Shiohama Takayuki

シオハマタカユキ | Shiohama Takayuki

Research field (2)： Applied mathematics and statistics , Basic mathematics

Research keywords (1)： statistical inference theory

Research theme for competitive and other funds (7)：

2022 - 2026 Statistical Analysis on Geometric Manifold and its Application to Data Science
2020 - 2025 Innovative Developments of Theories and Methodologies for Large Complex Data
2018 - 2023 幾何情報を利用したネットワーク時系列モデルの統計的推測理論と金融市場分析
2014 - 2018 Asymptotic expansion for the discretely observed interest rate models and its applications to interest rate derivatives pricing
2004 - 2005 時系列の構造変化点の推定とその漸近最適性

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Papers (24)：

Mimu Kawai, Hiroyuki Sato, Takayuki Shiohama. Topic model-based recommender systems and their applications to cold-start problems. Expert Systems with Applications. 2022. 202. 117129-117129
Shimizu, H., and Shiohama, T. Constructing inverse factor volatility portfolios: A risk-based asset allocations for factor investing. International Review of Financial Analysis. 2020
Miyata, Y., Abe, T., and Shiohama, T. Estimation of finite mixture of skew-symmetric circular distributions. Metrika. 2019
Fujii, T. and Shioama, T. Credit portfolio risk evaluation with non-Gaussian one-factor Merton models and its application to CDO pricing. Data Analysis and Applications 4, iSTE Wiley. 2019. 掲載予定. ---
H. Shimizu, T. Shiohama. Multifactor portfolio construction by factor risk parity strategies: An empirical comparison of global stock markets. Asia-Pacific Financial Markets. 2019. 26. 4. 453-477

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MISC (12)：

塩濱敬之, 宮田庸一, 阿部俊弘. 円柱データの確率分布と隠れマルコフモデルについて. 京都大学数理解析研究所講究録. 2020. 掲載予定. ---
宮田庸一, 塩濱敬之, 阿部俊弘. 正弦関数に基づく非対称な円周分布の推定理論における諸問題について. 京都大学数理解析研究所講究録. 2019. 掲載予定. ---
宮田庸一, 塩濱敬之, 阿部俊弘. 非対称な円周分布による有限混合分布とその推定について. 京都大学数理解析研究所講究録. 2018. 2091. 96-116
Shiohama, T. Asymptotic expansion of one-factor Merton models with non-Gaussian and serially correlated innovations. JSM Proceedings, Business and Economic Statistics Section. 2016. 2604-2615
Akiko Kitao, Takayuki Shiohama, Hiroyuki Sato. Financial News Classification Based on Topographic Independent Component Analysis: Optimization on the Stiefel Manifold. 16th ASMDA 2015 Conference and Demographics 2015 Proceedings. 2016. 403-415

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Books (3)：

理工系の基礎情報工学第6章モンテカルロ法とデータサイエンス
丸善出版. 2018
“Relationship Between Monetary Policy And inflation Expectations: Comparison Among Japan, The United States,And The United Kingdom”, in Monetary Policy: Roles, Forecasting and Effects
Nova Science Publishers, New York. 2012 ISBN:9781619421813
"Asymptotic Expansion for Interest Rates with non-Gaussian Dependent Innovations" In "Interest Rates: Term Structure Models, Monetary Policy, and Prediction"
Nova Science Publishers, New York. 2011 ISBN:9781613247204

Lectures and oral presentations (89)：

Some recent developments in time-series modeling for cylindrical data
(RIMS共同研究「統計的モデルの新展開」 2020)
Bootstrap estimation for rating based network centrality measures
(NETSCIX 2020 (International school and Conference on Network Science) 2020)
Non-stationary time series classfication using topological data analysis
(Statistical Topological Data Analysis Workshop at King Abdullah University of Science and Technology (KAUST) 2020)
Non-stationary time series classfication using topological data analysis
(科学研究費・基盤研究(A)(課題番号:15H01678) シンポジウム「統計的推測および確率解析に関する総合的研究」 2019)
Maximum likelihood estimation for hidden Markov models with cylindrical distributions
(科学研究費・基盤研究(A)(課題番号:15H01678) シンポジウム「統計的推測および確率解析に関する総合的研究」 2019)

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Professional career (1)：

Awards (3)：

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