38 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Hirosaki UniversityJP12 papers
- Kitasato UniversityJP4 papers
- Shinshu UniversityJP4 papers
- Preferred Networks (Japan)JP2 papers
- The University of OsakaJP2 papers
- The University of TokyoJP2 papers
- Gakushuin UniversityJP1 paper
- Kagoshima UniversityJP1 paper
- Kyushu UniversityJP1 paper
- Nagoya UniversityJP1 paper
- National Astronomical Observatory of JapanJP1 paper
- New York UniversityUS1 paper
19 papers
A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model
Kei Nakagawa, Masanori Hirano, Kentaro Minami +1
The AI traders in financial markets have sparked significant interest in their effects on price formation mechanisms and market volatility, raising important questions for market s…
Time series generation for option pricing on quantum computers using tensor network
Nozomu Kobayashi, Yoshiyuki Suimon, Koichi Miyamoto
Finance, especially option pricing, is a promising industrial field that might benefit from quantum computing. While quantum algorithms for option pricing have been proposed, it is…
The cross-sectional stock return predictions via quantum neural network and tensor network
Nozomu Kobayashi, Yoshiyuki Suimon, Koichi Miyamoto +1
In this paper, we investigate the application of quantum and quantum-inspired machine learning algorithms to stock return predictions. Specifically, we evaluate the performance of…
Information cascade on networks and phase transitions
Masato Hisakado, Kazuaki Nakayama, Shintaro Mori
Herein, we consider a voting model for information cascades on several types of networks -- a random graph, the Barabási-Albert(BA) model, and lattice networks -- by using one para…
Multi-Dimensional self-exciting NBD process and Default portfolios
Masato Hisakado, Kodai Hattori, Shintaro Mori
In this study, we apply a multidimensional self-exciting negative binomial distribution (SE-NBD) process to default portfolios with 13 sectors. The SE-NBD process is a Poisson proc…
From the multi-terms urn model to the self-exciting negative binomial distribution and Hawkes processes
Masato Hisakado, Kodai Hattori, Shintaro Mori
This study considers a new multi-term urn process that has a correlation in the same term and temporal correlation. The objective is to clarify the relationship between the urn mod…
Jets from MRC 0600-399 bent by magnetic fields in the cluster Abell 3376
James O. Chibueze, Haruka Sakemi, Takumi Ohmura +7
Galaxy clusters are known to harbour magnetic fields. The nature of the intra-cluster magnetic fields remains an unresolved question. Intra-cluster magnetic field can be observed a…
Pólya urn with memory kernel and asymptotic behaviours of autocorrelation function
Shintaro Mori, Masato Hisakado, Kazuaki Nakayama
Pólya urn is a stochastic process in which balls are randomly drawn from an urn of red and blue balls, and balls of the same color as the drawn balls are added. The probability of…
Magnetic Switching by Oxygen Adsorption in Metal-Organic Framework Systems
Masaki Kato, Kunio Tokushuku, Hiroyasu Matsuura +2
In this letter, we address magnetization switching by oxygen adsorption in porous metal-organic framework systems. To this end, we construct a simple localized spin model combined…
No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging
Shota Imaki, Kentaro Imajo, Katsuya Ito +2
Deep hedging (Buehler et al. 2019) is a versatile framework to compute the optimal hedging strategy of derivatives in incomplete markets. However, this optimal strategy is hard to…
Quantum statistics and networks by asymmetric preferential attachment of nodes -- between bosons and fermions
Masato Hisakado, Shintaro Mori
In this article, we discuss the random graph, Barabási-Albert (BA) model, and lattice networks from a unified view point, with the parameter with values characterizing…
Parameter estimation of default portfolios using the Merton model and Phase transition
Masato Hisakado, Shintaro Mori
We discuss the parameter estimation of the probability of default (PD), the correlation between the obligors, and a phase transition. In our previous work, we studied the problem u…
Optimal Learning Dynamics of Multi Agents in Restless Multiarmed Bandit Game
Kazuaki Nakayama, Ryuzo Nakamura, Masato Hisakado +1
Social learning is learning through the observation of or interaction with other individuals; it is critical in the understanding of the collective behaviors of humans in social ph…
A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy
Kei Nakagawa, Masaya Abe, Junpei Komiyama
Stock return predictability is an important research theme as it reflects our economic and social organization, and significant efforts are made to explain the dynamism therein. St…
Phase transition in the Bayesian estimation of the default portfolio
Masato Hisakado, Shintaro Mori
The probability of default (PD) estimation is an important process for financial institutions. The difficulty of the estimation depends on the correlations between borrowers. In th…
A voter model on networks and multivariate beta distribution
Shintaro Mori, Masato Hisakado, Kazuaki Nakayama
In elections, the vote shares or turnout rates show a strong spatial correlation. The logarithmic decay with distance suggests that a 2D noisy diffusive equation describes the syst…
The Pitman-Yor process and an empirical study of choice behavior
Masato Hisakado, Fumiaki Sano, Shintaro Mori
This study discusses choice behavior using a voting model in which voters can obtain information from a finite number of previous voters. Voters vote for a candidate with a pro…
Information cascade on networks
Masato Hisakado, Shintaro Mori
In this paper, we discuss a voting model by considering three different kinds of networks: a random graph, the Barabási-Albert(BA) model, and a fitness model. A voting model repres…
Information cascade, Kirman's ant colony model, and kinetic Ising model
Masato Hisakado, Shintaro Mori
In this paper, we discuss a voting model in which voters can obtain information from a finite number of previous voters. There exist three groups of voters: (i) digital herders and…