Concurrent Post
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Faculty of Political Science and Economics Graduate School of Economics
Details of a Researcher
Updated on 2022/08/11
Faculty of Political Science and Economics Graduate School of Economics
Money and finance
Finance, Agent-based finance, Market microstructure
Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange
Ryuichi Yamamoto
COMPUTATIONAL ECONOMICS 59 ( 1 ) 325 - 356 2022.01 [Refereed]
Price discovery, order submission, and tick size during preopen period
Xijuan Xiao, Ryuichi Yamamoto
PACIFIC-BASIN FINANCE JOURNAL 63 2020.10 [Refereed]
Limit order submission risks, order choice, and tick size
Ryuichi Yamamoto
PACIFIC-BASIN FINANCE JOURNAL 59 2020.02 [Refereed]
Dynamic predictor selection and order splitting in a limit order market
Ryuichi Yamamoto
Macroeconomic Dynamics 23 ( 5 ) 1757 - 1792 2019 [Refereed]
Trading profitability from learning and adaptation on the Tokyo Stock Exchange
Ryuichi Yamamoto
QUANTITATIVE FINANCE 16 ( 6 ) 969 - 996 2016.06 [Refereed]
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 [Refereed]
Strategy switching in the Japanese stock market
Ryuichi Yamamoto, Hideaki Hirata
JOURNAL OF ECONOMIC DYNAMICS & CONTROL 37 ( 10 ) 2010 - 2022 2013.10 [Refereed]
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 [Refereed]
Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
Ryuichi Yamamoto
JOURNAL OF BANKING & FINANCE 36 ( 11 ) 3033 - 3047 2012.11 [Refereed]
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 [Refereed]
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 [Refereed]
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 [Refereed]
Order-splitting and long-memory in an order-driven market
R. Yamamoto, B. LeBaron
EUROPEAN PHYSICAL JOURNAL B 73 ( 1 ) 51 - 57 2010.01 [Refereed]
The Impact of Imitation on Long-Memory in an Order-Driven Market
Blake LeBaron, Ryuichi Yamamoto
Eastern Economic Journal 34 504 - 517 2008 [Refereed]
Long-memory in an order-driven market
Blake LeBaron, Ryuichi Yamamoto
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 383 ( 1 ) 85 - 89 2007.09 [Refereed]
What Causes Persistence of Stock Return Volatility? One Possible Explanation with an Artificial Stock Market
Ryuichi Yamamoto
New Mathematics and Natural Computation 2 ( 3 ) 261 - 270 2006 [Refereed]
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))
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
オーストラリア シドニー工科大学
Pre-seminar on Economics[J] (Yamamoto, R)
School of Political Science and Economics
2022 winter quarter