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J-GLOBAL ID:200901015180524342   Update date: Mar. 01, 2024

Teruo Nakatsuma

ナカツマ テルオ | Teruo Nakatsuma
Affiliation and department:
Job title: Professor
Other affiliations (1):
  • Keio University
Research field  (2): Economic statistics ,  Statistical science
Research theme for competitive and other funds  (2):
  • 2019 - 2022 Bayesian Time Series Analysis of Limit Order Processes in Financial Markets
  • 2016 - 2019 データ駆動型アプローチによる高頻度での金融資産価格形成メカニズムの研究
Papers (23):
  • Nakakita M, Nakatsuma T. Hierarchical Bayesian analysis of racehorse running ability and jockey skills. International Journal of Computer Science in Sport. 2023. 22. 2. 1-25
  • Toyabe T, Nakatsuma T. Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information. Journal of Risk and Financial Management. 2022. 15. 10
  • Oya S, Nakatsuma T. A positive-definiteness-assured block Gibbs sampler for Bayesian graphical models with shrinkage priors. Japanese Journal of Statistics and Data Science. 2022. 5. 1. 149-164
  • Saito W, Nakatsuma T. Hierarchical Bayesian hedonic regression analysis of Japanese rice wine: is the price right?. International Journal of Wine Business Research. 2022. 35. 2. 256-277
  • Nakakita, Makoto, Nakatsuma, Teruo. Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors. Journal of Risk and Financial Management. 2021. 14. 4. 145
more...
MISC (1):
  • Nakatsuma T. Comment on “Why Fintech Is Not Changing Japanese Banking”. Asian Economic Policy Review. 2022. 17. 2. 313-314
Books (12):
  • The Mechanism of HFT and Its Merits and Demerits-The Information Efficiency Challenge
    The Economics of Fintech 2021 ISBN:9789813349124
  • The Economics of Fintech
    The Economics of Fintech 2021 ISBN:9789813349124
  • Machine Learning Principles and Applications
    The Economics of Fintech 2021 ISBN:9789813349124
  • Asset Management and Robo-Advisors
    The Economics of Fintech 2021 ISBN:9789813349124
  • Pythonによる計量経済学入門
    朝倉書店 2020 ISBN:9784254128994
more...
Lectures and oral presentations  (19):
  • Bayesian analysis of intraday stochastic volatility models with skew heavy-tailed error and smoothing spline seasonality
    (Bayesian analysis of intraday stochastic volatility models with skew heavy-tailed error and smoothing spline seasonality 2018)
  • Bayesian analysis of intraday stochastic volatility models with leverage and skew heavy-tailed error
    (11th International Conference on Computational and Financial Econometrics 2017)
  • Hierarchical Bayes Modeling of Autocorrelation and Intraday Seasonality in Financial Durations
    (10th International Conference on Computational and Financial Econometrics 2016)
  • Hierarchical Bayes Modeling of Autocorrelation and Intraday Seasonality in Financial Durations
    (International Society for Bayesian Analysis (ISBA) World Meeting 2016 2016)
  • Nonlinear Leverage Effects in Asset Returns Evidence from the U.S. and Japanese Stock Markets
    (9th International Conference on Computational and Financial Econometrics 2015)
more...
Education (4):
  • 1998 - 1998 Rutgers University Graduate School of Economics Econometrics
  • 1995 - 1995 Rutgers University Graduate School of Economics Econometrics
  • 1994 - 1994 University of Tsukuba Graduate School, Division of Social Engineering
  • 1991 - 1991 University of Tsukuba 第3学群社会工学類
Professional career (1):
  • Ph.D.(経済学) (ラトガーズ大学)
Work history (4):
  • 2010/04 - 現在 大学教授(経済学部)
  • 2003/04 - 2010/03 大学准教授(経済学部)
  • 2000/04 - 2003/03 大学専任講師(経済学部)
  • 1998/04 - 2000/03 一橋大学経済研究所 ,専任講師
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