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- NISHIDE Katsumasa
- Graduate School of Economics
- NISHIDE Katsumasa
- Curriculum Vitae
- Research Work
Books and Other Publications
| 1. | Handbooks in Operations Research and Management Science: Financial Engineering (Translation)
木島 正明 (Contributor) 朝倉書店 2009.6 |
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| 2. | 金融工学事典
今野 浩, 木島 正明, 刈屋 武昭 (Contributor) 朝倉書店 2004.9 |
Papers
| 1. | Hostile takeovers or friendly mergers? Real options analysis (Peer-reviewed) Takeshi Ebina, Yuya Kumakura, Katsumasa Nishide Journal of Corporate Finance Vol.77,pp.102292 2022.12 
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| 2. | Demand uncertainty, product differentiation, and entry timing under spatial competition (Peer-reviewed) Takeshi Ebina, Noriaki Matsushima, Katsumasa Nishide European Journal of Operational Research Vol.303,No.1,pp.286-297 2022.11
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| 3. | Brokered versus dealer markets: Impact of proprietary trading with transaction fees (Peer-reviewed) Katsumasa Nishide, Yuan Tian International Review of Financial Analysis Vol.81,pp.101371 2022.5
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| 4. | Optimal Initial Capital Induced by Optimized Certainty Equivalent (jointly worked) (Peer-reviewed) Takuji Arai, Takao Asano, Katsumasa Nishide Insurance: Mathematics and Economics Vol.85,pp.115-125 2019.3
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| 5. | Leaders, followers, and equity risk premiums in booms and busts (Peer-reviewed) Makoto Goto, Katsumasa Nishide, Ryuta Takashima JOURNAL OF BANKING & FINANCE Vol.81,pp.207-220 2017.8
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| 6. | Heston-Type Stochastic Volatility with a Markov Switching Regime (Peer-reviewed) Robert J. Elliott, Katsumasa Nishide, Carlton-James U. Osakwe JOURNAL OF FUTURES MARKETS Vol.36,No.9,pp.902-919 2016.9
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| 7. | Investment under regime uncertainty: Impact of competition and preemption (Peer-reviewed) Katsumasa Nishide, Kyoko Yagi INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION Vol.45,pp.47-58 2016.3
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| 8. | Pricing of discount bonds with a Markov switching regime (Peer-reviewed) Robert J. Elliott, Katsumasa Nishide Annals of Finance Vol.10,No.3,pp.509-522 2014
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| 9. | Concentrated Equilibrium and Intraday Patterns in Financial Markets (Peer-reviewed) Ryosuke Ishii, Katsumasa Nishide Applied Mathematical Finance Vol.20,No.1,pp.50-68 2013.3
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| 10. | Market selection: Hungry misers and bloated bankrupts (Peer-reviewed) Katsumasa Nishide, L. C G Rogers Mathematics and Financial Economics Vol.5,No.1,pp.47-66 2011.6
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| 11. | EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility (Peer-reviewed) Masaaki Kijima, Katsumasa Nishide, Atsuyuki Ohyama JOURNAL OF ECONOMIC DYNAMICS & CONTROL Vol.35,No.5,pp.746-763 2011.5
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| 12. | OPTIMAL TIME TO EXCHANGE TWO BASKETS (Peer-reviewed) Katsumasa Nishide, L. C. G. Rogers JOURNAL OF APPLIED PROBABILITY Vol.48,No.1,pp.21-30 2011.3
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| 13. | Compensation measures for alliance formation: A real options analysis (Peer-reviewed) Katsumasa Nishide, Yuan Tian ECONOMIC MODELLING Vol.28,No.1-2,pp.219-228 2011.1
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| 14. | Economic models for the environmental Kuznets curve: A survey (Peer-reviewed) Masaaki Kijima, Katsumasa Nishide, Atsuyuki Ohyama JOURNAL OF ECONOMIC DYNAMICS & CONTROL Vol.34,No.7,pp.1187-1201 2010.7
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| 15. | EQUILIBRIUM PRICING OF CONTINGENT CLAIMS IN TRADABLE PERMIT MARKETS (Peer-reviewed) Masaaki Kijima, Akira Maeda, Katsumasa Nishide JOURNAL OF FUTURES MARKETS Vol.30,No.6,pp.559-589 2010.6
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| 16. | Regime uncertainty and optimal investment timing (Peer-reviewed) Katsumasa Nishide, Ernesto Kazuhiro Nomi JOURNAL OF ECONOMIC DYNAMICS & CONTROL Vol.33,No.10,pp.1796-1807 2009.10
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| 17. | Using real options theory to a country's environmental policy: Considering the economic size and growth (Peer-reviewed) Katsumasa Nishide, Atsuyuki Ohyama Operational Research Vol.9,No.3,pp.229-250 2009.9
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| 18. | The Impact of Momentum Trading on the Market Price and Trades (Peer-reviewed) Katsumasa Nishide Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering pp.135-159 2009.6
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| 19. | Estimation of the Local Volatility of Discount Bonds Using Market Quates for Coupon-Bond Options (jointly worked) (Peer-reviewed) Hajime Fujiwara, Masaaki Kijima, Katsumasa Nishide Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering pp.49-69 2009.6
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| 20. | Insider trading with correlation between liquidity trading and a public signal (Peer-reviewed) Katsumasa Nishide QUANTITATIVE FINANCE Vol.9,No.3,pp.297-304 2009
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| 21. | Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price (Peer-reviewed) Katsumasa Nishide Kyoto Economic Review Vol.74,No.1,pp.143-161 2005.6
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Misc.
