High-Frequency Identification of Monetary Policy Shocks in Japan (Revised version of CARF-F-502)(Forthcoming in the Japanese Economic Review)
by Hiroyuki Kubota & Mototsugu Shintani - CARF-F-529 Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium
by Masaaki Fujii & Akihiko Takahashi - CARF-F-528 The Medium-Term Impacts of the Global Financial Crisis
by Kenichi Ueda & Kei Uzui - CARF-F-527 Inference of Jumps Using Wavelet Variance
by Heng Chen & Mototsugu Shintani - CARF-F-526 Price Stability of Cryptocurrencies as a Medium of Exchange
by Tatsuru Kikuchi & Toranosuke Onishi & Kenichi Ueda - CARF-F-525 Going Cashless: Evidence from Japanâ€™s Point Reward Program
by Toshitaka Sekine & Toshiaki Shoji & Tsutomu Watanabe - CARF-F-524 Online Consumption During and After the COVID-19 Pandemic: Evidence from Japan
by Tsutomu Watanabe & Yuki Omori - CARF-F-523 Deep Asymptotic Expansion: Application to Financial Mathematicsï¼ˆforthcoming in proceedings of IEEE CSDE 2021)
by Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada - CARF-F-522 How do bank lenders use borrowersâ€™ financial statements? Evidence from a survey of Japanese banks
by Takuma Kochiyama & Ryosuke Nakamura & Akinobu Shuto - CARF-F-521 A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
by Masaaki Fujii & Akihiko Takahashi - CARF-F-520 Household Inventory, Temporary Sales, and Price Indices
by Kozo Ueda & Kota Watanabe & Tsutomu Watanabe - CARF-F-519 Frequency Regression and Smoothing for Noisy Nonstationary Time Series
by Seisho Sato & Naoto Kunimoto - CARF-F-518 Epistemological Implementation of Social Choice Functions
by Hitoshi Matsushima - CARF-F-517 Backward Smoothing for Noisy Non-stationary Time Series
by Seisho Sato & Naoto Kunitomo - CARF-F-516 Identifying the Source of Information Rigidities in the Expectations Formation Process
by Mototsugu Shintani & Kozo Ueda - CARF-F-515 Auctions with Ethical Concerns
by Hitoshi Matsushima - CARF-F-514 Assignments with Ethical Concerns
by Hitoshi Matsushima - CARF-F-513 The Return of the Dead? The COVID-19 Business Support Programs in Japan (Forthcoming in Journal of Banking and Finance)
by Takeo Hoshi & Daiji Kawaguchi & Kenichi Ueda - CARF-F-512 Budget Ratcheting and Debtholdersâ€™ Monitoring: Evidence from Private Colleges and Universities
by Makoto Kuroki & Akinobu Shuto - CARF-F-511 The Bright and Dark Side of Financial Support from Local and Central Banks after a Natural Disaster: Evidence from the Great Kanto Earthquake, 1923 Japan
by Tetsuji Okazaki & Toshihiro Okubo & Eric Strobl - CARF-F-510 Repricing Avalanches
by Makoto Nirei & JosÃ© A. Scheinkman - CARF-F-509 Equilibrium Price Formation with a Major Player and its Mean Field Limit
by Masaaki Fujii & Akihiko Takahashi - CARF-F-508 Japanâ€™s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-507 Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach (Forthcoming in IEEE Transactions on Automatic Control)"
by Taiga Saito & Akihiko Takahashi - CARF-F-506 Bank Regulatory Reforms and Declining Diversity of Bank Credit Allocation
by Takeo Hoshi & Ke Wang - CARF-F-505 Covid-19 and Output in Japan
by Daisuke Fujii & Taisuke Nakata - CARF-F-504 A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver
by Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada - CARF-F-503 A New Interval Type-2 Fuzzy Logic System Under Dynamic Environment: Application to Financial Investment (Subsequently published in "Engineering Applications of Artificial Intelligence")
by Akihiko Takahashi & Soichiro Takahashi
2020
- CARF-F-502 High-frequency Identification of Unconventional Monetary Policy Shocks in Japan
by Hiroyuki Kubota & Mototsugu Shintani - CARF-F-501 Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis
by Markus Heckel & Kiyohiko G. Nishimura - CARF-F-500 Implementation, Honesty, and Common Knowledge
by Hitoshi Matsushima - CARF-F-498 Epistemological Mechanism Design (Revised version of CARF-F-496)
by Hitoshi Matsushima & Shunya Noda - CARF-F-497 Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations
by Masaaki Fujii - CARF-F-496 Unique Information Elicitation
by Hitoshi Matsushima & Shunya Noda - CARF-F-495 A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit
by Masaaki Fujii & Akihiko Takahashi - CARF-F-494 The Effects of QQE on Long-run Inflation Expectations in Japan
by Mototsugu Shintani & Naoto Soma - CARF-F-493 The Welfare Implications of Massive Money Injection: The Japanese Experience from 2013 to 2020
by Tsutomu Watanabe - CARF-F-492 Japanâ€™s Voluntary Lockdown
