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J-GLOBAL ID：200901037964281164   Update date: Apr. 17, 2024

Takaishi Tetsuya

Takaishi Tetsuya | Takaishi Tetsuya
Affiliation and department：
Hiroshima University of Economics Faculty of Economics, Liberal Education

About Hiroshima University of Economics Faculty of Economics, Liberal Education


Research field  (3)： Economic statistics ,  Theoretical studies related to particle-, nuclear-, cosmic ray and astro-physics ,  Statistical science
Research keywords  (8)： Hurst exponent ,  risk measures ,  時系列解析 ,  Multifuractality ,  Cryptocurrencies ,  Realized volatility ,  格子色力学 ,  Lattice Quantum Chromo Dynamics
Research theme for competitive and other funds  (15)：
  • 2021 - 2024 暗号資産価格における時系列特性の時間変動の研究及びリスク計量化への応用
  • 2018 - 2021 A study of statistical properties of cryptocurrencies and their time series charactaristics by multifractal analsysis
  • 2013 - 2016 Construction of stochastic volatility model based on realized volatility distribution and its application
  • 2010 - 2012 Financial Time Series Analysis by GARCH Model with Rational Functions
  • 2001 - 2002 ハイブリッドモンテカルロ法によるフレーバー数3の格子QCD計算
Show all
Papers (86)：
  • Tetsuya Takaishi. Properties of VaR and CVaR Risk Measures in High-Frequency Domain: Long-Short Asymmetry and Significance of the Power-Law Tail. Journal of Risk and Financial Management. 2023. 16. 9. 391-391
  • Tetsuya Takaishi. Hurst exponent and Multifractal Properties in the Time Series of Bitcoin Trading Volume. International Journal of Engineering Research and Applications. 2022. 12. 11. 24-29
  • Tetsuya Takaishi. Time Evolution of Market Efficiency and Multifractality of the Japanese Stock Market. Journal of Risk and Financial Management. 2022. 15. 1. 31-31
  • Tetsuya Takaishi. Time-varying properties of asymmetric volatility and multifractality in Bitcoin. PLOS ONE. 2021. 16. 2. e0246209-e0246209
  • T Takaishi. Recent scaling properties of Bitcoin price returns. Journal of Physics: Conference Series. 2021. 1730. 1. 012124-012124
ｍore...
MISC (75)：
  • Takaishi Tetsuya. 22pGU-13 Realized Volatility in a Spin Model. Meeting abstracts of the Physical Society of Japan. 2011. 66. 2. 242-242
  • Takaishi Tetsuya. 24pTD-9 Analysis of Intraday Realized Volatility distribution in Japanese Stock Market. Meeting abstracts of the Physical Society of Japan. 2010. 65. 2. 237-237
  • Sasai Yuji, Nakamura Atsushi, Takaishi Tetsuya, Akemann Gernot. 21pBJ-12 Comparison between Random Matrix Theory and Lattice Data : Phase Quench and Quench. Meeting abstracts of the Physical Society of Japan. 2010. 65. 1. 9-9
  • Takaishi Tetsuya. 21aEL-4 Analysis of stock price realized volatility. Meeting abstracts of the Physical Society of Japan. 2010. 65. 1. 298-298
  • Realized Volatility Distribution in Superstatistics :. 2010. 93. 5. 641-644
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Lectures and oral presentations  (100)：
  • 量子回路学習によるGARCH時系列の推定
    (第22回情報科学技術フォーラム(FIT2023) 2023)
  • 最尤推定法による量子回路ボラティリティモデルの推定
    (日本金融・証券計量・工学学会、2023年夏季大会 2023)
  • 量子機械学習によるボラティリティ時系列推定
    (日本物理学会2023年春季大会 2023)
  • 量子機械学習を利用したボラティリティモデル
    (日本金融・証券計量・工学学会、2022年度冬季大会 2023)
  • リスク指標におけるパリティ非対称性の時間変動
    (日本物理学会2022年秋季大会 2022)
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Education (4)：
  • - 1995 Hiroshima University
  • - 1995 Hiroshima University Graduate School, Division of Natural Science
  • - 1990 Hiroshima University Faculty of Science
  • - 1990 Hiroshima University Faculty of Science
Professional career (1)：
  • (BLANK) (Hiroshima University)
Association Membership(s) (4)：
情報処理学会 ,  日本物理学会 ,  日本計算機統計学会 ,  日本金融・証券計量・工学学会
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