Updated on 2024/12/21

写真a

 
NISHIDE, Katsumasa
 
Affiliation
Faculty of Commerce, Graduate School of Business and Finance
Job title
Professor
Degree
Ph.D. in Economics ( 2006.03 Kyoto University )
Homepage URL
https://knishide.w.waseda.jp/

Research Experience

  • 2024.04
    -
    Now

    Waseda University   Graduate School of Business and Finance   Professor

  • 2016.04
    -
    2024.03

    Hitotsubashi University   Graduate School of Economics   Professor

  • 2015.04
    -
    2016.03

    Yokohama National University   Faculty of International Social Sciences   Professor

  • 2010.04
    -
    2015.03

    Yokohama National University   Internatnioal Graduate School of Social Sciences   Associate Professor

  • 2007.11
    -
    2010.03

    Yokohama National University   Interdisciplinary Research Center   Assistant Professor

  • 2006.04
    -
    2007.10

    Kyoto University   Graduate School of Economics   Associate Professor

  • 2005.04
    -
    2006.03

    Nagoya University of Commerce and Business   Faculty of Accounting and Finance   Assistant Professor

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Education Background

  • 2003.04
    -
    2006.03

    Kyoto University   Graduate School of Economics  

    Doctoral course

  • 2001.04
    -
    2003.03

    Kyoto University   Graduate School of Economics  

    Master course

  • 1999.04
    -
    2001.03

    Kyoto University   Faculty of Economics  

  • 1988.04
    -
    1992.03

    Hitotsubashi University   Faculty of Law  

Committee Memberships

  • 2023.10
    -
    Now

    Japan Securities Research Institute  Workshop on the Functioning of the Secondary Market for Securities

  • 2023.05
    -
    Now

    警察共済組合本部  資金運用基本問題研究会 委員

  • 2023.03
    -
    Now

    文部科学省  「助成資金運用が長期的な観点から安全かつ効率的に行われるようにするための基本的な指針」の検証等に関する有識者会議 委員

  • 2019.04
    -
    Now

    Pension Fund Association  Asset Management Advisor

  • 2014.11
    -
    Now

    Securities Analysts Association of Japan  Member of Journal Committee

  • 2018.06
    -
    2024.06

    Nippon Finance Association  Director

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Professional Memberships

  • 　
    -
    Now

    Nippon Finance Association

  • 　
    -
    Now

    Operations Research Society of Japan

  • 　
    -
    Now

    Japanese Economic Association

Research Areas

  • Money and finance

Research Interests

  • financial economics

  • financial engineering

 

Papers

  • A dynamic model of repositioning with a Markov-switching regime

    Takeshi Ebina, Katsumasa Nishide

    Annals of Operations Research    2024.07  [Refereed]  [International journal]

    Authorship：Corresponding author

    　View Summary

    Abstract

    Repositioning products and services to entice customers is a key management strategy that requires careful planning, timing, and budget allocation. This study is the first to investigate repositioning strategies by considering a Hotelling-type location model where consumer preferences change over time with short- and long-term uncertainty. This requires the firm to adjust its product positioning to continue to appeal to consumers. A key assumption is that the parameters describing the dynamics of consumer preferences are modulated by a Markov-switching regime representing long-term uncertainty. Further, this study investigates the effects of regime shift intensity on repositioning strategies. We numerically solve a simultaneous ordinary differential equation system to derive a firm’s optimal strategy, represented by repositioning thresholds that depend on the regimes. We find that in the two-regime case, one threshold is monotonic with respect to the regime shift intensity, whereas the other can be non-monotonic. This suggests that a firm should simultaneously consider the value of the current regime and option value of waiting for a regime shift, thus effectively demonstrating the significance of the uncertainty associated with regime-switching.

    DOI

    Scopus

  • Strategic liquidity provision in high-frequency trading

    Takaki Hayashi, Katsumasa Nishide

    International Review of Financial Analysis   93   103168 - 103168  2024.05  [Refereed]  [International journal]

    Authorship：Corresponding author

    　View Summary

    We construct a Kyle (1985)-type market model in which fast and slow traders are present. We perform numerical calculations after deriving the equilibrium condition, described as a simultaneous equation system. A major finding is that the fast trader, who has an advantage in trade frequency, acts as a liquidity provider, taking the opposite position against the slow trader if the difference in frequency is significant. Our theoretical results appear to be consistent with the empirical results of previous studies.