| 1. | Commentary
Katsumasa Nishide Securities Analysts Journal Vol.59,No.8,pp.2-5 2021.8
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| 2. | Commentary
Katsumasa Nishide Securities Analysts Journal Vol.58,No.12,pp.2-5 2020.12
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| 3. | The Japanese Financial Market Reaction to COVID-19
Katsumasa Nishide Securities Analyst Journal Vol.58,No.10,pp.53-57 2020.10
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| 4. | The Definition and Identification of High-Frequency Traders
Katsumasa Nishide Securities Analysts Journal Vol.56,No.10,pp.53-56 2018.10
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| 5. | A Comment on the Literature of High Frequency Trading
Katsumasa Nishide Securities Analyst Journal Vol.54,No.11,pp.53-58 2016.11
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| 6. | 相互取引に伴う債権債務の依存構造を考慮した金融機関の与信評価について
西出 勝正 日本銀行ディスカッションペーパーシリーズ 2015.6
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| 7. | CVA評価における誤方向リスクについて
西出 勝正 年金ストラテジー 2013.4
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| 8. | 金融市場における取引規制について
西出 勝正 季刊 個人金融 Vol.6,No.3,pp.49-56 2011.10 |
| 9. | CATボンドのリスクプレミアム評価について
西出 勝正 年金ストラテジー 2011.6
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| 10. | 市場淘汰仮説について
西出 勝正 経済論叢 Vol.185,No.1,pp.103-112 2011.1
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| 11. | リサンプリング法を用いたポートフォリオの最適化
西出 勝正 年金ストラテジー 2005.1
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| 12. | 取引不存在定理についての考察 (Peer-reviewed) 西出 勝正 経済論叢 Vol.174,No.1,pp.50-66 2004.7
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| 13. | 証券取引所における売買形態について
西出 勝正 ニッセイ基礎研REPORT 2004.6
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| 14. | 物価連動債について
西出 勝正 ニッセイ基礎研REPORT 2004.3
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| 15. | フィルタリングと変分法を用いたKyleモデルの分析
西出 勝正 経済論叢別冊 調査と研究 Vol.27,No.27,pp.53-58 2003.10
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Presentations
| No. | Name of subject/Conference Name | Year | Site |
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| 1. | Strategic Liquidity Provision in High-Frequency Trading(International Society for Advancement of Financial Economics Conference (ISAFE 2022)) |
Holding date :
2022.12.5
- 2022.12.6 Presentation date : 2022.12.5 |
Ho Chi Minh University of Banking, Ho Chi Minh City |
| 2. | A Dynamic Model of Repositioning with a Markov-Switching Regime(Nippon Finance Association the 4th Fall Conference) |
Holding date :
2022.11.5 Presentation date : 2022.11.5 |
Nagoya University of Commerce and Business, Nagoya |
| 3. | Strategic Liquidity Provision in High Frequency Trading(The 2022 Fall National Conference of Operations Research Society of Japan) |
Holding date :
2022.9.13
- 2022.9.14 Presentation date : 2022.9.14 |
Toki Messe Niigata Convention Center, Niigata |
| 4. | A Dynamic Model of Repositioning with a Markov-Switching Regime(RIMS Workshop on Financial Modeling and Analysis (FMA 2022)) |
Holding date :
2022.9.7
- 2022.9.9 Presentation date : 2022.9.7 |
Doshisha University, Kyoto |
| 5. | Competition in High Frequency Market Making(Workshop on Financial Market Microstructure) |
Holding date :
2022.3.8 Presentation date : 2022.3.8 |
Osaka University, Osaka |
| 6. | Strategic Liquidity Provision in High Frequency Trading(The 2020 Spring Semiannual Meeting of Japanese Economic Association) |
Holding date :
2020.5.30
- 2020.5.31 Presentation date : 2020.5.30 |
Online conference |
| 7. | Strategic Liquidity Provision in High Frequency Trading(Quantitative Methods in Finance Conference) |
Holding date :
2019.12.17
- 2019.12.20 Presentation date : 2019.12.17 |
Hilton Hotel, Sydney |
| 8. | Strategic Liquidity Provision in High Frequency Trading(Nippon Finance Association the 1st Fall Conference) |
Holding date :
2019.11.30 Presentation date : 2019.11.30 |
Osaka University, Osaka |
| 9. | Strategic Liquidity Provision in High Frequency Trading(International Conference on Science, Social Science and Economics (IC3SE)) |
Holding date :
2019.11.21
- 2019.11.22 Presentation date : 2019.11.21 |
Baiyoke Boutique Hotel, Bangkok |
| 10. | Hostile Takeovers or Friendly Mergers?: A Real Options Analysis(2019 INFOMRS Annual Meeting) |
Holding date :
2019.10.20
- 2019.10.23 Presentation date : 2019.10.20 |
