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J-GLOBAL ID:200901033905135140   Update date: May. 05, 2021

KURODA Koji

クロダ コウジ | KURODA Koji
Affiliation and department:
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 数学
  • - 1974 東京教育大学 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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