    DOI

    Scopus

  • Sequential product positioning and entry timing under differential costs in a continuous-time model

    Takeshi Ebina, Katsumasa Nishide

    Annals of Operations Research   332 ( 1-3 ) 277 - 301  2024  [Refereed]  [International journal]

    DOI

    Scopus

    1
    Citation
    (Scopus)

  • Hostile takeovers or friendly mergers? Real options analysis

    Takeshi Ebina, Yuya Kumakura, Katsumasa Nishide

    Journal of Corporate Finance   77   102292 - 102292  2022.12  [Refereed]  [International journal]

    Authorship：Corresponding author

    　View Summary

    This study analyzes a real options model of mergers and acquisitions between two firms facing different but correlated uncertainties in profits. It is assumed that firms can choose between two alternatives: a hostile takeover or a friendly merger. The bidder firm obtains extra value in a hostile takeover but incurs takeover costs. Although both firms do not bear takeover costs in a friendly merger, they share extra value through Nash bargaining. We formally define an equilibrium in our timing game under competition and then characterize the equilibrium types to discuss the influences of demand uncertainty, and takeover cost on which firm will act as a bidder and which form of amalgamation will emerge. We show that various types of equilibria can emerge because of the introduction of takeover costs. We also show that a smaller firm can be a bidder to a larger firm in a hostile manner, which is occasionally observed in actual markets. Finally, we also show that a preemptive equilibrium is likely to emerge if the takeover cost (premium) increases, which is consistent with the empirical results.

    DOI

    Scopus

    4
    Citation
    (Scopus)

  • Demand uncertainty, product differentiation, and entry timing under spatial competition

    Takeshi Ebina, Noriaki Matsushima, Katsumasa Nishide

    European Journal of Operational Research   303 ( 1 ) 286 - 297  2022.11  [Refereed]  [International journal]

    DOI

    Scopus

    10
    Citation
    (Scopus)

  • Brokered versus dealer markets: Impact of proprietary trading with transaction fees

    Katsumasa Nishide, Yuan Tian

    International Review of Financial Analysis   81   101371 - 101371  2022.05  [Refereed]  [International journal]  [International coauthorship]

    　View Summary

    In this study, we consider a one-period financial market with a dealer/broker and an infinite number of investors. While the dealer who trades on his own account (with proprietary trading) simultaneously sets both the transaction fee and the asset price, the broker who brings investors' orders to the market (with no proprietary trading) sets only the transaction fee, given that the price is determined according to the market-clearing condition among investors. We analyze the impact of proprietary trading on the asset price, transaction fee, trading volume, and the welfare of investors. We find that the bid and ask prices set by the dealer who can engage in proprietary trading are more favorable to average investors. As a result, both the trading volume and the transaction fee increase, and social welfare improves.

    DOI

    Scopus

  • Optimal Initial Capital Induced by Optimized Certainty Equivalent (jointly worked)

    Takuji Arai, Takao Asano, Katsumasa Nishide

    Insurance: Mathematics and Economics   85   115 - 125  2019.03  [Refereed]  [International journal]

    Authorship：Corresponding author

    　View Summary

    This paper proposes the notion of optimal initial capital (OIC) induced by the optimized certainty equivalent (OCE), as discussed in Ben-Tal and Teboulle (1986) and Ben-Tal and Teboulle (2007). It also investigates the properties of the OIC with various types of utility functions. It is shown that the OIC can be a monetary utility function (negative value of risk measure) for future payoffs with the decision maker's concrete criteria in the background. (C) 2019 Elsevier B.V. All rights reserved.

    DOI

    Scopus

    1
    Citation
    (Scopus)

  • Leaders, followers, and equity risk premiums in booms and busts

    Makoto Goto, Katsumasa Nishide, Ryuta Takashima

    Journal of Banking and Finance   81   207 - 220  2017.08  [Refereed]  [International journal]

    DOI

    Scopus

    8
    Citation
    (Scopus)

  • Heston-Type Stochastic Volatility with a Markov Switching Regime

    Robert J. Elliott, Katsumasa Nishide, Carlton-James U. Osakwe

    JOURNAL OF FUTURES MARKETS   36 ( 9 ) 902 - 919  2016.09  [Refereed]

    Authorship：Corresponding author

    　View Summary

    We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes. (C) 2015 Wiley Periodicals, Inc.

    DOI

    Scopus

    15
    Citation
    (Scopus)

  • Investment under regime uncertainty: Impact of competition and preemption

    Katsumasa Nishide, Kyoko Yagi

    INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION   45   47 - 58  2016.03  [Refereed]

    Authorship：Corresponding author

    　View Summary

    In this study, we analyze the investment-timing problem and introduce a model of two firms competing for investment preemption, each of which knows in advance the time at which the economic condition that will have an impact on the investment changes. We qualitatively show how two firms strategically optimize their investment timing, taking into account competition and preemption. (C) 2016 Elsevier B.V. All rights reserved.

    DOI

    Scopus

    3
    Citation
    (Scopus)

  • Pricing of discount bonds with a Markov switching regime

    Robert J. Elliott, Katsumasa Nishide

    Annals of Finance   10 ( 3 ) 509 - 522  2014  [Refereed]

    Authorship：Corresponding author

    　View Summary

    We consider a Markov switching regime and price a discount bond using a CIR-type short rate model. An explicit formula is obtained for the bond price which includes the solution of a matrix ODE. Our model is easy to calculate and captures the effect of regime uncertainty in the price and term structure. © 2013 Springer-Verlag Berlin Heidelberg.

