Personnel Information

写真b

MORIMOTO Takayuki

Organization
School of Science Department of Mathematical Sciences Professor
Research Fields, Keywords
ボラティリティー, 機械学習, 統計科学, 金融市場のミクロ構造
Teaching and Research Fields
近年, 機械学習理論は多くの研究分野で応用実践され, 多くの顕著な成果が得られている. 一方, 金融市場分析については, 数理統計学的側面からの接近が過去数十年の間, 積極的に取り組まれ, 金融実務家の利用にも耐えうる研究の枠組みを構築することが可能となった. そこで本研究室では, これら機械学習と金融市場分析を有機的に融合し, これまでの研究者が踏み込むことができなかった領域における新しい知見を得るための理論および実証分析を提示し実践する.
Syllabus information URL
https://syllabus.kwansei.ac.jp/uniasv2/UnSSOLoginControlFree?REQ_ACTION_DO=/AGA030PLS01Action.do?REQ_FUNCTION_JUMP_START_FLG=1&SLB_LINK_DISP_FLG=184&TCH_NO=090029&REQ_PRFR_FUNC_ID=AGA030
SDGs Related Goals
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Degree 【 display / non-display 】

  • Degree name:博士（経済学）
    Classified degree field:Humanities & Social Sciences / Economic statistics
    Conferring institution:Hiroshima University
    Acquisition way:Coursework
    Date of acquisition:2005.03

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Career 【 display / non-display 】

  • Affiliation:Kwansei Gakuin University
    Department:School of Science and Technology Department of of Mathematical Sciences
    Title:Professor
    Date:2018.04 -

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Research Areas 【 display / non-display 】

  • Research field:Natural Science / Basic mathematics

  • Research field:Humanities & Social Sciences / Economic statistics

  • Research field:Natural Science / Applied mathematics and statistics

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Papers 【 display / non-display 】

  • Language: Japanese
    Title: A Hybrid ARIMA-GA-SVR Model for Stock Price Forecasting
    Journal name: JSAI Technical Report, Type 2 SIG  vol.2022  (FIN-029)  (p.81 - 86)
    Date of publication: 2022.10
    Author(s): ZHUO Yue, MORIMOTO Takayuki

    DOI: 10.11517/jsaisigtwo.2022.fin-029_81

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  • Language: English
    Title: Economic Policy Uncertainty and Financial Market Volatility: Evidence from Japan
    Journal name: In Proceedings of ISI-WSC 2019 (The 62nd International Statistical Institute World Statistics Congress 2019), Kuala Lumpur, Malaysia  (p.263 - 269)
    Date of publication: 2019.08
    Author(s): Takayuki MORIMOTO

    Type of publication: Research paper (international conference proceedings)
    Co-author classification: Single Author

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  • Language: English
    Title: Volatility Forecasting with Empirical Similarity: Japanese Stock Market Case
    Journal name: In JSM Proceedings, Business and Economics Statistics Section. Baltimore, MD: American Statistical Association  (p.2483 - 2510)
    Date of publication: 2017.12
    Author(s): Takayuki MORIMOTO and Yoshinori KAWASAKI

    Type of publication: Research paper (international conference proceedings)

  • Language: Japanese
    Title: GARCH-MIDAS モデルの本邦株式市場への適用可能性について
    Journal name: オイコノミカ（名古屋市立大学経済学会）  vol.54  (1)  (p.63 - 74)
    Date of publication: 2017.07
    Author(s): 森本 孝之

    Type of publication: Research paper (bulletin of university, research institution)

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  • Language: Japanese
    Title: 原資産が fBm に従う場合のオプション評価について
    Journal name: 広島経済大学研究双書  vol.39  (p.143 - 162)
    Date of publication: 2012.03
    Author(s): 森本 孝之

    Type of publication: Research paper (bulletin of university, research institution)

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Research Projects 【 display / non-display 】

  • Research category:Grant-in-Aid for Scientific Research(C)
    Project year：2021.04 - 2025.03
    Title:感染症拡大による経済不確実性の上昇が市場リスクに与える影響の包括的研究

  • Research category:Grant-in-Aid for Scientific Research(C)
    Project year：2018.04 - 2021.03
    Title:経験類似度に基づくボラティリティの推定と予測に関する研究

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Presentations 【 display / non-display 】

  • Language:English
    Conference name:2004 Far Eastern Meeting of the Econometric Society
    International/Domestic presentation:International presentation
    Holding date：2004.06
    Title:Estimating and forecasting instantaneous volatility through a duration model: An assessment based on VaR
    Presentation type:Oral presentation (general)

  • Language:English
    Conference name:International Conference on Simulation and Modeling 2005
    International/Domestic presentation:International presentation
    Holding date：2005.01
    Title:Jump Diffusion Models for Japanese Stock Market
    Presentation type:Oral presentation (general)

  • Language:English
    Conference name:Computational Science Symposium 2005 -Computational Science on Interaction-
    International/Domestic presentation:International presentation
    Holding date：2005.10
    Title:An Empirical Comparison of GARCH Models Based on Intraday Value at Risk
    Presentation type:Oral presentation (general)

  • Language:English
    Conference name:Advances in Financial Forecasting - 2nd International Symposium at the 2005 International Conference of Computational Methods in Sciences and Engineering
    International/Domestic presentation:International presentation
    Holding date：2005.10
    Title:An Empirical Comparison of GARCH Models Based on Intraday Value at Risk
    Presentation type:Oral presentation (general)

  • Language:English
    Conference name:MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand
    International/Domestic presentation:International presentation
    Holding date：2005.12
    Title:JUMP DIFFUSION MODEL: AN APPLICATION TO THE JAPANESE STOCK MARKET
    Presentation type:Oral presentation (general)

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