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J-GLOBAL ID：200901033905135140   Update date: Sep. 30, 2022

KURODA Koji

クロダ コウジ | KURODA Koji
Affiliation and department：
Nihon University College of Humanities and Sciences Department of Mathematics

About Nihon University College of Humanities and Sciences Department of Mathematics


Job title： Project Professor
Research field  (3)： Mathematical physics and basic theory ,  Applied mathematics and statistics ,  Basic mathematics
Research keywords  (9)： security price process ,  Gibbsian measure ,  Phase transition ,  lattice spin system ,  stock price process ,  ギブス測度 ,  polymer expansion ,  long memory ,  econophysics
Papers (39)：
  • Maskawa J., Kuroda K., Murai J. Multiplicative random cascades with additional stochastic process in financial markets. J. Evolutionary inst Eco Rev. 2018. 15. 2. 515-529
  • Kuroda K., Maskawa J. Exogeneous shock and multifractal random walk. J.Evolut inst Eco Rev. 2018
  • Kuroda K. Multifractal analysis and stcck price process. The institute of statistical mathematics Cooperative Research Report 360. 2016. 360. 126-143
  • Koji Kuroda. Multifractal Random Walk with inverse power law interaction and exogenous shock. The institute of statistical Mathematics Cooperative Reseach Report. 2015. 332. 103-132
  • Junichi Maskawa, Joshin Murai, Koji Kuroda. Market-wide Price Co-movement around Crashes in the Tokyo Stock Exchange. Evolutionary and Institutional Economics Review. 2013. 10. 1. 81-92
ｍore...
MISC (1)：
  • Koji Kuroda. Investment time horizon and Multifractality of stock price process. Evolutionary and Institutional Economics Review. 2016. 13. 2. 481-496
Books (9)：
  • 損害保険数理
    日本評論社 2015 ISBN:9784535607095
  • 経済リスクと確率論
    日本評論社 2011 ISBN:9784535607071
  • 生命保険数理への確率論的アプローチ
    培風館 2010 ISBN:9784563011444
  • アクチュアリー数学入門
    日本評論社 2010 ISBN:9784535607064
  • ファイナンス・保険数理の現代的課題
    冨山房インターナショナル 2008
ｍore...
Lectures and oral presentations  (21)：
  • 株式市場における時間スケール軸のマルコフ過程
    (日本物理学会春季 2019)
  • "Multiplicative random cascades with additional stochastic process in financial markets"
    ("Asia-Pacific Econophysics Conference 2018" 2018)
  • "Hierarchical Model and Multiplicative Cascade Mode"
    (Mims 共同研究集会 2018)
  • Multifractal random walk with inverse power law interaction
    (Workshop on Mathematical Finance and related Issues 2015)
  • Multifractal random walk with inverse power law interaction and exogenous shock
    (統計数理研究所研究集会『経済物理とその周辺』 2014)
ｍore...
Education (2)：
  • - 1981 University of Tsukuba Graduate School, Division of Mathematics 数学
  • - 1974 東京教育大学 Faculty of Science 応用物理
Work history (3)：
  • 1986/04 - 1993/03 慶応大学理工学部数理科学科 専任講師
  • 1982/04 - 1986/03 慶応大学理工学部数理科学科 助手
  • 1982/09 - 1983/09 Post-Doctoral Reseach Associate, Rutgers University, the State University of New Jersey
Committee career (1)：
  • 2003 - 2006 日本保険・年金リスク学会 評議員
Association Membership(s) (1)：
日本保険・年金リスク学会
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