Makoto Shimoshimizu / 下清水 慎
Last updated: 20 September, 2025
Assistant Professor / 助教
Faculty of Science and Technology / 経営システム工学科
Department of Industrial and Systems Engineering / 創域理工学部
Tokyo University of Science / 東京理科大学
Access: 278-8510 Japan (Noda Campus)
Click here for my cv.
Best presentation award for young researchers (left) and JAFEE young scientist best paper award 2021 (right)
A Beautiful Mind: Cool Heads and Warm Hearts
I am an assistant professor at Tokyo University of Science. My main research interests are in quantitative / mathematical finance (mainly on market microstructure and execution problems), applications of stochastic control, applications of game theoretical analysis, financial economics, energy finance and machine learning and its application.
My first research project was concerned with optimal / equilibrium execution problems [1, 2, 3, 4, 6]. The execution problem is a one for large traders (e.g., institutional traders, pension funds, or insurance companies) to determine how to trade (submit) large orders to mitigate the liquidity risk. My research in this arena has focused on the application of stochastic control techniques and game-theoretical analysis to pose and solve a variety of execution problems.
When I got the position of assistant professor at Graduate School of Management, Tokyo Metropolitan University, I noticed that my research result may be applicable to the theory of decision under Knightian uncertainty. In [13], we observe a fluctuation of (detrended) brokerage commissions for Canada, Japan, the U. K., and the U. S., which leads to the analysis of how Knightian uncertainty affect the brokerage commissions.
[1] Introduction to optimal execution. In Machine Learning Approaches in Financial Analytics, pp.3-50, Springer, Cham (2024). (Maglaras, L.A., Das, S., Tripathy, N., and Patnaik, S. (eds))
[2] (with M. Ohnishi) Optimal and equilibrium execution strategies with generalized price impact. Quantitative Finance 20 (2020), 1625-1644.
[3] (with M. Fukasawa and M. Ohnishi) Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders. International Journal of Theoretical and Applied Finance (2021), no. 5, 2150025.
[4] (with M. Ohnishi) Optimal pair-trade execution with generalized cross-impact. Asia-Pacific Financial Markets 29 (2022), 253-289.
[5] (with Z. Guo and M. Goto) リアルオプション法を用いた多段階IT投資に関する研究,リアルオプション研究 (Journal of Real Options and Strategy), 16 (2024), 1-19. (in Japanese. English title: A study on multi-stage IT investment using real options analysis)
[6] (with M. Ohnishi) Trade Execution games in a Markovian environment, Applied Mathematical Finance, 31 (2024), 239-277.
[7] (with Y. Kitamura, M. Goto and Y. Tian) American pandemic options: premiums and Greeks. Proceedings of Asian Conference of Management Science and Applications 2023 (2024), 290-304.
[8] (with Y. Kudo, M. Goto, M. Williams, N. Noguchi, S. Sasaki and A. Takai) An Option Pricing Framework for Valuation of Football Players: Transfer Offers and Sellouts. Proceedings of Asian Conference of Management Science and Applications 2023 (2024), 412-426.
[9] (with M. Shinji, M. Goto, M. Williams, N. Noguchi, S. Sasaki and A. Takai) Prediction model for Opta Index using football player performance data. Proceedings of Asian Conference of Management Science and Applications 2023 (2024), 427-443.
[10] (with M. Suzuki and M. Goto) Industry entry strategies by friendly M&A: Big leap or serial merger. Proceedings of Asian Conference of Management Science and Applications 2023 (2024), 355-372.