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-491 Consumer Inventory and the Cost of Living Index: Theory and Some Evidence from Japan
by Kozo Ueda & Kota Watanabe & Tsutomu Watanabe - CARF-F-490 Who Suffers from the COVID-19 Shocks? Labor Market Heterogeneity and Welfare Consequences in Japan (Forthcoming in the Journal of the Japanese and the International Economies)
by Shinnosuke Kikuchi & Sagiri Kitao & Minamo Mikoshiba - CARF-F-489 A new investment method with AutoEncoder: Applications to crypto currencies(Forthcoming in "Expert Systems with Applications")
by Masafumi Nakano & Akihiko Takahashi - CARF-F-488 Listing Advantages Around the World
by Kenichi Ueda & Somnath Sharma - CARF-F-487 Online Consumption During the COVID-19 Crisis: Evidence from Japan
by Tsutomu Watanabe & Yuki Omori - CARF-F-486 Average Inflation Targeting and the Interest Rate Lower Bound
by Flora Budianto & Taisuke Nakata & Sebastian Schmidt - CARF-F-485 Optimal Inflation Target with Expectations-Driven Liquidity Traps
by Philip Coyle & Taisuke Nakata - CARF-F-484 Credible Forward Guidance
by Taisuke Nakata & Takeki Sunakawa - CARF-F-483 Monetary Policy Options at the Effective Lower Bound: Assessing the Federal Reserveâ€™s Current Policy Toolkit
by Hess Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego VilÃ¡n & Wei Zheng - CARF-F-482 Equilibrium Yield Curves and the Interest Rate Lower Bound
by Taisuke Nakata & Hiroatsu Tanaka - CARF-F-481 A Promised Value Approach to Optimal Monetary Policy
by Timothy Hills & Taisuke Nakata & Takeki Sunakawa - CARF-F-480 Speed Limit Policy and Liquidity Traps
by Taisuke Nakata & Sebastian Schmidt & Paul Yoo - CARF-F-479 Interest Rate Model with Investor Attitude and Text Mining (Published in IEEE Access)
by Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi - CARF-F-477 How Much Did People Refrain from Service Consumption due to the Outbreak of COVID-19?
by Tsutomu Watanabe & Yuki Omori - CARF-F-476 Capital Market Integration with Multiple Convergence Clubs: The Case of Prewar Japan
by Tsutomu Watanabe - CARF-F-475 Capital Market Integration with Multiple Convergence Clubs: The Case of Prewar Japan
by Tetsuji Okazaki & Koji Sakai - CARF-F-474 Mechanism Design with Blockchain Enforcement
by Hitoshi Matsushima & Shunya Noda - CARF-F-473 A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
by Masaaki Fujii & Akihiko Takahashi - CARF-F-472 Recurrent Preemption Games
by Hitoshi Matsushima
2019
- CARF-F-471 A novel approach to asset pricing with choice of probability measures
by Taiga Saito & Akihiko Takahashi - CARF-F-470 Online Appendix for Interest Rate Model with Investor Attitude and Text Mining
by Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi - CARF-F-468 Sequential Îµ-Contamination with Learning
by Hiroyuki Kato & Kiyohiko G. Nishimura & Hiroyuki Ozaki - CARF-F-467 Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations
by Masaaki Fujii - CARF-F-466 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments (Revised version of CARF-F-433)
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-465 How Large is the Demand for Money at the ZLB? Evidence from Japan
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-464 Mechanism Design with General Ex-Ante Investments (Revised version of F415 )
by Hitoshi Matsushima & Shunya Noda - CARF-F-463 Detecting stock market bubbles based on the cross-sectional dispersion of stock prices
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-462 Information Design in Blockchain: A Role of Trusted Intermediaries
by Hitoshi Matsushima - CARF-F-461 House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo
by Takaaki Ohnishi & Takayuki Mizuno & Tsutomu Watanabe - CARF-F-460 State space approach to adaptive fuzzy modeling for financial investment (Published in Applied Soft Computing)
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-459 Blockchain Disables Real-World Governance
by Hitoshi Matsushima - CARF-F-458 Forecasting Japanese inflation with a news-based leading indicator of economic activities
by Keiichi Goshima & Hiroshi Ishijima & Mototsugu Shintani & Hiroki Yamamoto - CARF-F-457 Recurrent Bubbles and Economic Growth
by Pablo A. Guerron-Quintana & Tomohiro Hirano & Ryo Jinnai - CARF-F-456 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets)
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi - CARF-F-455 A General Control Variate Method for LÃ©vy Models in Finance (Published in European Journal of Operational Research.)
