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早稲田大学 ホーム
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研究成果
専門知識、名前、または所属機関で検索
Scopus著者プロファイル
山本 竜市
教授
Professor 教授
,
政治経済学部
ウェブサイト
https://w-rdb.waseda.jp/html/100001226_ja.html
h-index
183
被引用数
7
h 指数
Pureの文献数とScopusの被引用数に基づいて算出されます
2007
2022
年別の研究成果
概要
フィンガープリント
ネットワーク
研究成果
(16)
類似のプロファイル
(6)
Pureに変更を加えた場合、すぐここに表示されます。
研究成果
年別の研究成果
2007
2007
2008
2010
2011
2012
2013
2014
2016
2019
2020
2022
2022
16
Article
年別の研究成果
年別の研究成果
16 件
出版年、タイトル
(降順)
出版年、タイトル
(昇順)
タイトル
タイプ
検索結果
2022
Order submission, information asymmetry, and tick size
Zhu, H.
&
Yamamoto, R.
,
2022 9月
,
In:
Pacific Basin Finance Journal.
74
, 101801.
研究成果
:
Article
›
査読
Tick Size
100%
Limit Orders
91%
Market Order
75%
Information Asymmetry
65%
Information Content
59%
Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange
Yamamoto, R.
,
2022 1月
,
In:
Computational Economics.
59
,
1
,
p. 325-356
32 p.
研究成果
:
Article
›
査読
Tokyo Stock Exchange
100%
Investors
84%
Price Impact
83%
Predictors
76%
Industry
31%
1
被引用数 (Scopus)
2020
Limit order submission risks, order choice, and tick size
Yamamoto, R.
,
2020 2月
,
In:
Pacific Basin Finance Journal.
59
, 101261.
研究成果
:
Article
›
査読
Tick Size
100%
Limit Orders
91%
Transaction Costs
14%
Tokyo Stock Exchange
13%
Empirical Study
12%
4
被引用数 (Scopus)
Price discovery, order submission, and tick size during preopen period
Xiao, X.
&
Yamamoto, R.
,
2020 10月
,
In:
Pacific Basin Finance Journal.
63
, 101428.
研究成果
:
Article
›
査読
Tick Size
100%
Order Size
90%
Price Discovery
79%
Investors
40%
Impact Factor
27%
2
被引用数 (Scopus)
2019
DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET
Yamamoto, R.
,
2019 7月 1
,
In:
Macroeconomic Dynamics.
23
,
5
,
p. 1757-1792
36 p.
研究成果
:
Article
›
査読
Limit Order Market
100%
Predictors
69%
Investors
50%
Fat Tails
26%
Return Autocorrelation
16%
1
被引用数 (Scopus)
2016
Trading profitability from learning and adaptation on the Tokyo stock exchange
Yamamoto, R.
,
2016 6月 2
,
In:
Quantitative Finance.
16
,
6
,
p. 969-996
28 p.
研究成果
:
Article
›
査読
Tokyo Stock Exchange
100%
Profitability
90%
Behavioral Heterogeneity
22%
Data Snooping
21%
Technical Trading Rules
20%
3
被引用数 (Scopus)
2014
An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange
Yamamoto, R.
,
2014 12月 1
,
In:
Journal of Empirical Finance.
29
,
p. 369-383
15 p.
研究成果
:
Article
›
査読
Tokyo Stock Exchange
100%
Limit Orders
94%
Order Book
92%
Investors
84%
Empirical Analysis
50%
6
被引用数 (Scopus)
2013
Strategy switching in the Japanese stock market
Yamamoto, R.
&
Hirata, H.
,
2013 10月
,
In:
Journal of Economic Dynamics and Control.
37
,
10
,
p. 2010-2022
13 p.
研究成果
:
Article
›
査読
Japanese Stock Market
100%
Stock Market
93%
Financial markets
84%
Expectation Formation
62%
Switches
50%
10
被引用数 (Scopus)
2012
Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market
Yamamoto, R.
&
Hirata, H.
,
2012 11月
,
In:
Pacific Basin Finance Journal.
20
,
5
,
p. 723-744
22 p.
研究成果
:
Article
›
査読
Japanese Stock Market
100%
Stock Prices
21%
Foreign Exchange Rates
10%
Corporate Objective
9%
Information Content
8%
2
被引用数 (Scopus)
Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
Yamamoto, R.
,
2012 11月
,
In:
Journal of Banking and Finance.
36
,
11
,
p. 3033-3047
15 p.
研究成果
:
Article
›
査読
Tokyo Stock Exchange
100%
Technical Analysis
86%
Imbalance
67%
Order Book
46%
Limit Orders
31%
28
被引用数 (Scopus)
2011
Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
Yamamoto, R.
,
2011 11月
,
In:
Journal of Economic Dynamics and Control.
35
,
11
,
p. 1938-1963
26 p.
研究成果
:
Article
›
査読
Order-driven Markets
100%
Transparency
95%
Trade
84%
Long Memory
80%
Market
67%
22
被引用数 (Scopus)
Volatility clustering and herding agents: Does it matter what they observe?
Yamamoto, R.
,
2011 5月 1
,
In:
Journal of Economic Interaction and Coordination.
6
,
1
,
p. 41-59
19 p.
研究成果
:
Article
›
査読
Herding
100%
Volatility Clustering
92%
Information Sharing
20%
Proportion
9%
Stock Market
9%
10
被引用数 (Scopus)
2010
Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint
Yamamoto, R.
,
2010 3月 15
,
In:
Physica A: Statistical Mechanics and its Applications.
389
,
6
,
p. 1208-1214
7 p.
研究成果
:
Article
›
査読
Borrowing Constraints
100%
Volatility Clustering
91%
Herding
86%
volatility
66%
Volatility
57%
7
被引用数 (Scopus)
Order-splitting and long-memory in an order-driven market
Yamamoto, R.
&
Lebaron, B.
,
2010 1月
,
In:
European Physical Journal B.
73
,
1
,
p. 51-57
7 p.
研究成果
:
Article
›
査読
economy
100%
Simulation
75%
Data storage equipment
72%
Financial markets
71%
Volume
68%
15
被引用数 (Scopus)
2008
The impact of imitation on long memory in an order-driven market
LeBaron, B.
&
Yamamoto, R.
,
2008
,
In:
Eastern Economic Journal.
34
,
4
,
p. 504-517
14 p.
研究成果
:
Article
›
査読
Order-driven Markets
100%
Long Memory
74%
Imitation
70%
Financial Time Series
49%
Trader Behavior
33%
24
被引用数 (Scopus)
2007
Long-memory in an order-driven market
LeBaron, B.
&
Yamamoto, R.
,
2007 9月 1
,
In:
Physica A: Statistical Mechanics and its Applications.
383
,
1 SPEC. ISS.
,
p. 85-89
5 p.
研究成果
:
Article
›
査読
Long Memory
100%
learning
90%
Market
83%
Learning
45%
volatility
36%
48
被引用数 (Scopus)