    DOI

    Scopus

    10
    Citation
    (Scopus)

  • Concentrated Equilibrium and Intraday Patterns in Financial Markets

    Ryosuke Ishii, Katsumasa Nishide

    Applied Mathematical Finance   20 ( 1 ) 50 - 68  2013.03  [Refereed]  [International journal]

    Authorship：Corresponding author

    　View Summary

    We introduce endogenous participation of market makers into a Kyle-type model with long-lived asymmetric information. In our model with plausible parameter values, the trading volume and price volatility show a U-shaped intraday pattern, often observed in actual financial markets. It will be shown that the pattern is caused not only by the trading behaviour of liquidity traders but also by that of market makers. Our findings shed new light on the stylized fact of the trade concentration at the opening and closing periods. © 2013 Copyright Taylor and Francis Group, LLC.

    DOI

    Scopus

  • Market selection: Hungry misers and bloated bankrupts

    Katsumasa Nishide, L. C G Rogers

    Mathematics and Financial Economics   5 ( 1 ) 47 - 66  2011.06  [Refereed]

    　View Summary

    The Market Selection Hypothesis is a principle which (informally) proposes that 'less knowledgeable' agents are eventually eliminated from the market. This elimination may take the form of starvation (the proportion of output consumed drops to zero), or may take the form of going broke (the proportion of asset held drops to zero), and these are not the same thing. Starvation may result from several causes, diverse beliefs being only one. We firstly identify and exclude these other possible causes, and then prove that starvation is equivalent to inferior belief, under suitable technical conditions. On the other hand, going broke cannot be characterized solely in terms of beliefs, as we show. We next present a remarkable example with two agents with different beliefs, in which one agent starves yet amasses all the capital, and the other goes broke yet consumes all the output-the hungry miser and the bloated bankrupt. This example also serves to show that although an agent may starve, he may have long-term impact on the prices. This relates to the notion of price impact introduced by Kogan et al. (Market selection, working paper, 2009), which we correct in the final section, and then use to characterize situations where asymptotically equivalent pricing holds. © 2011 Springer-Verlag.

    DOI

    Scopus

    1
    Citation
    (Scopus)

  • EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility

    Masaaki Kijima, Katsumasa Nishide, Atsuyuki Ohyama

    JOURNAL OF ECONOMIC DYNAMICS & CONTROL   35 ( 5 ) 746 - 763  2011.05  [Refereed]

    　View Summary

    Previous studies have suggested that some pollutant levels first increases due to the economic growth and then start decreasing, the pattern being called the "environmental Kuznets curve" (EKC). We examine EKC-type transitions of pollutant levels not with respect to economic growth but more generally in time. Assuming that each policy maker optimally executes the two switching options of regulation and unregulation for pollution, the switching dynamics of environmental policy can be described by an alternating renewal process. It is shown that the double Laplace transform of transition density of a pollutant level can be obtained by a novel application of renewal theory. The expected level of overall pollutants is then calculated numerically and found to exhibit either a A-shaped or an N-shaped pattern in time. Our results present a simple explanation for the EKC-type transitions of pollutant levels within a real options framework. (C) 2011 Elsevier B.V. All rights reserved.

    DOI

    Scopus

    23
    Citation
    (Scopus)

  • OPTIMAL TIME TO EXCHANGE TWO BASKETS

    Katsumasa Nishide, L. C. G. Rogers

    JOURNAL OF APPLIED PROBABILITY   48 ( 1 ) 21 - 30  2011.03  [Refereed]

    　View Summary

    In this paper we present simple extensions of earlier works on the optimal time to exchange one basket of log Brownian assets for another. A superset and subset of the optimal stopping region in the case where both baskets consist of multiple assets are obtained. It is also shown that a conjecture of Hu and Oksendal (1998) is false except in the trivial case where all the assets in a basket are the same processes.

    DOI

    Scopus

    8
    Citation
    (Scopus)

  • Compensation measures for alliance formation: A real options analysis

    Katsumasa Nishide, Yuan Tian

    ECONOMIC MODELLING   28 ( 1-2 ) 219 - 228  2011.01  [Refereed]

    　View Summary

    This paper presents a real options model of alliance formation between two firms for entry into a new market. We analyze how different compensation measures affect the alliance timing and option values. Generally, when profit structures of the two firms before and after an alliance are different, their individually optimal alliance timings do not coincide. Therefore, achieving an agreement on a common alliance timing becomes an important issue. To promote alliance formation, we examine two feasible compensation measures provided by one firm to the other: share adjustment (flow compensation) and subsidy (lump-sum compensation). We find that subsidy induces an earlier alliance, although share adjustment is Pareto optimal in terms of the joint option value. (C) 2010 Elsevier B.V. All rights reserved.

