Book Chapters

[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 K. Ito, M. Goto and R. Takashima) How does an environmental transition impact the decisions on investment and policymaking? A multi-stage optimization framework. In  Stochastic Analysis and Control in Energy, Environmental and Resource Management Applications, Academic Press (2026, in press). (H. Yoshioka and M. Tsujimura (eds))

Peer-reviewed Papers

[3] (with M. Ohnishi) Optimal and equilibrium execution strategies with generalized price impact. Quantitative Finance 20 (2020), 1625-1644.

[4] (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.

[5] (with M. Ohnishi) Optimal pair-trade execution with generalized cross-impact. Asia-Pacific Financial Markets 29 (2022), 253-289.

[6] (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)

[7] (with M. Ohnishi) Trade execution games in a Markovian environment, Applied Mathematical Finance, 31 (2024), 239-277.

[8] (with M. Suzuki and M. Goto) M&A strategies for industry entry: Firm sizes and market concentration, European Financial Management, available online.

[9] (with Y. Kitamura, Y. Kudo, and M. Goto) Closed-form valuation of discounted cash flows with finite Poisson arrivals in a finite horizon, Risks, 14(4), 90.

Working Papers

[10] (with T. Ogawa and J. Sakamoto) Brokerage commissions in an uncertain stock market (under review)

[11] (with M. Fukasawa and M. Ohnishi) Continuous-time optimal execution and utility-based statistical arbitrage in a Markovian environment (under review)

[12] (with K. Ito and R. Takashima) Optimal fuel procurement in the renewable transition with price volatility and policy targets (under review)

[13] (with K. Takino) Do default funds solve counterparty risks? The role of default funds in the presence of default penalty (under review)

Peer-reviewed Proceedings

[14] (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.

[15] (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.

[16] (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.

[17] (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.

Education

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:

1. Mathematical and statistical finance course

2. 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:

1. Statistical mathematics course

Employment

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-2026 Mar / Assistant Professor, Department of Industrial and Systems Engineering, Tokyo University of Science

2026 Apr-current / Assistant Professor, Faculty of Information Science and Technology, Tokyo University of Science

2026 Apr-current / Assistant Professor, Department of Industrial and Systems Engineering, Tokyo University of Science [also affiliated]

Editorial Services

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

Academic Services

2024 Oct-current / Board member (in charge of conference), Japanese Association of Financial Econometrics and Engineering（日本金融証券・計量工学学会 大会担当理事）

2026 Jan-current / Stochastic Analysis, Statistics of Random Processes and Optimization, Organising & Programme Committee

2026 Mar-current / Editorial Board, Communications of the Operations Research Society of Japan (In Japanese)（日本オペレーションズ・リサーチ学会 機関誌編集委員）

Awards

[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 

1. • 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 

1. • 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 

1. • Title: Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders (with M. Fukasawa and  M. Ohnishi)

[4] 2022 Jun / JAFEE young scientist best paper award 2021, JAFEE 

1. • Title: Optimal pair-trade execution with generalized cross-impact (with M. Ohnishi)

Awards (Students)

[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

Grant 

[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)

Social Activities

[1] 2024 Jan / Lecturer (for Study Group), Japan Center for Economic Research (JCER)

1. • Title: Finance: Affine Model and Term Premium

[2] 2024 Apr / Lecturer (for Study Group), Tokyo Metropolitan University

1. • Title: Study for Financial Data Science

[3] 2024 Jul - Aug / Lecturer (for Study Group), Japan Center for Economic Research (JCER)

1. • Title: Term Premium

Professional Affiliations

• 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-)