Journal articles:
2024
2024
2022
2022
"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.
2020
“Price discovery, order submission, and tick size during preopen period,” (with Xijuan Xiao) Pacific-Basin Finance Journal 63, Article 101428.
2020
“Limit order submission risks, order choice, and tick size,” Pacific-Basin Finance Journal 59, Article 101261.
2019
“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.