    DOI

    Scopus

    6
    Citation
    (Scopus)

  • Economic models for the environmental Kuznets curve: A survey

    Masaaki Kijima, Katsumasa Nishide, Atsuyuki Ohyama

    JOURNAL OF ECONOMIC DYNAMICS & CONTROL   34 ( 7 ) 1187 - 1201  2010.07  [Refereed]  [Invited]

    　View Summary

    The 'environmental Kuznets curve' (EKC) refers to an inverted-U-shaped relationship between some pollutant level and per capita income, i.e., the environmental quality deteriorates at early stages of economic growth and subsequently improves at a later stage. Since the early 1990s, a considerable number of empirical studies have been conducted on the EKC and, although there is no conclusive proof, it has been recognized that the EKC emerges as an empirical regularity. However, some recent studies cast doubt on the concept and methodology of empirical results, and evidence of the existence of the EKC has been questioned. In fact, how economic growth affects the environmental quality (i.e. the shape of the EKC) is still controversial. In order to identify the actual relationship between the environmental quality and economic growth, it is essential to develop economic models from various points of view. This paper overviews the current stage of theoretical models that explain such relationship. (C) 2010 Elsevier B.V. All rights reserved.

    DOI

    Scopus

    308
    Citation
    (Scopus)

  • EQUILIBRIUM PRICING OF CONTINGENT CLAIMS IN TRADABLE PERMIT MARKETS

    Masaaki Kijima, Akira Maeda, Katsumasa Nishide

    JOURNAL OF FUTURES MARKETS   30 ( 6 ) 559 - 589  2010.06  [Refereed]

    Authorship：Corresponding author

    　View Summary

    We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets. In particular, if the social cost function kinks at some level of abatement, the forward price, as well as the spot price, can be subject to the so-called price spike. However, this price-spike phenomenon can be weakened if a system of banking and borrowing is properly introduced. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:559-589, 2010

    DOI

    Scopus

    18
    Citation
    (Scopus)

  • Regime uncertainty and optimal investment timing

    Katsumasa Nishide, Ernesto Kazuhiro Nomi

    JOURNAL OF ECONOMIC DYNAMICS & CONTROL   33 ( 10 ) 1796 - 1807  2009.10  [Refereed]

    Authorship：Corresponding author

    　View Summary

    We construct a real options model in which a regime change is expected at a predetermined future time and study the effects of regime uncertainty on a firm's strategic investment decision, taking into consideration the remaining time to the regime change and the probability of each regime state. We show that just before the time of a regime change, firms should act as if the worst-case scenario was about to happen, even if a good state is highly possible. (C) 2009 Elsevier B.V. All rights reserved.

    DOI

    Scopus

    10
    Citation
    (Scopus)

  • Using real options theory to a country's environmental policy: Considering the economic size and growth

    Katsumasa Nishide, Atsuyuki Ohyama

    Operational Research   9 ( 3 ) 229 - 250  2009.09  [Refereed]

    　View Summary

    The aim of this paper is to consider how the economic size and growth of a country affect its environmental policy under uncertainty in a real options framework. In contrast to the prior literature, this work explicitly takes into account the link between the development of an economy and the pollution state of the environment. Policy implementation is found to be determined by the levels of the economic size and the disutility of the pollution. We illustrate how to apply our method to the implementation of an environmental policy in an actual situation and show with numerical calculations that the optimal threshold is sensitive only to the subjective time preference, while the expected implementation time is affected by other parameters. © Springer-Verlag 2009.

    DOI

    Scopus

    6
    Citation
    (Scopus)

  • The Impact of Momentum Trading on the Market Price and Trades

    Katsumasa Nishide

    Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering     135 - 159  2009.06  [Refereed]  [Invited]

    Authorship：Corresponding author

    DOI

  • Estimation of the Local Volatility of Discount Bonds Using Market Quates for Coupon-Bond Options (jointly worked)

    Hajime Fujiwara, Masaaki Kijima, Katsumasa Nishide

    Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering     49 - 69  2009.06  [Refereed]  [Invited]

    DOI

  • Insider trading with correlation between liquidity trading and a public signal

    Katsumasa Nishide

    QUANTITATIVE FINANCE   9 ( 3 ) 297 - 304  2009  [Refereed]

    Authorship：Corresponding author

    　View Summary

    We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's , the price sensitivity to the order flow, can even be non-monotonic, depending on the correlation structure. We also show that the introduction of an additional public signal does not necessarily improve the informational efficiency of the market, depending on the correlation.

