Updated on 2024/04/13


KUMAGAI, Yoshiaki
Faculty of Education and Integrated Arts and Sciences, School of Education
Job title
修士(理学・商学) ( 慶應義塾大学 )

Committee Memberships

  • 2016.11

    しごと能力研究学会  理事

  • 2011.07

    人事院  国家公務員採用総合職試験(行政、経済)試験専門委員

Professional Memberships




    Japan Academic Society for Financial Planning


    The Operations Research Society of Japan


    Japan Society for Industrial and Applied Mathematics


    Japan Statistical Society


    The Nippon Finance Association


    The Japanese Economic Association


    Japan Association of Real Options and Strateg

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Research Areas

  • Money and finance

Research Interests

  • Finance, Financial Engineering, Econophysics



  • リスクと向かい合う


    しごと能力研究   ( 特集号 ) 262 - 277  2018.10

  • 設備費用に対するジャンプショックの計測 -Microsoft の Risk Map における η 効果、λ 効果-

    熊谷 善彰, 藤原 浩一

    学術研究(人文科学・社会科学編)   ( 66 ) 203 - 215  2018.03

  • 民間企業の防災投資における投資判断と資本コスト

    熊谷善彰, 藤原浩一

    早稲田大学教育・総合科学学術院学術研究(人文科学・社会科学編)   64   231 - 239  2016.03

  • キャッシュインフロー・ジャンプの評価モデル

    熊谷善彰, 藤原浩一

    学術研究 -人文科学・社会科学編   61  2013.02

  • 市場における価格反転の時間間隔と時間変更 -為替レート高頻度データの分析-

    学術研究-地理学・歴史学・社会科学編-   59 ( 59 ) 1 - 13  2011.02


  • Time scale defined by the fractal structure of the price fluctuations in foreign exchange markets

    Yoshiaki Kumagai

    Journal of Physics: Conference Series   221 ( 0120161 ) 1 - 7  2010

     View Summary

    In this contribution, a new time scale named C-fluctuation time is defined by price fluctuations observed at a given resolution. The intraday fractal structures and the relations of the three time scales: real time (physical time), tick time and C-fluctuation time, in foreign exchange markets are analyzed. The data set used is trading prices of foreign exchange rates
    US dollar (USD)/Japanese yen (JPY), USD/Euro (EUR), and EUR/JPY. The accuracy of the data is one minute and data within a minute are recorded in order of transaction. The series of instantaneous velocity of C-fluctuation time flowing are exponentially distributed for small C when they are measured by real time and for tiny C when they are measured by tick time. When the market is volatile, for larger C, the series of instantaneous velocity are exponentially distributed. © 2010 IOP Publishing Ltd.



  • Fractal with price scale of high-frequency data in futures market

    Yoshiaki Kumagai

    2006 International Symposium on Nonlinear Theory and its Applications     339 - 342  2006.09

  • 金融市場における価格変動の値幅と時間-為替レート高頻度データのフラクタル分析-


    早稲田大学教育学部 学術研究-地理学・歴史学・社会科学編-   ( 52 ) 31 - 47  2004.02


  • 円ドルレートティックデータの週次フラクタル次元


    日本オペレーションズ・リサーチ学会論文誌   45 ( 4 ) 457 - 469  2002.12  [Refereed]

     View Summary

    In this study, we measure the fractal dimension of dollar/yen exchange rates for each week. The tick-by-tick data set of the bid/ask prices submitted by the brokers is used. For analyzing the data, we use two time scales: the physical time and the number of the submitted prices. The data are resampled to one-minute interval when the physical time is used. Using the number of the submitted prices, we can analyze all the data in the order of the records. We calculate the fractal dimensions on this two time scales by Higuchi's method. The main results are as follows. The weekly fractal dimensions vary with time. The fluctuations of the prices tend to have rather strong self-similarity when the market is volatile. The self-similarity is stronger on the physical time than on the number of prices. By using either time scale, the measured fractal dimensions exceed 1.5, which suggest anti-persistence. For any week, this anti-persistence is stronger on the number of the prices than on the physical time. However, the differences between these two dimensions of the same week little vary with time, since the variations of the two synchronize.


  • Fractal structure of high-frequency data in the foreign exchange market

    Y Kumagai

    JOURNAL OF THE KOREAN PHYSICAL SOCIETY   40 ( 6 ) 1100 - 1104  2002.06  [Refereed]

     View Summary

    In high-frequency financial data, transactions can occur at varying time intervals. We propose a new method to describe the fractal structure of high frequency data, which are non-equidistant in physical time. Using extreme values determined with a scale, we define functions independent of the time scale. Moreover, we can measure a kind of fractal dimension: the fold dimension. Using these functions, we can analyze non-equidistant data without information losses. In this contribution, we use a high frequency data set on bid and ask prices of the dollar/yen exchange rates.

