3 citations · 8 across the 8 of their papers we have counts for
8 papers
tse_tick: A Python Library for Parsing and Querying Nikkei NEEDS Tick Data from the Tokyo Stock Exchange
Kazumi Li, Masataka Hayashi, Teruo Nakatsuma +1
Tick-level trade-and-quote data for the Tokyo Stock Exchange is distributed through the Nikkei NEEDS service as thousands of zipped CSV archives spanning four data types with era-d…
Calibrated Horizon-Weighted Local Projection Designs for Markov Switchbacks
Makoto Nakakita, Teruo Nakatsuma
We study temporal assignment design for Markov switchback experiments when the reported object is a dynamic local-projection target. We develop a calibrated selector that chooses t…
Convergence Rate of Efficient MCMC with Ancillarity-Sufficiency Interweaving Strategy for Panel Data Models
Makoto Nakakita, Tomoki Toyabe, Teruo Nakatsuma +1
Improving Markov chain Monte Carlo algorithm efficiency is essential for enhancing computational speed and inferential accuracy in Bayesian analysis. These improvements can be effe…
Do GPT Language Models Suffer From Split Personality Disorder? The Advent Of Substrate-Free Psychometrics
Peter Romero, Stephen Fitz, Teruo Nakatsuma
Previous research on emergence in large language models shows these display apparent human-like abilities and psychological latent traits. However, results are partly contradicting…
Identification in Bayesian Estimation of the Skewness Matrix in a Multivariate Skew-Elliptical Distribution
Sakae Oya, Teruo Nakatsuma
Harvey et al. (2010) extended the Bayesian estimation method by Sahu et al. (2003) to a multivariate skew-elliptical distribution with a general skewness matrix, and applied it to…
A positive-definiteness-assured block Gibbs sampler for Bayesian graphical models with shrinkage priors
Sakae Oya, Teruo Nakatsuma
Although the block Gibbs sampler for the Bayesian graphical LASSO proposed by Wang (2012) has been widely applied and extended to various shrinkage priors in recent years, it has a…
Volatility Forecasts Using Nonlinear Leverage Effects
Kenichiro McAlinn, Asahi Ushio, Teruo Nakatsuma
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long…
Fully Parallel Particle Learning for GPGPUs and Other Parallel Devices
Kenichiro McAlinn, Teruo Nakatsuma
We develop a novel parallel resampling algorithm for fully parallelized particle filters, which is designed with GPUs (graphics processing units) or similar parallel computing devi…