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Research Output 2007 2017

  • 133 Citations
  • 7 h-Index
  • 12 Article
2017

DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET

Yamamoto, R., 2017 Aug 7, (Accepted/In press) In : Macroeconomic Dynamics. p. 1-36 36 p.

Research output: Contribution to journalArticle

Limit order market
Predictors
Investors
Fat tails
Volatility persistence
2015
2 Citations (Scopus)

Trading profitability from learning and adaptation on the Tokyo Stock Exchange

Yamamoto, R., 2015 Nov 10, (Accepted/In press) In : Quantitative Finance.

Research output: Contribution to journalArticle

Profitability
Tokyo Stock Exchange
Agent-based
Return distribution
Volatility clustering
2014

An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange

Yamamoto, R., 2014 Dec 1, In : Journal of Empirical Finance. 29, p. 369-383 15 p.

Research output: Contribution to journalArticle

Order book
Tokyo Stock Exchange
Limit orders
Empirical analysis
Investors
2013
8 Citations (Scopus)

Strategy switching in the Japanese stock market

Yamamoto, R. & Hirata, H., 2013 Oct, In : Journal of Economic Dynamics and Control. 37, 10, p. 2010-2022 13 p.

Research output: Contribution to journalArticle

Stock Market
Switches
Industry
Sort
Forecast
2012
1 Citation (Scopus)

Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market

Yamamoto, R. & Hirata, H., 2012 Nov, In : Pacific Basin Finance Journal. 20, 5, p. 723-744 22 p.

Research output: Contribution to journalArticle

Japanese stock market
Stock prices
Panel data
Coexistence
Futures prices
13 Citations (Scopus)

Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

Yamamoto, R., 2012 Nov, In : Journal of Banking and Finance. 36, 11, p. 3033-3047 15 p.

Research output: Contribution to journalArticle

Tokyo Stock Exchange
Imbalance
Technical analysis
Order book
Limit orders
2011
19 Citations (Scopus)

Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

Yamamoto, R., 2011 Nov, In : Journal of Economic Dynamics and Control. 35, 11, p. 1938-1963 26 p.

Research output: Contribution to journalArticle

Long Memory
Transparency
Data storage equipment
Stock Market
Empirical Research
7 Citations (Scopus)
Volatility clustering
Herding
Information sharing
Experiment
Proportion
2010
6 Citations (Scopus)
Borrowing Constraints
Volatility Clustering
Herding
volatility
Volatility
13 Citations (Scopus)

Order-splitting and long-memory in an order-driven market

Yamamoto, R. & Lebaron, B., 2010 Jan, In : European Physical Journal B. 73, 1, p. 51-57 7 p.

Research output: Contribution to journalArticle

economy
Data storage equipment
volatility
causes
simulation
2008
20 Citations (Scopus)

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.

Research output: Contribution to journalArticle

Imitation
Long memory
Order-driven markets
Financial time series
Trading volume
2007
44 Citations (Scopus)

Long-memory in an order-driven market

LeBaron, B. & Yamamoto, R., 2007 Sep 1, In : Physica A: Statistical Mechanics and its Applications. 383, 1 SPEC. ISS., p. 85-89 5 p.

Research output: Contribution to journalArticle

Long Memory
learning
volatility
Stock Returns
Evolutionary Dynamics