  • Arbitrage Relation in the Corn Futures Prices of Japan and US

    Yoshiaki Kumagai, Kei Arai, Gyoichi Iwata

    Keio Business Review   39 ( 3 ) 43 - 58  2002.03

     View Summary

    This paper aims to analyze empirically how the price of commodity futures market in Japan is related to an overseas futures price of the same commodity. First, whether the arbitrage activities between the Tokyo Grain Exchange and the Chicago Board of Trade work with respect to corn futures is examined. After the usual statistical test on the arbitrage relation hypothesis among the coefficients of the logarithmic TGE price regression on the logarithmic CBOT price and forward exchange rate, this paper uses data of unit transportation cost, which has been neglected so far. By using the C&F premium, the theoretical arbitrage value of the imported corn price can be directly compared with the TGE corn price.


  • Fractal structure of financial high frequency data

    Y Kumagai


     View Summary

    We propose a new method to describe scaling behavior of time series. We introduce an extension of extreme values. Using these extreme values determined by a scale, we define some functions. Moreover, using these functions, we can measure a kind of fractal dimension - fold dimension. In financial high frequency data, observations can occur at varying time intervals. Using these functions, we can analyze non-equidistant data without interpolation or evenly sampling. Further, the problem of choosing the appropriate time scale is avoided. Lastly, these functions are related to a viewpoint of investor whose transaction costs coincide with the spread.

  • 不等間隔時系列のフラクタル解析


    日本応用数理学会論文誌   11 ( 4 ) 179 - 186  2001.12  [Refereed]

     View Summary

    We propose a new method to describe fractal structure of data, which are non-equidistant in physical time, and apply this method to fractional Brownian motions. Using extended extreme values, we define functions independent of time scale. Moreover, a kind of fractal dimension is measured. In high frequency financial data, observations can occur at varying time intervals. Using these functions, we can analyze non-equidistant data without interpolation or evenly resampling. Moreover, the problem of choosing the appropriate time scale is avoided. Lastly, these functions are related to a viewpoint of investor with constant transaction costs.

    DOI CiNii

  • わが国商品先物市場における海外市場との裁定関係の検証

    新井啓, 岩田暁一, 熊谷善彰

    KEO Discussion Paper   60  2000.12

  • 取引費用と目標時点を考慮した出来高・流動性の分析


    三田商学研究   42 ( 6 ) 95 - 117  2000.02  [Refereed]


  • 価格ボラティリティと原油備蓄-SWARCH,KERNELモデルによる実証分析-

    藤原浩一, 新関三希代, 熊谷善彰

    三田商学研究   42 ( 5 ) 193 - 217  1999.12  [Refereed]

  • 取引費用と目標時点を考慮した投機的市場モデル


    三田商学研究   42 ( 4 ) 71 - 92  1999.10  [Refereed]

  • 野菜指数の商品先物取引上場に関する可能性

    岩田暁一, 砂田洋志, 熊谷善彰, 新井啓

    慶應義塾大学産業研究所    1995.10

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Books and Other Publications

  • The Seven Pillars of Ststistical Wisdom

    ( Part: Joint translator)

    2017.01 ISBN: 9784775941683

  • コンパクト金融論


    新世社  2010.01 ISBN: 9784883841431

  • 秘密の国 オフショア市場(Offshore: The Dark Side of the Global Economy) 共訳

    William Brittain-Catlin

    東洋経済新報社  2007.12 ISBN: 9784492443453

  • MBA国際マネジメント事典


    中央経済社  2007.10 ISBN: 9784502395000

  • 実践的ペアトレーディングの理論(Pairs Trading: Quantitative Methods and Analysis) 監訳

    Ganapathy Vidyamurthy

    パン・ローリング  2006.12 ISBN: 9784775970768

  • 「入門」経済物理学 -暴落はなぜ起こるのか?-(Why Stock Markets Crash -Critical Events in Complex Financial Systems)(共訳)

    Didier Sornette

    PHP研究所  2004.03 ISBN: 9784569634142

  • 情報システムとしての金融 『グローバル社会の情報論』(伊藤守・西垣通・正村俊之編)第5章


    早稲田大学出版部  2004.01 ISBN: 9784657039217

  • Time Evolution of Fractal Structure by Price-axis Scaling and Foreign Exchange Intervention Operations( in "Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium" Hideki Takayasu eds.)

    Yoshiaki Kumagai

    Springer-Verlag Tokyo  2003.11 ISBN: 443114028X

  • 金融リスクの理論 -経済物理からのアプローチ-(Theory of Financial Risks From Statistical Physics to Risk Management)(森谷博之、熊谷善彰訳)

    Jean-Philippe Bouchard, Marc Potters

    朝倉書店  2003.06 ISBN: 9784254295368

  • 金融時系列データのフラクタル分析


    多賀出版  2002.07 ISBN: 9784811563114

  • Time-Space Scaling of Financial Time Series("Empirical Science of Financial Fluctuations: The Advent of Econophysics)(Hideki Takayasu eds.)

