• 150 Citations
  • 7 h-Index
20072020

Research output per year

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Research Output

  • 150 Citations
  • 7 h-Index
  • 14 Article
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Article
2007

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

46 Citations (Scopus)
2008

The impact of imitation on long memory in an order-driven market

LeBaron, B. & Yamamoto, R., 2008 Nov 12, In : Eastern Economic Journal. 34, 4, p. 504-517 14 p.

Research output: Contribution to journalArticle

22 Citations (Scopus)
2010
6 Citations (Scopus)

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

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

Research output: Contribution to journalArticle

13 Citations (Scopus)
2011

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

Yamamoto, R., 2011 Nov 1, In : Journal of Economic Dynamics and Control. 35, 11, p. 1938-1963 26 p.

Research output: Contribution to journalArticle

21 Citations (Scopus)

Volatility clustering and herding agents: Does it matter what they observe?

Yamamoto, R., 2011 May 1, In : Journal of Economic Interaction and Coordination. 6, 1, p. 41-59 19 p.

Research output: Contribution to journalArticle

8 Citations (Scopus)
2012

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

Yamamoto, R. & Hirata, H., 2012 Nov 1, In : Pacific Basin Finance Journal. 20, 5, p. 723-744 22 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

Yamamoto, R., 2012 Nov 1, In : Journal of Banking and Finance. 36, 11, p. 3033-3047 15 p.

Research output: Contribution to journalArticle

17 Citations (Scopus)
2013

Strategy switching in the Japanese stock market

Yamamoto, R. & Hirata, H., 2013 Oct 1, In : Journal of Economic Dynamics and Control. 37, 10, p. 2010-2022 13 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)
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

4 Citations (Scopus)
2016

Trading profitability from learning and adaptation on the Tokyo stock exchange

Yamamoto, R., 2016 Jun 2, In : Quantitative Finance. 16, 6, p. 969-996 28 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
2019

DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET

Yamamoto, R., 2019 Jul 1, In : Macroeconomic Dynamics. 23, 5, p. 1757-1792 36 p.

Research output: Contribution to journalArticle

2020

Limit order submission risks, order choice, and tick size

Yamamoto, R., 2020 Feb, In : Pacific Basin Finance Journal. 59, 101261.

Research output: Contribution to journalArticle

Open Access
1 Citation (Scopus)

Price discovery, order submission, and tick size during preopen period

Xiao, X. & Yamamoto, R., 2020 Oct, In : Pacific Basin Finance Journal. 63, 101428.

Research output: Contribution to journalArticle