Ryuichi Yamamoto

Waseda University - School of Political Science and Economics

1-6-1 Nishi-Waseda

Shinjuku-ku, Tokyo 169-8050, Tokyo 169-8050

Japan

SCHOLARLY PAPERS

5

DOWNLOADS

417

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Long-Memory in an Order-Driven Market

Number of pages: 37 Posted: 05 Nov 2006
Blake LeBaron and Ryuichi Yamamoto
Brandeis University - International Business School and Waseda University - School of Political Science and Economics
Downloads 219 (175,208)
Citation 3

Abstract:

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Microstructure, agent-based, long memory, order flow

2.

High-Frequency Technical Analysis and Systemic Risk Indicators

Number of pages: 58 Posted: 16 Jun 2021
Ryuichi Yamamoto
Waseda University - School of Political Science and Economics
Downloads 101 (326,572)

Abstract:

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technical analysis, high-frequency trading, systemic risk, CoVaR, data-snooping

3.

Strategy Switching in the Japanese Stock Market

Japan Center for Economic Research Discussion Paper No. 135
Number of pages: 32 Posted: 12 Feb 2012
Ryuichi Yamamoto and Hideaki Hirata
Waseda University - School of Political Science and Economics and Hosei University
Downloads 69 (410,013)
Citation 1

Abstract:

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strategy switching, agent-based modeling, survey data, expectations, Japanese stock market

4.

Belief Changes and Expectation Heterogeneity in Buy- and Sell-Side Professionals in the Japanese Stock Market

Japan Center for Economic Research Discussion Paper No. 136
Number of pages: 44 Posted: 12 Feb 2012
Ryuichi Yamamoto and Hideaki Hirata
Waseda University - School of Political Science and Economics and Hosei University
Downloads 28 (587,422)
Citation 1

Abstract:

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expectations heterogeneity, dispersion, survey data

5.

Order Aggressiveness, Pre-Trade Transparency, and Long Memory in an Order-Driven Market

Journal of Economic Dynamics and Control, Vol. 35, 1938-1963, 2011
Posted: 02 Jun 2010 Last Revised: 11 Jun 2012
Ryuichi Yamamoto
Waseda University - School of Political Science and Economics

Abstract:

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Long-memory, order aggressiveness, transparency, market microstructure, agent-based