研究者業績
Profile Information
- Affiliation
- Associate professor, Musashino University
- Degree
- Phd (Mathematical Science)(2015, The University of Tokyo)
- J-GLOBAL ID
- 202401018749019540
- researchmap Member ID
- R000070692
Research Interests
1Research History
6-
Apr, 2026 - Present
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Apr, 2025 - Present
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Apr, 2009 - Mar, 2026
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Apr, 2021 - Mar, 2022
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Jan, 2019 - Jan, 2021
Education
3-
Apr, 2012 - Mar, 2015
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Apr, 2007 - Mar, 2009
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Apr, 2003 - Mar, 2007
Awards
1Papers
4-
Japan Journal of Industrial and Applied Mathematics, 34(3) 635-674, Oct 11, 2017 Peer-reviewed
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Quantitative Finance, 17(7) 1105-1117, Jan 11, 2017 Peer-reviewed
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Advances in Mathematical Economics, 57-89, 2015 Peer-reviewed
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Advances in Mathematical Economics, 61-99, Apr 16, 2014 Peer-reviewed
Misc.
1-
Dec 28, 2024This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, reducing market impact and improving execution efficiency.
Presentations
8-
2016年度中之島ワークショップ 金融工学・数理計量ファイナンスの諸問題 2016, 2016
Teaching Experience
4-
Apr, 2025 - Presentファイナンスのための確率Ⅰ (東京大学大学院経済学研究科)
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Oct, 2025ファイナンスのための確率Ⅱ (東京大学大学院経済学研究科)
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Nov, 2022 - Nov, 2022実践AI・データサイエンスC 1 (東京工業大学)
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Mar, 2021 - Mar, 2021実践AI・データサイエンスB 1 (東京工業大学)