Kitamura Yoshihiro 北村能寛

… Alternative Names

KITAMURA Yoshihiro 北村能寛

Less

Researcher Number	90409566
Other IDs
External Links
Affiliation (Current)	2025: 早稲田大学, 社会科学総合学術院, 教授
Affiliation (based on the past Project Information) *help	2019 – 2024: 早稲田大学, 社会科学総合学術院, 教授 2013 – 2017: 早稲田大学, 社会科学総合学術院, 教授 2011 – 2012: 早稲田大学, 社会科学総合学術院, 准教授 2008 – 2010: University of Toyama, 経済学部, 准教授 2006 – 2007: 富山大学, 経済学部, 講師
Review Section/Research Field	Principal Investigator Public finance/Monetary economics / Basic Section 07060:Money and finance-related / Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related / Basic Section 07030:Economic statistics-related / Medium-sized Section 7:Economics, business administration, and related fields / Money/ Finance Except Principal Investigator Applied economics
Keywords	Principal Investigator 為替レート / マイクロストラクチャー / 指値注文 / 外国為替市場 / 高頻度データー / LSTM / オーダー・フロー / 市場期待 / 高頻度データ / 市場効率性 … More / 指値注文情報 / 敵対的生成ネットワーク / 金融資産価格変動予測 / 指値注文板 / 機械学習 / 注文板情報 / Long Short-Term Memory / 為替レート予測 / 深層学習 / 人工知能取引 / order flow / improving order / 成行注文 / Low latency trade (LLT) / 価格発見 / 情報トレーダー / 情報シェア / 情報効率性 / 瞬時的価格変化事前予測 / VPIN / 国際情報交換 / オーダーインバランス / ファイナンス / 市場参加者の異質性 / セグメント / 直物為替市場 … More Except Principal Investigator Intermediate Regime / Floating Rate Regime / Fixed Rate Regime / Welfare Analysis / Exchange Rate Regime / 管理フロート制 / 中間的制度 / 変動制 / 固定制 / 厚生分析 / 為替レート制度 Less

敵対的生成ネットワークを応用した価格発見過程の研究Principal Investigator
- Principal Investigator
  
  北村能寛
- Project Period (FY)
  2023 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
  Basic Section 07030:Economic statistics-related
  Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related
- Research Institution
  Waseda University
人工知能取引の影響を考慮した、価格発見過程の再検討Principal Investigator
- Principal Investigator
  
  北村能寛
- Project Period (FY)
  2019 – 2024
- Research Category
  
  Grant-in-Aid for Challenging Research (Exploratory)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Waseda University
Leveraging deep learning in the practical evaluation of finance theoryPrincipal Investigator
- Principal Investigator
  
  Kitamura Yoshihiro
- Project Period (FY)
  2019 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Waseda University
Microstructure approach to the efficiency in the FX marketPrincipal Investigator
- Principal Investigator
  
  Kitamura Yoshihiro
- Project Period (FY)
  2015 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Waseda University
Estimation of market expectation: A study in foreign exchange marketsPrincipal Investigator
- Principal Investigator
  
  KITAMURA Yosihihiro
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Waseda University
Theoretical and empirical approaches to highly informational symmetric foreign exchange marketsPrincipal Investigator
- Principal Investigator
  
  KITAMURA Yoshihiro
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Waseda University
  University of Toyama
A role of five segments in the yen/dollar foreign spot exchange rate marketPrincipal Investigator
- Principal Investigator
  
  KITAMURA Yoshihiro
- Project Period (FY)
  2007 – 2008
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  University of Toyama
Welfare Analyzes of Exchange Rate Regimes
- Principal Investigator
  
  AKIBA Hiroya
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Applied economics
- Research Institution
  Waseda University

All 2023 2022 2021 2020 2019 2017 2016 2015 2014 2012 2011 2010 2009 2008 2007

All Journal Article Presentation

[Journal Article] LSTM forecasting foreign exchange rates using limit order book2022
- Author(s)
  Ito Katsuki、Iima Hitoshi、Kitamura Yoshihiro
- Journal Title
  
  Finance Research Letters
  
  Volume: 47 Pages: 102517-102517
- DOI
  10.1016/j.frl.2021.102517
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K21704, KAKENHI-PROJECT-19H01508
[Journal Article] Estimating Systematic and Partial Exchange Rate Exposures: The Case of Japanese Firms2022
- Author(s)
  Kim Jae H.、Kitamura Yoshihiro
- Journal Title
  
  International Journal of Empirical Economics
  
  Volume: 01 Issue: 01 Pages: 1-31
- DOI
  10.1142/s2810943022500044
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K21704, KAKENHI-PROJECT-19H01508
[Journal Article] リカレントニューラルネットワークによる為替レートの予測2020
- Author(s)
  伊藤克輝飯間等北村能寛
- Journal Title
  