    Yoshiaki Kumagai

    Springer-Verlag Tokyo  2001.12 ISBN: 4431703160

  • 先物市場とカオス理論 『先物・オプション市場の計量分析』(岩田暁一編著)第6章


    慶應義塾大学出版会  1997.10 ISBN: 9784766406726

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  • リスクと不確実性- マクロ経済体系の中での企業価値のコントロールについて-

    藤原浩一, 熊谷善彰


    Presentation date: 2023.09

  • The efect of TSE tick size changes on fractal structure of price time series

    Workshop; Digital designs for money, markets, and social designs 

    Presentation date: 2022.09

  • 経営者の収益責任:システム・ダイナミクスによるシミュレーション・モデル

    藤原浩一, 熊谷善彰

    日本価値創造ERM学会 2022年度研究発表大会 

    Presentation date: 2022.09

  • 競争優位の源泉としての内部マネジメント能力とリスクマップによる 財務インパクトの分析

    藤原浩一, 熊谷善彰

    第 15 回日本価値創造 ERM 学会 研究発表大会 

    Presentation date: 2021.09

  • 日本の製造業における市場シェア逆転リスク :オープンイノベーションとナレッジアライアンス・リスク

    藤原浩一, 熊谷善彰

    Keio 2018 産業研究所セミナー 

    Presentation date: 2019.02

  • 投資教育研究経過報告

    浜崎祐一郎, 熊谷善彰

    しごと能力研究学会第11回全国大会  しごと能力研究学会

    Presentation date: 2018.10

  • イノベーションの財務基盤破壊効果: 確率過程モデルによるリスク計測の試み

    藤原浩一, 熊谷善彰


    Presentation date: 2015.09

  • 産業技術と経営判断:システムダイナミクスによるシミュレーションの可能性


    Presentation date: 2013.06

  • 経営判断と企業価値変動リスク−シミュレーションの可能性について


    Presentation date: 2013.01

  • イノベーションの財務インパクト - 信用リスクはいかに発生するか? -


    Presentation date: 2012.01

  • 価格時系列における価格反転と時間変更

    「空間を含む経済モデルの非線形動学分析およびデータ解析」 共同研究集会 

    Presentation date: 2011.03

  • 市場における時間とは


    Presentation date: 2010.11

  • Time scale defined by fluctuations and multifractal time in foreign exchange markets

    Applications of Physics in Financial Analysis 7th International Conference 

    Presentation date: 2009.03

  • Daily and intraday evolution of fractal structure in the foreign exchange market measured by the folding dimension

    Econophysics Colloquium 2006 

    Presentation date: 2006.11

  • Analysis of High-Frequency Financial Data by Folding Dimension

    Society for Chaos Theory in Psychology & Life Sciences 

    Presentation date: 2006.08

  • 価格時系列の値幅を粗視化したフラクタル構造の時間発展


    Presentation date: 2003.11

  • Time Evolution of Fractal Structure by Price-axis Scaling and Foreign

    The 2nd Nikkei Econophysics Research Workshop and Symposium 

    Presentation date: 2002.11

  • Time Evolution of Fractal Structure by Price-axis Scaling in Economic

    The 3rd Intermnational Conference on Discrete Chaotic Dynamics in 

    Presentation date: 2002.09

  • Fractal Dimension of High Frequency Data in Foreign Exchange Market

    The 7th International Workshop on Similarity in Diversity 

    Presentation date: 2001.09

  • 円ドルレート提示価格の値幅によるフラクタル解析


    Presentation date: 2001.07

  • Time-Space Scaling of Financial Time Series

    The Symposium on Empirical Science of Financial Fluctuations 

    Presentation date: 2000.11

  • 為替市場ティックデータの値幅による粗視化


    Presentation date: 2000.09

  • 価格ボラティリティと原油備蓄−SWARCH,KERNELモデルによる実証分析


    Presentation date: 2000.09

  • 取引費用を考慮した目標時点決定モデルによる出来高・流動性の分析


    Presentation date: 1999.10

  • 価格変動の粗視化による資産市場における取引費用と収益の分析


    Presentation date: 1999.07

  • 取引費用を考慮した投資目標時点の決定モデルによる投機的市場の分析


    Presentation date: 1999.06

  • 取引費用と目標時点を考慮した投機的市場のシミュレーション


    Presentation date: 1998.07

  • 先物市場におけるカオス性の実証分析


    Presentation date: 1997.07

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Social Activities

  • 投資教育のコンテンツ作成と授業実践

    早稲田大学・みずほ証券  早稲田大学投資教育講座(みずほ証券(株)委託研究) 


  • 自分にとってのお金、社会にとってのお金 ~金融、投資って何? リスクとどう付き合えば良い?

    経済産業省  STEAMライブラリー 



  • Faculty of Education and Integrated Arts and Sciences   Graduate School of Education

  • Affiliated organization   Global Education Center

  • Faculty of Letters, Arts and Sciences   School of Humanities and Social Sciences

Internal Special Research Projects

  • 為替市場ティックデータの価格軸粗視化によるフラクタル分析の有効性の検証


     View Summary