    DOI

    Scopus

    6
    Citation
    (Scopus)

  • Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price

    Katsumasa Nishide

    Kyoto Economic Review   74 ( 1 ) 143 - 161  2005.06  [Refereed]

    Authorship：Corresponding author

    　View Summary

    We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multiple equilibria, and that even a small change of parameter setting may cause big price movements. It is also shown that, in contrast to Easley and O'Hara (2004), the shift of information from private to public may increase the required return of the risky asset.<br>

    DOI CiNii

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Books and Other Publications

  • Handbooks in Operations Research and Management Science: Financial Engineering (Translation)

    ( Part： Contributor)

    2009.06

  • 金融工学事典

    今野 浩, 木島 正明, 刈屋 武昭( Part： Contributor)

    朝倉書店  2004.09

Presentations

  • High-Frequency Trading and Risk Sharing Capacity in Market Making with Asymmetric Information

    Katsumasa Nishide

    The Eighth Asian Quantitative Finance Conference  (Taipei)  National Taipei University of Technology

    Presentation date： 2024.08

    Event date：
    2024.08
    　
    　

  • Competition in Liquidity Provision: Analysis of High Frequency Market Making and Policy Implications

    Katsumasa Nishide

    The 33rd European Conference on Operational Research  (Copenhagen)  The Association of European Operational Research Societies

    Presentation date： 2024.07

    Event date：
    2024.06
    -
    2024.07

  • Competition in Liquidity Provision: Analysis of High-Frequency Market-Making and Policy Implications

    Katsumasa Nishide  [Invited]

    Winter Workshop on Operations Research, Finance and Mathematics, 2024  (Asarigawa Onsen Hotel, Otaru)  Operations Research Society of Japan

    Presentation date： 2024.03

    Event date：
    2024.02
    -
    2024.03

  • Competition in Liquidity Provision: Analysis of High-Frequency Market-Making and Policy Implications

    Katsumasa Nishide

    Vietnam Symposium in Banking and Finance 2023  (Banking Academy of Vietnam, Hanoi) 

    Presentation date： 2023.10

    Event date：
    2023.10
    　
    　

  • Competition in Liquidity Provision: Analysis of High-Frequency Market-Making and Policy Implications

    Katsumasa Nishide

    2023 Japanese Economic Association Autumn Meeting  (Kansai University, Suita)  Japanese Economic Association

    Presentation date： 2023.09

    Event date：
    2023.09
    　
    　

  • Optimal Timing of Periodic Asset Renovations with Decreasing- Trend Cashflows: A Real Options Analysis

    Katsumasa Nishide

    The 2023 Fall National Conference of Operations Research Society of Japan  (Kwansei Gakuen University, Nishinomiya)  Operations Research Society of Japan

    Presentation date： 2023.09

    Event date：
    2023.09
    　
    　

  • Hostile Takeovers or Friendly Mergers? Real Options Analysis

    Katsumasa Nishide  [Invited]

    Ryukyu Hokkaido Workshopp  (Hokkaido University, Sapporo)  Operations Research Society of Japan

    Presentation date： 2023.08

    Event date：
    2023.08
    　
    　

  • Strategic Liquidity Provision in High-Frequency Trading

    Katsumasa Nishide

    International Society for Advancement of Financial Economics Conference (ISAFE 2022)  (Ho Chi Minh University of Banking, Ho Chi Minh City) 

    Presentation date： 2022.12

    Event date：
    2022.12
    　
    　

  • A Dynamic Model of Repositioning with a Markov-Switching Regime

    Katsumasa Nishide

    Nippon Finance Association the 4th Fall Conference  (Nagoya University of Commerce and Business, Nagoya)  Nippon Finance Association

    Presentation date： 2022.11

    Event date：
    2022.11
    　
    　

  • Strategic Liquidity Provision in High Frequency Trading

    Katsumasa Nishide

    The 2022 Fall National Conference of Operations Research Society of Japan  (Toki Messe Niigata Convention Center, Niigata)  Operations Research Society of Japan

    Presentation date： 2022.09

    Event date：
    2022.09
    　
    　

  • A Dynamic Model of Repositioning with a Markov-Switching Regime

    Katsumasa Nishide  [Invited]

    RIMS Workshop on Financial Modeling and Analysis (FMA 2022)  (Doshisha University, Kyoto) 

    Presentation date： 2022.09

    Event date：
    2022.09
    　
    　

  • Competition in High Frequency Market Making

    Katsumasa Nishide  [Invited]

    Workshop on Financial Market Microstructure  (Osaka University, Osaka)  Center for Mathematical Modeling and Data Science, Osaka University

    Presentation date： 2022.03

    Event date：
    2022.03
    　
    　

  • Strategic Liquidity Provision in High Frequency Trading

    Katsumasa Nishide

    The 2020 Spring Semiannual Meeting of Japanese Economic Association  (Online conference)  Japanese Economic Association

    Presentation date： 2020.05

    Event date：
    2020.05
    　
    　

  • Strategic Liquidity Provision in High Frequency Trading

    Katsumasa Nishide

    Quantitative Methods in Finance Conference  (Hilton Hotel, Sydney)  University of Technology Sydney

    Presentation date： 2019.12

    Event date：
    2019.12
    　
    　

  • Strategic Liquidity Provision in High Frequency Trading

    Nippon Finance Association the 1st Fall Conference  (Osaka University, Osaka)  Nippon Finance Association