by Kenichiro Shiraya & Hiroki Uenishi & Akira Yamazaki - CARF-F-454 Approximation Method Using Black-Scholes Formula for Barrier Option Pricing under LÃ©vy Models
by Yuan Li & Kaimon Miyachi & Kenichiro Shiraya & Akira Yamazaki - CARF-F-453 Partial Ex-Post Verifiability and Unique Implementation of Social Choice Functions (Forthcoming in Social Choice and Welfare)
by Hitoshi Matsushima - CARF-F-452 Behavioral Theory of Repeated Prisonerâ€™s Dilemma: Generous Tit-For-Tat Strategy (Forthcoming in the B. E. Journal of Theoretical Economics)
by Hitoshi Matsushima - CARF-F-451 Stochastic Differential Game in High Frequency Market (Forthcoming in Automatica)
by Taiga Saito & Akihiko Takahashi
2018
- CARF-F-450 Trade Clustering and Power Laws in Financial Markets (Published in Theoretical Economics, 15:1365?1398, 2020)
by Makoto Nirei & John Stachurski & Tsutomu Watanabe - CARF-F-449 Predicting Adverse Media Risk using a Heterogeneous Information Network
by Ryohei Hisano & Didier Sornette & Takayuki Mizuno - CARF-F-448 Application of Online Booking Data to Hotel Revenue Management (Forthcoming in International Journal of Information Management)
by Taiga Saito & Akihiko Takahashi & Noriaki Koide & Yu Ichifuji - CARF-F-447 Bank Runs and Minimum Reciprocity
by Hitoshi Matsushima - CARF-F-446 Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in "Asia-Pacific Financial Markets". )
by Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi - CARF-F-445 Asymptotic Expansion for Forward-Backward SDEs with JumpsAsymptotic Expansion for Forward-Backward SDEs with Jumps (Forthcoming in Stochastics) (Revised version of F-372)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-444 The Demand for Money at the Zero Interest Rate Bound
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-443 Implementation without Expected Utility: Ex-Post Verifiability
by Hitoshi Matsushima - CARF-F-442 The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience
by Jess Diamond & Kota Watanabe & Tsutomu Watanabe - CARF-F-441 Bitcoin technical trading with artificial neural network
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-440 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Forthcoming in Stochastics and Dynamics) (Revised version of F-431)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-439 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.)
by Hitoshi Matsushima - CARF-F-438 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)
by Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino - CARF-F-437 Online Supplement for "Stochastic Differential Game in High Frequency Market"
by Taiga Saito & Akihiko Takahashi - CARF-F-436 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)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-435 Are More Able Managers Good Future Tellers? Learning from Japan (Forthcoming in Journal of Accounting and Public Policy)
by Souhei Ishida & Takuma Kochiyama & Akinobu Shuto - CARF-F-434 Herding and Power Laws in Financial Markets
by Makoto Nirei & John Stachurski & Koichiro Takaoka & Tsutomu Watanabe - CARF-F-433 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-432 Psychological Aspect of Monitoring Accuracy in Repeated Prisonersâ€™ Dilemma
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-431 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-430 Bitcoin technical trading with artificial neural network
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-429 Listing and Financial Constraints
by Kenichi Ueda & Akira Ishide & Yasuo Goto - CARF-F-428 Framing Game Theory
by Hitoshi Matsushima - CARF-F-427 An approximation formula for normal implied volatility under general local stochastic volatility models
by Yasaman Karami & Kenichiro Shiraya - CARF-F-422 State Space Approach to Adaptive Artificial Intelligence Modeling: Application to Financial Portfolio with Fuzzy System
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi
2017
- CARF-F-426 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)
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-425 Framing Game Theory
by Hitoshi Matsushima - CARF-F-424 Understanding Macroeconomic Statistics: An "Ideal-Type" Economy Approach
by Kiyohiko G. Nishimura & Junko Ishikawa - CARF-F-423 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi - CARF-F-421 Optimal overbooking strategy in online hotel booking systems¡ÊRevised as "Application of Online Booking Data to Hotel Revenue Management" in F-448¡Ë
by Taiga Saito & Akihiko Takahashi & Noriaki Koide & Yu Ichifuji - CARF-F-420 Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-419 On the effect of Bank of Japan's outright purchase on the JGB yield curve
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka - CARF-F-418 Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering)
by Taiga Saito - CARF-F-417 Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)
by Taiga Saito & Akihiko Takahashi - CARF-F-416 Dynamic Implementation, Verification, and Detection
by Hitoshi Matsushima - CARF-F-415 Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386)
by Hitoshi Matsushima & Shunya Noda - CARF-F-414 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory (Revised version of F-381)
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-413 Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-412 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-411 Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-
by Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino - CARF-F-410 Why Has Japan Failed to Escape from Deflation?
