Updated on 2021/12/08

写真a

 
YAMAMOTO, Ryuichi
 
Affiliation
Faculty of Political Science and Economics, School of Political Science and Economics
Job title
Professor

Concurrent Post

  • Faculty of Political Science and Economics   Graduate School of Economics

 

Research Interests

  • Finance, Agent-based finance, Market microstructure

Papers

  • Dynamic predictor selection and order splitting in a limit order market

    Ryuichi Yamamoto

    Macroeconomic Dynamics   (forthcoming)  2017

  • Trading profitability from learning and adaptation on the Tokyo Stock Exchange

    Ryuichi Yamamoto

    QUANTITATIVE FINANCE   16 ( 6 ) 969 - 996  2016.06

     View Summary

    This study proposes unexamined technical trading rules, which are dynamically switching strategies among filter, moving average and trading-range breakout rules. The dynamically switching strategy is formulated based on a discrete choice theory consistent with the concept of myopic utility maximization. We utilize the transaction data of the individual stocks listed on the Nikkei 225 from September 1, 2005 to August 31, 2007. We demonstrate that switching strategies produce positive returns and their performance is better than those from the buy-and-hold and non-switching strategies over our sample periods. We also demonstrate equivalent performance for switching with different learning horizons, implying that behavioural heterogeneity of stock investors arises from the coexistence of different strategies with varying degrees of learning horizons. Our result supports several research assumptions and results on agent-based theoretical models that successfully replicate empirical features in financial markets, such as fat tails of return distributions and volatility clustering. However, upon considering the effects of data-snooping bias superior performance disappears.

    DOI

  • An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange

    Ryuichi Yamamoto

    JOURNAL OF EMPIRICAL FINANCE   29   369 - 383  2014.12

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    This paper investigates how the state of the order-book economy influences non-execution and picking-off risks. We utilize data from the limit order book and transactions in individual stocks on the Tokyo Stock Exchange. We demonstrate that, on the one hand, the risk of non-execution increases, while the risk of being picked off, on the other hand, decreases when: 1) the depth on the incoming investor's side becomes thicker, 2) the bid-ask spread becomes narrower, 3) volatility declines, and 4) the depth on the opposite side to the incoming investor becomes thicker. In addition, we report asymmetric determinants of non-execution and picking-off risks between buy and sell limit orders, as well as among our sample firms. We interpret the asymmetry to be attributed to differences in transaction volume and order book thickness between buy and sell sides of the order book as well as among the firms. More transactions lead to higher quote competitions among limit order traders, increasing the thickness of the order book inside of the spread. It then decreases the rate of executions and of being picked off for limit orders existing outside of the spread. Our results suggest that real-time information on order book and transactions is highly valuable to stock investors, who trade individual securities and manage a portfolio of individual stocks, such as ETFs. Our findings assist real stock investors in reducing the monitoring cost, making more profitable order choices among market and limit orders and exposing/hiding/canceling/revising limit orders, and understanding the price formation process in an order-driven market. They are crucial for investors for better risk management in actual stock markets. (C) 2014 Elsevier B.V. All rights reserved.

    DOI

  • Strategy switching in the Japanese stock market

    Ryuichi Yamamoto, Hideaki Hirata

    JOURNAL OF ECONOMIC DYNAMICS & CONTROL   37 ( 10 ) 2010 - 2022  2013.10

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    This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals. (c) 2013 Elsevier B.V. All rights reserved.

    DOI

  • Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market

    Ryuichi Yamamoto, Hideaki Hirata

    PACIFIC-BASIN FINANCE JOURNAL   20 ( 5 ) 723 - 744  2012.11

     View Summary

    We document the determinants of the expectation heterogeneity of stock price forecasters on TOPIX. Monthly panel data collected by QUICK Corporation in the Nikkei Group via surveys is utilized in the process. We examine the determinants of expectation heterogeneity by categorizing our sample into buy-side and sell-side professionals and demonstrate that the co-existence of different types of professionals contributes to the expectation heterogeneity. We show that buy-side and the sell-side professionals, who possess different business goals, differentiate the information contents as well as their interpretations of the same information in their forecasts, contributing to the expectation heterogeneity. In addition, we investigate the interactive expectation formulation of buy-side and sell-side professionals and find that buy-side professionals incorporate the sell side's ideas regarding future stock prices into their own forecasts, but refer exclusively to their own ideas when relating foreign exchange rates to future stock prices. Meanwhile, sell-side professionals tend to utilize buy-side professionals' ideas about future prices in order to improve their research and ingratiate themselves to their clients, that is, to the buy-side professionals. We demonstrate that this interactive expectation formulation also contributes to the generation of the expectation heterogeneity. (c) 2012 Elsevier B.V. All rights reserved.

