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J-GLOBAL ID：200901015180524342
Update date: Aug. 29, 2024
Teruo Nakatsuma
ナカツマ テルオ | Teruo Nakatsuma
Affiliation and department：
Job title：
Professor
Other affiliations (1)：
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)：
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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
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Saito W, Nakatsuma T. Hierarchical Bayesian hedonic regression analysis of Japanese rice wine: is the price right?. International Journal of Wine Business Research. 2023. 35. 2. 256-277
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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
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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
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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)：
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Nakatsuma T. Comment on “Why Fintech Is Not Changing Japanese Banking”. Asian Economic Policy Review. 2022. 17. 2. 313-314
Books (12)：
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The Mechanism of HFT and Its Merits and Demerits-The Information Efficiency Challenge
The Economics of Fintech 2021 ISBN:9789813349124
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The Economics of Fintech
The Economics of Fintech 2021 ISBN:9789813349124
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Machine Learning Principles and Applications
The Economics of Fintech 2021 ISBN:9789813349124
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Asset Management and Robo-Advisors
The Economics of Fintech 2021 ISBN:9789813349124
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Pythonによる計量経済学入門
朝倉書店 2020 ISBN:9784254128994
ｍore...
Lectures and oral presentations (19)：
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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)
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Bayesian analysis of intraday stochastic volatility models with leverage and skew heavy-tailed error
(11th International Conference on Computational and Financial Econometrics 2017)
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Hierarchical Bayes Modeling of Autocorrelation and Intraday Seasonality in Financial Durations
(10th International Conference on Computational and Financial Econometrics 2016)
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Hierarchical Bayes Modeling of Autocorrelation and Intraday Seasonality in Financial Durations
(International Society for Bayesian Analysis (ISBA) World Meeting 2016 2016)
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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)：
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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