by Kota Watanabe & Tsutomu Watanabe - CARF-F-409 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
by Masaaki Fujii & Akihiko Takahashi - CARF-F-408 Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan
by Kota Watanabe & Tsutomu Watanabe - CARF-F-407 Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
by Elisa Alos & Kenichiro Shiraya - cf406 Creating Investment Scheme with State Space Modeling
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-405 Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-404 Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s
by Yoshihiro Tamai & Chihiro Shimizu & Kiyohiko G. Nishimura - CARF-F-385 Derivatives Pricing with Market Impact and Limit Order Book
by Taiga Saito & Akihiko Takahashi - CARF-F-383 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
by Takaya Fukui & Seisho Sato & Akihiko Takahashi
2016
- CARF-F-403 Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection (Forthcoming in "Expert Systems With Applications")
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-402 Predicting accounting fraud: Evidence from Japan (Accepted by The Japanese Accounting Review)
by Song Mingzi & Naoto Oshiro & Akinobu Shuto - CARF-F-401 Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar
by Shin-ichi Fukuda & Mariko Tanaka - CARF-F-400 Product Turnover and Deflation: Evidence from Japan
by Kozo Ueda & Kota Watanabe & Tsutomu Watanabe - CARF-F-399 The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan
by Hiroyuki Kasahara & Yasuyuki Sawada & Michio Suzuki - CARF-F-398 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-397 An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)
by Kenichiro Shiraya - CARF-F-396 Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation
by Kenichi Ueda & Stijn Claessen - CARF-F-395 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability (revised version of CARF-F-376)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-394 An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-393 Who buys what, where: Reconstruction of the international trade flows by commodity and industry
by Yuichi Ikeda & Tsutomu Watanabe - CARF-F-392 Power laws in market capitalization during the Dot-com and Shanghai bubble periods
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-391 A Return Prediction-based Investment with Particle Filtering and Anomaly Detection
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-390 Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools
by Kazuo Ueda - CARF-F-389 The gradual evolution of buyer-seller networks and their role in aggregate fluctuations
by Ryohei Hisano & Tsutomu Watanabe & Takayuki Mizuno & Takaaki Ohnishi & Didier Sornette - CARF-F-388 The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience
by Jess Diamond & Kota Watanabe & Tsutomu Watanabe - CARF-F-387 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions
by Masaaki Fujii & Akihiko Takahashi - CARF-F-386 Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves
by Hitoshi Matsushima & Shunya Noda - CARF-F-384 Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering)
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-382 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")
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-381 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-380 Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity (Forthcoming in "International Journal of Hospitality Management")
by Taiga Saito & Akihiko Takahashi & Hiroshi Tsuda - CARF-F-379 Three "Seismic Shifts" in the Global Economy and Policy Challenges
by Kiyohiko G. Nishimura - CARF-F-378 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)
by Masaaki Fujii & Akihiko Takahashi
2015
- CARF-F-377 An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-376 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability
by Masaaki Fujii & Akihiko Takahashi - CARF-F-375 Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-374 Financial Disintermediation and Financial Fragility
by Kosuke Aoki & Kalin Nikolov - CARF-F-373 Currency intervention and the global portfolio balance effect: Japanese lessons
by Petra Gerlach-Kristen & Robert N McCauley & Kazuo Ueda - CARF-F-372 Asymptotic Expansion for Forward-Backward SDEs
by Masaaki Fujii & Akihiko Takahashi - CARF-F-371 Choice of Collateral Currency Updated -A market model for the benchmark pricing-
by Masaaki Fujii & Akihiko Takahashi