12 citations · 22 across the 5 of their papers we have counts for
5 papers
Power Laws and Symmetries in a Minimal Model of Financial Market Economy
Liu Ziyin, Katsuya Ito, Kentaro Imajo +1
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market econo…
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…
Trader-Company Method: A Metaheuristic for Interpretable Stock Price Prediction
Katsuya Ito, Kentaro Minami, Kentaro Imajo +1
Investors try to predict returns of financial assets to make successful investment. Many quantitative analysts have used machine learning-based methods to find unknown profitable m…
Deep Portfolio Optimization via Distributional Prediction of Residual Factors
Kentaro Imajo, Kentaro Minami, Katsuya Ito +1
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a high…
NAPLES;Mining the lead-lag Relationship from Non-synchronous and High-frequency Data
Katsuya Ito, Kei Nakagawa
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in pr…