  第82回全国大会講演論文集
  
  Volume: 1 Pages: 287-288
- NAID
  170000182331
- Open Access
- Data Source
  KAKENHI-PROJECT-19H01508
[Journal Article] Price Discovery via Limit Order in FX Market2020
- Author(s)
  Kitamura Yoshihiro
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: NA Pages: 140-140
- DOI
  10.2139/ssrn.3740392
- Open Access
- Data Source
  KAKENHI-PROJECT-19K21704, KAKENHI-PROJECT-19H01508
[Journal Article] A lesson from the four recent large public Japanese FX interventions2020
- Author(s)
  Kitamura Yoshihiro
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: 57 Pages: 101087-101087
- DOI
  10.1016/j.jjie.2020.101087
- NAID
  210000186541
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K21704, KAKENHI-PROJECT-19H01508
[Journal Article] Simple measures of market efficiency: A study in foreign exchange markets2017
- Author(s)
  Kitamura, Y.
- Journal Title
  
  Japan and the World Economy
  
  Volume: 41 Pages: 1-16
- DOI
  10.1016/j.japwor.2016.11.001
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K03558
[Journal Article] Predicting a flash crash in the yen/dollar foreign exchange market2017
- Author(s)
  Kitamura, Yoshihiro
- Journal Title
  
  Applied Economics Letters
  
  Volume: 14(4) Issue: 14 Pages: 987990-987990
- DOI
  10.1080/13504851.2016.1245831
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03558
[Journal Article] A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data2017
- Author(s)
  Kitamura, Yoshihiro
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 75 Pages: 3246-3246
- DOI
  10.1016/j.jimonfin.2017.04.005
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03558
[Journal Article] The probability of informed trading measured with price impact, price reversal, and volatility2016
- Author(s)
  Yoshihiro Kitamura
- Journal Title
  
  Journal of International Financial Markets, Institutions and Money
  
  Volume: 42 Pages: 77-90
- DOI
  10.1016/j.intfin.2016.02.001
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K03558
[Journal Article] Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention2016
- Author(s)
  Yoshihiro Kitamura
- Journal Title
  
  Research in International Business and Finance
  
  Volume: 36 Pages: 436-446
- DOI
  10.1016/j.ribaf.2015.10.007
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K03558
[Journal Article] Effect of exchange rate return on volatility spill-over across trading regions2012
- Author(s)
  Don U.A. Galagederaa, Yoshihiro Kitamura
- Journal Title
  
  Japan and the World Economy
  
  Volume: 24(4) Issue: 4 Pages: 254-265
- DOI
  10.1016/j.japwor.2012.07.003
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24730277
[Journal Article] Informational linkages among the major currencies in the EBS market : evidence from the spot rates of the Euro2012
- Author(s)
  Kitamura, Y.
- Journal Title
  
  Yen and Swiss franc Japan and the World Economy
  
  Volume: 24(1) Pages: 17-26
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] Informational linkages among the major currencies in the EBS market : evidence from the spot rates of the Euro, Yen and Swiss franc2012
- Author(s)
  Kitamura, Y.
- Journal Title
  
  Japan and the World Economy
  
  Volume: 24/1 Pages: 17-26
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] The Impact of Order Flow on the Foreign Exchange Market : A Copula Approach2011
- Author(s)
  Kitamura Yoshihiro
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 18(1) Pages: 1-31
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] The impact of order flow on the foreign exchange market : A copula approach2011
- Author(s)
  Kitamura, Y.
- Journal Title
  
  Asia-Pacific Financial Markets(Springer)
  
  Volume: 18(1) Pages: 1-31
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] The impact of order flow on the foreign exchange market : A copula approach2011
- Author(s)
  Kitamura, Y.
- Journal Title
  
  Asia-Pacific Pinancial Markets
  
  Volume: 18/1 Issue: 1 Pages: 1-31
- DOI
  10.1007/s10690-010-9118-0
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets2010
- Author(s)
  Kitamura, Y.
- Journal Title
  
  Research in International Business and Finance
  
  Volume: 24(2) Pages: 158-171
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets2010
- Author(s)
  Kitamura Yoshihiro
- Journal Title
  
  Research in International Business and Finance 24(2)
  
  Pages: 158-171
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21730251
[Journal Article] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate2009
- Author(s)
  Iwatsubo, K., Kitamura, Y.
- Journal Title
  
  Applied Financial Economics forthcoming
  
  Pages: 1-13
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730216
[Journal Article] 外国為替市場におけるボラティリティ波及効果に関する-考察2008
- Author(s)
  北村能寛
- Journal Title
  
  早大現政研研究叢書「金融・通貨制度の経済分析」 30
  
  Pages: 153-178
- Data Source
  KAKENHI-PROJECT-19730216
[Journal Article] 外国為替市場におけるボラティリティ波及効果に関する一考察、「金融・通貨制度の経済分析」2008
- Author(s)
  北村能寛
- Journal Title
  
  早稲田大学現代政治経済研叢書 30号
  
  Pages: 153-178
- Data Source
  KAKENHI-PROJECT-19730216
[Journal Article] Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate2008
- Author(s)
  Iwatsubo, K., Kitamura, Y.
- Journal Title
  
  Applied Financial Economics DOI 10.1080/09603100802389015(in print)
  
