Journal articles:
2026
"Does tick size influence high-frequency herding? Evidence from the Japanese equity market" (with Hongyu Zhu, Xijuan Xiao, and Qin Li), Pacific-Basin Finance Journal (forthcoming).
2024
2024
2022
2022
2020
2020
2019
"Overnight earnings announcements and preopening price discovery" (with Xijuan Xiao), Japan and the World Economy 40, Article 101249.
“Realized volatility and tick size: a market microstructure approach” (with Xijuan Xiao), International Review of Economics and Finance 89, 410-426.
"Order submission, information asymmetry, and tick size," (with Hongyu Zhu), Pacific-Basin Finance Journal 74, Article 101801.
“Predictor choice, investor types, and the price impact of trades on the Tokyo Stock Exchange,” Computational Economics 59, 325-356.
“Price discovery, order submission, and tick size during preopen period,” (with Xijuan Xiao) Pacific-Basin Finance Journal 63, Article 101428.
“Limit order submission risks, order choice, and tick size,” Pacific-Basin Finance Journal 59, Article 101261.
“Dynamic predictor selection and order splitting in a limit order market,” Macroeconomic Dynamics 23, 1757-1792.
2016
2014
2013
2012a
“Trading profitability from Learning and adaptation on the Tokyo Stock Exchange,” Quantitative Finance 16, 969-996.
“An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange,” Journal of Empirical Finance 29, 369-383.
“Strategy switching in the Japanese stock market,” (with Hideaki Hirata) Journal of Economic Dynamics and Control 37, 2010-2022.
“Intraday technical analysis of individual stocks on the Tokyo Stock Exchange,” Journal of Banking and Finance 36, 3033-3047.
2012b
“Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market,” (with Hideaki Hirata), Pacific-Basin Finance Journal 20, 723-744.
2011a
“Order aggressiveness, pre-trade transparency, and long memory in an order-driven market,” Journal of Economic Dynamics and Control 35, 1938-1963.
2010a
“Order-splitting and long-memory in an order-driven market,” (with Blake LeBaron), European Physical Journal B 75, 51-57. (SCI, Impact factor: 1.223)
2010b
“Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint,” Physica A 389, 1208-1214. (SCI, Impact factor: 1.785)
2008
“The Impact of Imitation on Long-Memory in an Order-Driven Market,” (with Blake LeBaron), Eastern Economic Journal 34, 4 504-517. (Awarded Honorable mention in the 2007-08 Eckstein Prize competition for the best article in the EEJ).
2007
2006
“Long-Memory in an Order-Driven Market,” (with Blake LeBaron), Physica A 383, 85-89. (SCI, Impact factor: 1.785)
“What Causes Persistence of Stock Return Volatility? One Possible Explanation with an Artificial Stock Market,” New Mathematics and Natural Computation 2(3), 261-270.