Details of a Researcher - NISHIDE, Katsumasa

写真a

NISHIDE, Katsumasa

Scopus Paper Info

Paper Count: 21 Citation Count: 456 h-index: 8

Click to view the Scopus page. The data was downloaded from Scopus API in April 06, 2025, via http://api.elsevier.com and http://www.scopus.com .

Google Scholar Information (Citations per year)

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

2025.04

-

Now

文部科学省国立研究開発法人審議会科学技術振興機構部会委員
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

2

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

7

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

13

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

2

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

16

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

11

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

316

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

Product Positioning and Entry Timing under Differential Costs and Demand Uncertainty

Katsumasa Nishide [Invited]

Winter Workshop on Operations Research, Finance and Mathematics, 2025 (Asarigawa Onsen Hotel, Otaru) The Operations Research Society of Japan,

Presentation date： 2025.02

Event date：
2025.02

　

　
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

Commentary

Katsumasa Nishide

Securities Analysts Journal 59 ( 8 ) 2 - 5 2021.08 [Invited]

Article, review, commentary, editorial, etc. (other)

CiNii
Commentary

Katsumasa Nishide

Securities Analysts Journal 58 ( 12 ) 2 - 5 2020.12 [Invited]

Article, review, commentary, editorial, etc. (other)

CiNii
The Japanese Financial Market Reaction to COVID-19

Katsumasa Nishide

Securities Analyst Journal 58 ( 10 ) 53 - 57 2020.10 [Invited]

Article, review, commentary, editorial, etc. (other)
The Definition and Identification of High-Frequency Traders

Katsumasa Nishide

Securities Analysts Journal 56 ( 10 ) 53 - 56 2018.10 [Invited]

Article, review, commentary, editorial, etc. (other)

CiNii
A Comment on the Literature of High Frequency Trading

Katsumasa Nishide

Securities Analyst Journal 54 ( 11 ) 53 - 58 2016.11 [Invited]

Article, review, commentary, editorial, etc. (other)

CiNii
相互取引に伴う債権債務の依存構造を考慮した金融機関の与信評価について

西出勝正

日本銀行ディスカッションペーパーシリーズ 2015.06 [Invited]

Authorship：Lead author, Corresponding author
CVA評価における誤方向リスクについて

西出勝正

年金ストラテジー 2013.04 [Invited]

Authorship：Lead author, Corresponding author
金融市場における取引規制について

西出勝正

季刊個人金融 6 ( 3 ) 49 - 56 2011.10 [Invited]

Authorship：Lead author, Corresponding author
CATボンドのリスクプレミアム評価について

西出勝正

年金ストラテジー 2011.06 [Invited]

Authorship：Lead author, Corresponding author
市場淘汰仮説について

西出勝正

経済論叢 185 ( 1 ) 103 - 112 2011.01

Authorship：Lead author, Corresponding author
リサンプリング法を用いたポートフォリオの最適化

西出勝正

年金ストラテジー 2005.01 [Invited]

Authorship：Lead author, Corresponding author
取引不存在定理についての考察

西出勝正

経済論叢 174 ( 1 ) 50 - 66 2004.07 [Refereed]

Authorship：Lead author, Corresponding author

DOI CiNii
証券取引所における売買形態について

西出勝正

ニッセイ基礎研REPORT 2004.06 [Invited]

Authorship：Lead author, Corresponding author
物価連動債について

西出勝正

ニッセイ基礎研REPORT 2004.03 [Invited]

Authorship：Lead author, Corresponding author
フィルタリングと変分法を用いたKyleモデルの分析

西出勝正

経済論叢別冊調査と研究 27 ( 27 ) 53 - 58 2003.10 [Invited]

Authorship：Lead author, Corresponding author

DOI CiNii

▼display all

Syllabus

Seminar on Market Microstructure (Research Guidance) [MSc in Finance]

Graduate School of Business and Finance

2025 fall semester
Seminar on Market Microstructure (Research Guidance) [MSc in Finance]

Graduate School of Business and Finance

2025 spring semester
Seminar on Market Microstructure [MSc in Finance]

Graduate School of Business and Finance

2025 fall semester
Seminar on Market Microstructure [MSc in Finance]

Graduate School of Business and Finance

2025 spring semester
Financial Engineering (MSc in Finance)

Graduate School of Business and Finance

2025 winter quarter
Fixed Income Investments (MSc in Finance)

Graduate School of Business and Finance

2025 winter quarter
Seminar on Market Microstructure (Research Guidance)

Graduate School of Business and Finance

2025 fall semester
Seminar on Market Microstructure (Research Guidance)

Graduate School of Business and Finance

2025 spring semester
Seminar on Market Microstructure

Graduate School of Business and Finance

2025 fall semester
Seminar on Market Microstructure

Graduate School of Business and Finance

2025 spring semester
Financial Engineering

Graduate School of Business and Finance

2025 fall quarter
Fixed Income Investments

Graduate School of Business and Finance

2025 winter quarter

▼display all

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

-

▼display all

Scopus Paper Info

Paper Count: 21 Citation Count: 456 h-index: 8

Google Scholar Information (Citations per year)

Citation Count: 849 h-index: 11 i10-index: 12

Research Experience

Research Experience

Education Background

Education Background

Committee Memberships

Committee Memberships

Professional Memberships

Professional Memberships

Research Areas

Research Areas

Research Interests

Research Interests

Papers

Papers

Books and Other Publications

Books and Other Publications

Presentations

Presentations

Research Projects

Research Projects

Misc

Misc

Syllabus

Syllabus

Teaching Experience

Teaching Experience