    Presentation date： 2019.11

    Event date：
    2019.11
    　
    　

  • Strategic Liquidity Provision in High Frequency Trading

    Katsumasa Nishide

    International Conference on Science, Social Science and Economics (IC3SE)  (Baiyoke Boutique Hotel, Bangkok) 

    Presentation date： 2019.11

    Event date：
    2019.11
    　
    　

  • Hostile Takeovers or Friendly Mergers?: A Real Options Analysis

    Katsumasa Nishide

    2019 INFOMRS Annual Meeting  (Washington State Convention Center, Seattle)  The Institute for Operations Research and the Management Sciences

    Presentation date： 2019.10

    Event date：
    2019.10
    　
    　

  • Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives

    Katsumasa Nishide

    2019 China International Risk Forum  (School of Finance, Nankai University, Tianjin)  School of Finance, Nankai University

    Presentation date： 2019.07

    Event date：
    2019.07
    　
    　

  • Brokered versus Dealer Markets: Impact of Proprietary Trading with Transaction Fees

    Katsumasa Nishide

    Australia and New Zealand Business and Social Science Research Conference 2018  (Rydges Auckland, Auckland) 

    Presentation date： 2018.12

    Event date：
    2018.12
    　
    　

  • Optimal Initial Capital Induced by the Optimal Certainty Equivalent

    Katsumasa Nishide

    RIMS Workshop on Financial Modeling and Analysis (FMA 2018)  (Kyoto University, Kyoto) 

    Presentation date： 2018.11

    Event date：
    2018.11
    　
    　

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

    Katsumasa Nishide

    4th International Conference On Social Sciences Economics and Finance  (University of Quebec at Montreal, Montreal) 

    Presentation date： 2018.08

    Event date：
    2018.08
    　
    　

  • Optimal Initial Capital Induced by the Optimal Certainty Equivalent

    Katsumasa Nishide

    The 2018 Spring Semiannual Meeting of Japanese Economic Association  (University of Hyogo, Kobe)  Japanese Economic Association

    Presentation date： 2018.06

    Event date：
    2018.06
    　
    　

  • Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees

    Katsumasa Nishide

    Annual International Conference on Macroeconomic Analysis and International Finance 2018  (University of Crete, Rethymno) 

    Presentation date： 2018.05

    Event date：
    2018.05
    　
    　

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

    Katsumasa Nishide

    World Business and Social Sciences Research Conference  (Ambassador Hotel, Bangkok)  Australian Social Sciences and Business Research Institute

    Presentation date： 2017.12

    Event date：
    2017.12
    　
    　

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

    Katsumasa Nishide  [Invited]

    Mathematics of Risk MATRIX 2017 Conference  (University of Melbourne Creswick Campus, Creswick)  University of Melbourne

    Presentation date： 2017.11

    Event date：
    2017.11
    -
    2017.12

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swap

    Katsumasa Nishide

    8th Global Business and Finance Research Conference  (Howard Civil Service International House, Taipei) 

    Presentation date： 2017.10

    Event date：
    2017.10
    　
    　

  • Money Supply, Asset Prices, and Interest Rates within a General Equilibrium Framework

    Katsumasa Nishide

    International Academic Conference on Management, Economics and Marketing in Vienna 2017  (Fourside Hotel City Center Vienna, Vienna)  Czech Institute of Academic Education

    Presentation date： 2017.08

    Event date：
    2017.08
    　
    　

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

    Katsumasa Nishide

    The 2017 Spring Semiannual Meeting of Japanese Economic Association  (Ritsumeikan University, Kusatsu)  Japanese Economic Association

    Presentation date： 2017.06

    Event date：
    2017.06
    　
    　

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

    Katsumasa Nishide  [Invited]

    The Fifth Asian Quantitative Finance Conference  (Korea Science and Technology Center, Seoul) 

    Presentation date： 2017.04

    Event date：
    2017.04
    　
    　

  • Pricing of Credit Default Swaps with CIR-Type Default Intensities

    Katsumasa Nishide

    The 2017 Spring National Conference of Operations Research Society of Japan  (Okinawa Prefecture Municipal Center, Naha)  Operations Research Society of Japan

    Presentation date： 2017.03

    Event date：
    2017.03
    　
    　

  • Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees

    Katasumasa Nishide

    International Conference on Business, Finance and Economics  (Crowne Plaza Changi Airport, Singapore) 

    Presentation date： 2017.03

    Event date：
    2017.03
    　
    　

  • Default Contagion and Systemic Risk in the Presence of Credit Default Swap

    Katsumasa Nishide  [Invited]

    Winter Workshop on Operations Research, Finance, and Mathematics  (Jozankei View Hotel, Sapporo) 

    Presentation date： 2017.02

    Event date：
    2017.02
    　
    　

  • Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework

    Katsumasa Nishide

    RIMS Workshop on Financial Modeling and Analysis (FMA 2016)  (Research Institute for Mathematical Sciences, Kyoto University, Kyoto) 