    DOI

  • Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

    Ryuichi Yamamoto

    JOURNAL OF BANKING & FINANCE   36 ( 11 ) 3033 - 3047  2012.11

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    This paper conducts an intraday technical analysis of individual stocks listed on the Nikkei 225. In addition to the price-based technical rules popularly examined in the literature, we uniquely propose and statistically investigate technical rules that utilize information regarding (1) the order-flow imbalance and (2) the order-book imbalance. Technical analysis using the imbalance-based trading rules is motivated by the evidence presented first in this paper that short-term returns can be predicted from the information regarding the order-flow and order-book imbalances for more than half of Nikkei 225-listed stocks. However, we demonstrate that no strategies, including limit order trading where trading signals are derived from the order-book imbalance, beat the buy-and-hold strategy within our sample. The results imply that past prices and demand/supply imbalances do not contribute to profiting in intraday trading and that non-execution and picking-off risks are too large for limit order trading to be profitable in our sample. (C) 2012 Elsevier B.V. All rights reserved.

    DOI

  • Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

    Ryuichi Yamamoto

    JOURNAL OF ECONOMIC DYNAMICS & CONTROL   35 ( 11 ) 1938 - 1963  2011.11

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    Recent empirical research has documented that the state of the limit order book influences stock investors' strategies. Investors place more aggressive orders when the same side of the order book is thicker, and less aggressive orders when it is thinner. We conjecture and demonstrate that this behavior is related to long memories of trading volume, volatility, and order signs in stock markets. We investigate our conjecture in two types of artificial stock markets: a transparent market, in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade; and a less transparent market, in which agents observe only the best five bid and ask quotes with the depth available at these limit prices. The first market structure resembles certain actual stock exchanges in the level of pre-trade transparency, such as the Australian Stock Exchange, NYSE OpenBook, and the London Stock Exchange, whereas the second market structure is consistent with stock exchanges such as Euronext Paris, the Toronto Stock Exchange, the Tokyo Stock Exchange, and Hong Kong Exchanges and Clearing. We demonstrate that our long memory results are robust with different levels of pre-trade transparency, implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges. (C) 2011 Elsevier B.V. All rights reserved.

    DOI

  • Volatility clustering and herding agents: does it matter what they observe?

    Ryuichi Yamamoto

    JOURNAL OF ECONOMIC INTERACTION AND COORDINATION   6 ( 1 ) 41 - 59  2011.05

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    Recent agent-based models have demonstrated that agents' herding behavior causes volatility clustering in stock markets. We examine economies where agents herd on others, yet they have limited sets of information on other agents to imitate. In particular, we conduct experiments on economies with agents with different levels of information sharing where agents can imitate: (1) the strategies of others but with an error, (2) the strategies of only a fraction of agents, or (3) the strategies of others, but update their parameters only by a proportion. In each experiment we change the likelihood that agents make errors to copy the strategy of others, the fraction of agents to herd, or the proportion of the parameter that agents update, in order to examine the effect of the different degrees of information sharing on volatility clustering. We show that volatility clustering tends to disappear when agents have limited information on the strategies of others, and agents need to imitate the strategy details of others in order to generate the clustered volatility.

    DOI

  • Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint

    Ryuichi Yamamoto

    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS   389 ( 6 ) 1208 - 1214  2010.03

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    Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin model where borrowing constrained agents imitate their nearest neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering while a borrowing constraint intensifies the asymmetry of volatility through the herding effect. (C) 2009 Elsevier B.V. All rights reserved.

    DOI

  • Order-splitting and long-memory in an order-driven market

    R. Yamamoto, B. LeBaron

    EUROPEAN PHYSICAL JOURNAL B   73 ( 1 ) 51 - 57  2010.01

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    Recent empirical research has documented long-memories of trading volume, volatility, and order-signs in stock markets. We conjecture that traders' order-splitting is related to these empirical features. This study conducts simulations on an order-driven economy where agents split their orders into small pieces and execute piece by piece to reduce price impact. We demonstrate that we can replicate the long-memories in our order-splitting economy and conclude that order-splitting can be a possible cause for these empirical properties.

    DOI

  • The Impact of Imitation on Long-Memory in an Order-Driven Market

    Blake LeBaron, Ryuichi Yamamoto

    Eastern Economic Journal   34   504 - 517  2008

    DOI

  • Long-memory in an order-driven market

    Blake LeBaron, Ryuichi Yamamoto

    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS   383 ( 1 ) 85 - 89  2007.09

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    This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and adaptation. The simulation results show that our model with learning and adaptation successfully replicates long-memories in trading volume, stock return volatility, and signs of market orders in an informationally efficient market. We also discuss why evolutionary dynamics are important in generating these features. (c) 2007 Elsevier B.V. All rights reserved.