Washington State Convention Center, Seattle |
| 11. | Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives(2019 China International Risk Forum) |
Holding date :
2019.7.19
- 2019.7.21 Presentation date : 2019.7.19 |
School of Finance, Nankai University, Tianjin |
| 12. | Brokered versus Dealer Markets: Impact of Proprietary Trading with Transaction Fees(Australia and New Zealand Business and Social Science Research Conference 2018) |
Holding date :
2018.12.1
- 2018.12.2 Presentation date : 2018.12.1 |
Rydges Auckland, Auckland |
| 13. | Optimal Initial Capital Induced by the Optimal Certainty Equivalent(RIMS Workshop on Financial Modeling and Analysis (FMA 2018)) |
Holding date :
2018.11.26
- 2018.11.28 Presentation date : 2018.11.26 |
Kyoto University, Kyoto |
| 14. | Default Contagion and Systemic Risk in the Presence of Credit Default Swaps(4th International Conference On Social Sciences Economics and Finance) |
Holding date :
2018.8.3
- 2018.8.4 Presentation date : 2018.8.3 |
University of Quebec at Montreal, Montreal |
| 15. | Optimal Initial Capital Induced by the Optimal Certainty Equivalent(The 2018 Spring Semiannual Meeting of Japanese Economic Association) |
Holding date :
2018.6.9
- 2018.6.10 Presentation date : 2018.6.9 |
University of Hyogo, Kobe |
| 16. | Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees(Annual International Conference on Macroeconomic Analysis and International Finance 2018) |
Holding date :
2018.5.24
- 2018.5.26 Presentation date : 2018.5.24 |
University of Crete, Rethymno |
| 17. | Default Contagion and Systemic Risk in the Presence of Credit Default Swaps(World Business and Social Sciences Research Conference) |
Holding date :
2017.12.18
- 2017.12.19 Presentation date : 2017.12.18 |
Ambassador Hotel, Bangkok |
| 18. | Default Contagion and Systemic Risk in the Presence of Credit Default Swaps(Mathematics of Risk MATRIX 2017 Conference) |
Holding date :
2017.11.27
- 2017.12.1 Presentation date : 2017.11.27 |
University of Melbourne Creswick Campus, Creswick |
| 19. | Default Contagion and Systemic Risk in the Presence of Credit Default Swap(8th Global Business and Finance Research Conference) |
Holding date :
2017.10.26
- 2017.10.28 Presentation date : 2017.10.27 |
Howard Civil Service International House, Taipei |
| 20. | Money Supply, Asset Prices, and Interest Rates within a General Equilibrium Framework(International Academic Conference on Management, Economics and Marketing in Vienna 2017) |
Holding date :
2017.8.18
- 2017.8.19 Presentation date : 2017.8.18 |
Fourside Hotel City Center Vienna, Vienna |
| 21. | Default Contagion and Systemic Risk in the Presence of Credit Default Swaps(The 2017 Spring Semiannual Meeting of Japanese Economic Association) |
Holding date :
2017.6.24
- 2017.6.25 Presentation date : 2017.6.24 |
Ritsumeikan University, Kusatsu |
| 22. | Default Contagion and Systemic Risk in the Presence of Credit Default Swaps(The Fifth Asian Quantitative Finance Conference) |
Holding date :
2017.4.24
- 2017.4.26 Presentation date : 2017.4.24 |
Korea Science and Technology Center, Seoul |
| 23. | Pricing of Credit Default Swaps with CIR-Type Default Intensities(The 2017 Spring National Conference of Operations Research Society of Japan) |
Holding date :
2017.3.15
- 2017.3.17 Presentation date : 2017.3.15 |
Okinawa Prefecture Municipal Center, Naha |
| 24. | Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees(International Conference on Business, Finance and Economics) |
Holding date :
2017.3.10
- 2017.3.12 Presentation date : 2017.3.10 |
Crowne Plaza Changi Airport, Singapore |
| 25. | Default Contagion and Systemic Risk in the Presence of Credit Default Swap(Winter Workshop on Operations Research, Finance, and Mathematics) |
Holding date :
2017.2.20
- 2017.2.24 Presentation date : 2017.2.20 |
Jozankei View Hotel, Sapporo |
| 26. | Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework(RIMS Workshop on Financial Modeling and Analysis (FMA 2016)) |
Holding date :
2016.11.28
- 2016.11.30 Presentation date : 2016.11.28 |
Research Institute for Mathematical Sciences, Kyoto University, Kyoto |
| 27. | Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework(6th Global Business and Finance Research Conference) |