    Presentation date： 2016.11

    Event date：
    2016.11
    　
    　

  • Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework

    Katsumasa Nishide

    6th Global Business and Finance Research Conference  (Howard Civil Service International House, Taipei) 

    Presentation date： 2016.10

    Event date：
    2016.10
    　
    　

  • Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework

    Katsumasa Nishide

    The 2016 Fall National Conference of Operations Research Society of Japan  (Yamagata University, Yamagata)  Operations Research Society of Japan

    Presentation date： 2016.09

    Event date：
    2016.09
    　
    　

  • Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework

    Katsumasa Nishide

    Ninth World Congress of Bachelier Finance Society  (Crowne Plaza Times Square Hotel, New York)  Bachelier Finance Society

    Presentation date： 2016.07

    Event date：
    2016.07
    　
    　

  • Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees

    Katsumasa Nishide  [Invited]

    AJRC and HIAS Joint Conference on Recent Issues in Finance and Macroeconomics  (Australian National University, Canberra)  Crawford School of Public Policy Australian National University, Hitotsubashi Institute for Advanced Study

    Presentation date： 2016.03

    Event date：
    2016.03
    　
    　

  • Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees

    Katsumasa Nishide

    The 2015 Fall National Conference of Operations Research Society of Japan  (Kyushu Institute of Technology, Kitakyushu)  Operations Research Society of Japan

    Presentation date： 2015.09

    Event date：
    2015.09
    　
    　

  • Heston-Type Stochastic Volatility with a Markov Switching Regime

    西出 勝正  [Invited]

    University of Michigan Math Seminar  (Department of Mathematics, Univesity of Michigan, Ann Arbor)  Department of Mathematics, Univesity of Michigan

    Presentation date： 2015.08

    Event date：
    2015.08
    　
    　

  • Money Supply, Asset Prices, and Interest Rates within a General Equilibrium Framework

    Katsumasa Nishide  [Invited]

    ORJS Summer School in Hokkaido  (Wakkanai Sogo Bunka Center, Wakkanai) 

    Presentation date： 2015.08

    Event date：
    2015.08
    　
    　

  • Heston-Type Stochastic Volatility with a Markov Switching Regime

    Katsumasa Nishide

    The 27th European Conference on Operational Research  (University of Strathclyde, Glasgow)  Association of European Operational Research Societies

    Presentation date： 2015.07

    Event date：
    2015.07
    　
    　

  • Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees

    Katsumasa Nishide

    The 7th International IFABS Conference  (Zhejiang University, Hangzhou)  International Finance and Banking Society

    Presentation date： 2015.06

    Event date：
    2015.06
    　
    　

  • Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees

    Katsumasa Nishide

    The 2015 Spring Semiannual Meeting of Japanese Economic Association  (Niigata University, Niigata)  Japanese Economic Association

    Presentation date： 2015.05

    Event date：
    2015.05
    　
    　

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Research Projects

  • quantitative analysis of financial markets

    International Joint Research Projects

    Project Year :

    2003.04
    -
    Now
     

  • 金融システムの安定化に関する研究

    日本学術振興会  科学研究費助成事業

    Project Year :

    2023.04
    -
    2028.03
     

    鈴木 輝好

  • 取引所間の競争や新たな金融サービスが金融市場に与える影響の理論的考察

    日本学術振興会  科学研究費助成事業 基盤研究(C)

    Project Year :

    2023.04
    -
    2026.03
     

    西出 勝正

  • Mathematical System of Tourism Science and Its Validity

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A)

    Project Year :

    2020.04
    -
    2025.03
     

  • The Effect of High Frequency Trading on the Welfare of Participants in Financial Markets

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

    Project Year :

    2020.04
    -
    2023.03
     

  • Risk Management of Reinsurance Networks and Bailout in Insurance System

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B)

    Project Year :

    2018.04
    -
    2021.03
     

  • Theoretical Study on the Development of Advanced Financial Technologies

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

    Project Year :

    2017.04
    -
    2020.03
     

    Nishide Katsumasa

    　View Summary

    Based on the recent development of information and other technologies in financial markets, I theoretically study the effect of advanced technologies (so called FinTech). Concretely, I focused on how we can explain the positive effect reported by empirical studies with mathematical models. To this end, I tried to construct a market microstructure model, which explicitly describes the trading system and the characteristics of market participants. During the research period, I showed that the effect may vary, depending on the order execution procedure employed in the market system.