    DOI

  • What Causes Persistence of Stock Return Volatility? One Possible Explanation with an Artificial Stock Market

    Ryuichi Yamamoto

    New Mathematics and Natural Computation   2   261 - 270  2006

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Research Projects

  • 日本の金融市場における投資部門別の戦略の切り替え・切り替え頻度の実証分析

    科学研究費助成事業(早稲田大学)  科学研究費助成事業(基盤研究(C))

Specific Research

  • エージェントシュミレーションを用いた高頻度取引者に対する規制の研究

    2020  

     View Summary

    本研究はエージェントシュミレーションを用いた高頻度取引者に対する規制の研究である。特に本研究では高頻度トレーダーが持つ1)information advantage、2)取引speed advantage、3)複数の取引システムの価格情報を一度に観察し最も利益性の高いシステムを選んで取引できるというlocational advantageの3つの規制可能なアドバンテージに注目し、エージェントシュミレーションを包括的に行うことで株価暴落の発生原因を投資家の群衆行動に着目し解明する。繰り返しのシュミレーションによりadvantageごとに群集行動、そして群集行動から暴落が起こる条件、発生しない条件を特定する。そして3つのアドバンテージに対する規制の効果を数量的に把握し、高頻度取引に対して採るべき政策を提示する。

  • 投資家の群集行動と株式市場のファットテール現象

    2018  

     View Summary

    本研究は経済実験を包括的に行うことで株価暴落の発生原因を投資家の群衆行動に注目し解明する。特に高頻度トレーダーが持つ1)information advantage、2)取引speed advantage、3)複数の取引システムの価格情報を一度に観察し最も利益性の高いシステムを選んで取引できるというlocational advantageの3つの規制可能な優位性に注目し、繰り返しの実験によりadvantageごとに群衆行動、そして群衆行動から暴落が起こる条件、発生しない条件を特定する。そして3つの優位性に対する規制の効果を数量的に把握し、事前的・事後的にも政策効果の評価が可能な理論モデルを構築し、高頻度取引に対して採るべき政策を世界中の研究者そして市場安定化政策を考える政策立案者に対し提示する。

  • 日本の株式市場における投資部門別の戦略の切り替え・切り替え頻度の実証分析

    2014  

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    本研究では投資家の資産価格予測がいくつもの戦略から選ばれる形で形成され、選ぶ戦略を時間を通じて変えるという「戦略の切替え」に関する実証研究を行った。東京証券取引所が発行している「投資部門別の売買状況」のデータを用い以下の結果を得た。第一に、分析した投資家の戦略の切替を特徴付けるパラメータが統計的に有意である結果が得られた。つまり現実の投資家は投資戦略を時間を通じて切り替えている。第二に、信託銀行は一ヶ月より3ヶ月ごとに戦略を切り替え、その他のタイプは一ヶ月ごと戦略を切り替える傾向が強い。以上の結果を2014年6月にノルウェーで行われた第20回CEFという国際学会で発表した。

  • 日本の株式市場における投資部門別の戦略の切り替え・切り替え頻度の実証分析

    2013  

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       本研究では日本の株式市場における投資家の期待形成メカニズムと、期待と株価変動の関係をエージェントベース理論をもとに明らかにする。市場構造分析の経済理論として注目を集めるエージェントベース理論モデルでは株価が大きく変動する理由として、投資家の予測がいくつもの投資戦略から選ばれる形で形成され、投資家は選ぶ戦略を時間を通じて変えていることに注目する。特に注目すべき点は、多くの投資家の期待が主に価格のトレンドに沿って形成される場合は、株価は短期的にはバブルや暴落などに見られる不安定な動きをする点である。しかし、一方で日本の投資家が期待を形成する際「戦略の切り替え」を行なっているか否か、そしてこの「戦略の切替え」が実証的に見て日本の株価変動の要因であるか否かを明らかにした実証論文は極めて少ない。さらには、戦略を切り替えて株価変動に影響を与えている投資家の属性を特定している先行研究、そして戦略の切替頻度を実証的に特定した研究は過去見当たらない。私は、東京証券取引所が発行している「投資部門別の売買状況」のデータを用いこの研究を行っている。分析している投資家のタイプは1)海外投資家、2)証券会社、3)投資信託、4)事業法人、5)生・損保、6)都銀・地銀、7)信託銀行である。またデータは月次であり、データを四半期毎に集約することにより、戦略の切り替えの頻度が月次か四半期毎か実証的に検証した。検証した戦略はファンダメンタル戦略とトレンドフォロイング戦略である。ファンダメンタル戦略とは、企業の純利益や配当金などの代理変数で測られる企業の根源的価値の周りを株価は推移すると予測する戦略であり、トレンドフォロイング戦略とは過去の価格情報をもとに期待を形成する戦略である。   助成を受けた10月より本格的にこの研究に取り組み、実証結果が出た後、論文の初稿を書き上げた。得られた結果は以下の通りである。第一に、分析した投資家の戦略の切替を特徴付けるパラメータが統計的に有意である結果が得られた。つまり現実の投資家は投資戦略を時間を通じて切り替えているのである。第二に、信託銀行は一ヶ月より3ヶ月ごとに戦略を切り替え、その他のタイプは一ヶ月ごと戦略を切り替える傾向が強い。第三に、戦略を切り替えても必ずしも利益を上げられるとは限らない、という結果が得られた。

 

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