[11] (with Y. Kitamura, Y. Kudo, M. Goto) Total discounted cash flow with Poisson arrivals (under review)
[12] (with M. Suzuki and M. Goto) M & A strategies for industry entry under information assymmetry (under review)
[13] (with T. Ogawa and J. Sakamoto) Brokerage commissions in an uncertain stock market (under review)
2013 Apr-2017 Mar / School of Economics, Osaka University (B. A.)
Supervisor: Prof. Masamitsu Ohnishi
2017 Apr-2018 Mar / Graduate School of Economics, Osaka University (M. A.) (1-year graduation)
Supervisor: Prof. Masamitsu Ohnishi
with two Integrated Social and Science Sub-Major Programs offered by MMDS, Osaka University:
Mathematical and statistical finance course
Financial economics / engineering course
2018 Apr-2021 Mar / Graduate School of Economics, Osaka University (Ph. D.)
Supervisor: Prof. Masamitsu Ohnishi
with one Integrated Social and Science Sub-Major Programs offered by MMDS, Osaka University:
Statistical mathematics course
2019 Apr-2020 Sep / JSPS research fellow (DC2), Osaka University
2020 Oct-2023 Mar / Assistant Professor, Graduate School of Management, Tokyo Metropolitan University
2023 Apr-current / Assistant Professor, Department of Industrial and Systems Engineering, Tokyo University of Science
2025 Jun-current / Associate editor, Transactions of the Operations Research Society of Japan (In Japanese)
2025 Jun-current / Associate editor, Journal of the Operations Research Society of Japan
2024 Oct-current / Board member (in charge of conference), Japanese Association of Financial Econometrics and Engineering
[1] 2016 Mar / 平成27年度学部学生による自主研究奨励事業研究成果報告書(awarded as the best study from papers applied by students of Economics, Osaka University,(経済学部応募論文より最優秀研究に採択) ),Osaka University Independent Research Workshop
Title: A new approach to the gap: the gap as seen from history and behavioral economics (with A. Yoshimura)
Faculty Advisor: Prof. Masamitsu Ohnishi
[2] 2020 Aug / Best presentation award for young researchers, 53th JAFEE conference
Title: Optimal execution of pair trading with generalized price impacts (with M. Ohnishi)
[3] 2022 Mar / Selected as one of the featured papers for 25th anniversary of IJTAF, IJTAF
[4] 2022 Jun / JAFEE young scientist best paper award 2021, JAFEE
[1] Yuta Kudo / Research Presentation Award(研究発表奨励賞),JAROS 2023 Annual Conference
Title: An Option Pricing Framework for Valuation of Football Players: Transfer Offers and Sellouts (with M. Shimoshimizu, M. Goto, M. Williams, N. Noguchi, S. Sasaki, and A. Takai)
co-teaching with Prof. Makoto Goto
[2] Yuta Kudo / Student Presentation Award(学生優秀発表賞),ORSJ 2024 Autumn Conference
Title: A Real Options Framework for Evaluating Soccer Players with and without Contract Termination Clauses (with M. Shimoshimizu, M. Goto, M. Williams, N. Noguchi, S. Sasaki, and A. Takai)
co-teaching with Prof. Makoto Goto
[1] 2019 Apr - 2020 Sep / Grant-in-Aid for JSPS Fellows (Grant No: 19J10501)
[2] 2021 Apr - 2025 Mar / Grant-in-Aid for JSPS Early-Career Scientists (Grant No: 21K13325, 1-year extension)
[3] 2024 Apr - 2027 Mar / Grant-in-Aid for JSPS Early-Career Scientists (Grant No: 24K16400)
[1] 2024 Jan / Lecturer (for Study Group), Japan Center for Economic Research (JCER)
Title: Finance: Affine Model and Term Premium
[2] 2024 Apr / Lecturer (for Study Group), Tokyo Metropolitan University
Title: Study for Financial Data Science
[3] 2024 Jul - Aug / Lecturer (for Study Group), Japan Center for Economic Research (JCER)
Title: Term Premium
Operations Research Society of Japan (2018-)
Nippon Finance Association (2018-)
Japanese Association of Financial Econometrics and Engineering (2018-)
Japan Statistical Society (2022-)
Japanese Economic Association (2024-)
Informs (2024-)