Holding date :
2016.10.27
- 2016.10.29 Presentation date : 2016.10.27 |
Howard Civil Service International House, Taipei |
| 28. | Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework(The 2016 Fall National Conference of Operations Research Society of Japan) |
Holding date :
2016.9.14
- 2016.9.16 Presentation date : 2016.9.14 |
Yamagata University, Yamagata |
| 29. | Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework(Ninth World Congress of Bachelier Finance Society) |
Holding date :
2016.7.15
- 2016.7.19 Presentation date : 2016.7.15 |
Crowne Plaza Times Square Hotel, New York |
| 30. | Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees(AJRC and HIAS Joint Conference on Recent Issues in Finance and Macroeconomics) |
Holding date :
2016.3.21
- 2016.3.22 Presentation date : 2016.3.21 |
Australian National University, Canberra |
| 31. | Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees(The 2015 Fall National Conference of Operations Research Society of Japan) |
Holding date :
2015.9.9
- 2015.9.11 Presentation date : 2015.9.10 |
Kyushu Institute of Technology, Kitakyushu |
| 32. | Heston-Type Stochastic Volatility with a Markov Switching Regime(University of Michigan Math Seminar) |
Holding date :
2015.8.26 Presentation date : 2015.8.26 |
Department of Mathematics, Univesity of Michigan, Ann Arbor |
| 33. | Money Supply, Asset Prices, and Interest Rates within a General Equilibrium Framework(ORJS Summer School in Hokkaido) |
Holding date :
2015.8.5
- 2015.8.6 Presentation date : 2015.8.5 |
Wakkanai Sogo Bunka Center, Wakkanai |
| 34. | Heston-Type Stochastic Volatility with a Markov Switching Regime(The 27th European Conference on Operational Research) |
Holding date :
2015.7.12
- 2015.7.15 Presentation date : 2015.7.12 |
University of Strathclyde, Glasgow |
| 35. | Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees(The 7th International IFABS Conference) |
Holding date :
2015.6.27
- 2015.6.29 Presentation date : 2015.6.27 |
Zhejiang University, Hangzhou |
| 36. | Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees(The 2015 Spring Semiannual Meeting of Japanese Economic Association) |
Holding date :
2015.5.23
- 2015.5.24 Presentation date : 2015.5.23 |
Niigata University, Niigata |
Research Projects
| No. | Research subject | Research item(Awarding organization, System name) | Year |
|---|---|---|---|
| 1. | 取引所間の競争や新たな金融サービスが金融市場に与える影響の理論的考察
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基盤研究(C)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 基盤研究(C) ) |
2023.4 - 2026.3 |
| 2. | Mathematical System of Tourism Science and Its Validity
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Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2020.4 - 2025.3 |
| 3. | The Effect of High Frequency Trading on the Welfare of Participants in Financial Markets
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) ) |
2020.4 - 2023.3 |
| 4. | Risk Management of Reinsurance Networks and Bailout in Insurance System
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Grant-in-Aid for Scientific Research (B)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B) ) |
2018.4 - 2021.3 |
| 5. | Theoretical Study on the Development of Advanced Financial Technologies
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) ) |
2017.4 - 2020.3 |
| 6. | Evaluation method for the investment in infrastructure business
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( Awarding organization: Shimizu Corporation System name: Joint Research(Commissioned research from business sector) ) |
2017.4 - 2018.3 |
| 7. | 派生証券の証券持合い構造が金融市場の脆弱性に与える影響に関する研究
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( Awarding organization: 石井記念証券研究振興財団 System name: 共同研究（出資金による受託研究） ) |
2016.10 - 2018.3 |
| 8. | The analysis of the effect of regime uncertainty on financial markets
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) ) |
2014.4 - 2017.3 |
| 9. | Analysis of heterogeneous agents in financial markets
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Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) ) |
2011 - 2013 |
| 10. | quantitative analysis of financial markets
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( System name: International Joint Research Projects ) |
2003.4 - |