  • Studies on the financial risk management and the public fund distribution under systemic risks

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2015.04
    -
    2018.03
     

    SUZUKI Teruyoshi

    　View Summary

    We consider a clearing system of an interbank market in the case in which cross-trading of credit default swaps among banks is present, and we investigate the effect of credit default swaps on market stability. Furthermore, a study of default decision when two firms cross-hold their issuing debts and equities are presented. We first show that the problem to evaluate the securities values issued by the two firms can be formulated by a system of partial differential equations. Then we propose a simple numerical method which is an extension of the projected successive over-relaxation method. Finally, numerical analyses are presented to investigate effects on endogenous default boundaries and default probabilities from financial and firm specific parameters

  • Equilibrium analysis of financial markets with transaction costs

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2013.04
    -
    2018.03
     

    Hara Chiaki

    　View Summary

    In economics and finance, the analysis of financial markets has been conducted under the assumption that there is no transaction cost. However, many types of transaction costs are present in the guise of bid-ask spreads, liquidity, and commissions. Any further analysis of the case of no transaction cost would not help us give a practical policy prescription to various problems arising from the cost structure and uncertainty that are unique to financial markets. In this project, we formulated transaction costs in various mathematical models and obtained implication to the financial markets in general.

  • Evaluation method for the investment in infrastructure business

    Shimizu Corporation  Joint Research(Commissioned research from business sector)

    Project Year :

    2017.04
    -
    2018.03
     

    Katsumasa Nishide

  • 派生証券の証券持合い構造が金融市場の脆弱性に与える影響に関する研究

    石井記念証券研究振興財団  共同研究（出資金による受託研究）

    Project Year :

    2016.10
    -
    2018.03
     

  • The analysis of the effect of regime uncertainty on financial markets

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

    Project Year :

    2014.04
    -
    2017.03
     

    Nishide Katsumasa

    　View Summary

    In this project, I study with theoretical models the effect of regime uncertainty on the firm's investment strategy, the asset price, and so on.It was found that the effect cannot be negligible, which indicates that we should take regime uncertainty into account when considering the above problems.

  • An unified evaluation model for the financial systemic risk under financial crisis

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2011.04
    -
    2014.03
     

    SUZUKI Teruyoshi, KIJIMA Masaaki, ISHII Toshimasa, GOTO Makoto, NISHIDE Katsumasa

    　View Summary

    First, we presented the pricing model of the corporate securities with cross-holdings, default costs and bond seniorities. We propose an early clearing payment vector to capture the financial crisis. We showed the existence of them and the method to derive them. Second, we introduced an optimal capital injection problem and proposed an algorithm to solve it. The problem can be represented by a linear programming formulation under Eisenberg and Noe's model. We presented a sequential method to solve both the firm's payoff to debt holders and the government's capital injection to the firms. We can show that the priority rule of capital injection does not depend on the amount of the budget by the government.

  • Analysis of heterogeneous agents in financial markets

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

    Project Year :

    2011
    -
    2013
     

    NISHIDE Katsumasa

    　View Summary

    I totally published 5 refereed papers during the research period of the 3 years. Major findings are as follows. 1) I showed in my theoretical paper that heterogeneous agents can have a permanent impact on financial markets. Especially, the observation that less knowledgelable agents can survive in financial market is new in the literature. 2) Henerogeneiety in economic agents can have a considerable impact on market liquidity such as price impact and trading volume.
    In all, I successfully completed this research project with satisfactory academic contributions.

  • Development of risk management system for large-scale portfolio

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research

    Project Year :

    2006
    -
    2008
     

    MASAAKI Kijima, TANAKA Keiichi, HARA Chiaki, MUROMACHI Yukio, SHIBATA Takashi

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Misc

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Syllabus

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Teaching Experience

  • Financial Engineering

    Waseda University  

    2024.04
    -
    Now
     

  • フィナンシャル・エンジニアリング

    Waseda University  

    2024.04
    -
    Now
     

  • 債券インベストメント

    早稲田大学  

    2023.09
    -
    Now
     

  • Fixed Income Investments

    Waseda University  

    2023.09
    -
    Now
     

  • Computational Finance

    Hokkaido University  

    2023.09
    　
    　
     

  • Financial Econometrics B

    Hitotsubashi University  

    2023.06
    -
    2023.07
     

  • Financial Economics A

    Hitotsubashi University  

    2016.04
    -
    2023.07
     

  • Financial Economics B

    Hitotsubashi University  

    2016.04
    -
    2023.07
     

  • Introduction to Financial Engineering

    Hitotsubashi University  

    2021.04
    -
    2022.09
     

  • Introduction to Statistics

    Hitotsubashi University  

    2016.04
    -
    2021.03
     

  • Financial Engineering

    Yokohama National University  

    2015.04
    -
    2016.03
     

  • Introduction to Macroeconomics

    Yokohama National University  

    2011.04
    -
    2016.03
     

  • Quantitative Finance

    Yokohama National University  

    2010.04
    -
    2015.03
     

  • Managerial Mathematics

    Seijo University  

    2013.04
    -
    2014.03
     

  • Stochastic Calculus with Applications to Finance

    Yokohama National University  

    2008.04
    -
    2010.03
     

  • Marke Microstructure Analysis

    Kyoto University  

    2006.04
    -
    2007.10
     

  • Derivatives

    Nagoya University of Commerce and Business  

    2005.04
    -
    2006.03
     

  • Corporate Finance

    Nagoya University of Commerce and Business  

    2005.04
    -
    　
     

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