  Pages: 1-13
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] 敵対的生成ネットワークによる為替レートの予測2023
- Author(s)
  Peng Kexin，飯間等，北村能寛
- Organizer
  第67回システム制御情報学会
- Data Source
  KAKENHI-PROJECT-23K25536
[Presentation] The price discovery of the Renminbi/USD market: two spot and three forward rate2023
- Author(s)
  Yoshihiro Kitamura
- Organizer
  Western Economic Association International
- Data Source
  KAKENHI-PROJECT-23K25536
[Presentation] The price discovery of the Renminbi/USD market: two spot and three forward rates2023
- Author(s)
  Yoshihiro Kitamura
- Organizer
  Western Economic Association International
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K21704
[Presentation] Price discovery of limit orders in the FX market2022
- Author(s)
  Yoshihiro Kitamura
- Organizer
  Vietnam Symposium in Banking and Finance
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H01508
[Presentation] Price discovery of limit orders in the FX market2022
- Author(s)
  Yoshihiro Kitamura
- Organizer
  2022 Vietnam Symposium in Banking and Finance
- Data Source
  KAKENHI-PROJECT-19K21704
[Presentation] Price discovery of limit order in FX market2021
- Author(s)
  北村能寛
- Organizer
  日本ファイナンス学会秋季研究大会
- Data Source
  KAKENHI-PROJECT-19H01508
[Presentation] リカレントニューラルネットワークによる為替レートの予測2020
- Author(s)
  伊藤克輝　飯間等　北村能寛
- Organizer
  情報処理学会第82回全国大会
- Data Source
  KAKENHI-PROJECT-19K21704
[Presentation] リカレントニューラルネットワークによる為替レートの予測2020
- Author(s)
  伊藤克輝飯間等北村能寛
- Organizer
  情報処理学会
- Data Source
  KAKENHI-PROJECT-19H01508
[Presentation] 指値注文を介した為替レート発見過程2019
- Author(s)
  北村能寛
- Organizer
  日本ファイナンス学会第1回秋季研究大会
- Data Source
  KAKENHI-PROJECT-19K21704
[Presentation] Price discovery via limit order in FX market2019
- Author(s)
  Yoshihiro Kitamura
- Organizer
  4th Annual International Conference on High Frequency Exchange Rate Dynamics: Econophysics and Econometric Analysis Based on the EBS data sets
- Data Source
  KAKENHI-PROJECT-19K21704
[Presentation] Reconsideration for the day-of-the-week effect: A study in foreign exchange markets2017
- Author(s)
  Kim, Jea H. Kitamura Yoshihiro
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-15K03558
[Presentation] New Assessment of the Japanese Foreign Exchange Intervention: A Stopping Time Approach2015
- Author(s)
  Yoshihiro Kitamura
- Organizer
  Western Economic Association International
- Place of Presentation
  Singapore
- Year and Date
  2015-12-01
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03558
[Presentation] Simple measures of market efficiency: A study in foreign exchange markets2015
- Author(s)
  Yoshihiro Kitamura
- Organizer
  The 13th INFINITI Conference on International Finance
- Place of Presentation
  Slovenia
- Year and Date
  2015-06-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03558
[Presentation] Simple Measures of Market Efficiency: A Study in Foreign Exchange Markets2014
- Author(s)
  Yoshihiro Kitamura
- Organizer
  Auckland Finance Meeting
- Place of Presentation
  Auckland, New Zealand
- Year and Date
  2014-12-19
- Data Source
  KAKENHI-PROJECT-24730277
[Presentation] Intraday Liquidity in Foreign Exchange Markets: An Application of the Markov-switching Model2014
- Author(s)
  Yoshihiro Kitamura
- Organizer
  Vietnam International Conference in Finance
- Place of Presentation
  Hanoi, Vietnam
- Year and Date
  2014-06-05
- Data Source
  KAKENHI-PROJECT-24730277
[Presentation] A microstructural effect of Japanese official intervention in the yen/dollar foreign exchange marke2011
- Author(s)
  松田慎一, 秋葉弘哉, 佐藤綾野, 北村能寛
- Organizer
  日本経済学会
- Place of Presentation
  熊本学園大学(熊本県)
- Year and Date
  2011-05-21
- Data Source
  KAKENHI-PROJECT-21730251
[Presentation] Market expectation and dispersion in foreign exchange markets : A new approach2009
- Author(s)
  Kitamura Yoshihiro
- Organizer
  Australasian Finance & Banking Conference
- Place of Presentation
  Shangri-La Hotel Sydney Australia
- Year and Date
  2009-12-18
- Data Source
  KAKENHI-PROJECT-21730251
[Presentation] Market expectation and dispersion in foreign exchange markets : A new approach2009
- Author(s)
  Kitamura, Y.
- Organizer
  Australasian Finance & Banking Conference
- Place of Presentation
  Australia(Sydney)
- Data Source
  KAKENHI-PROJECT-21730251
[Presentation] Liquidity, Volume and Informational Efficiency : Evidence from High-Frequency FX Data2008
- Author(s)
  岩壷健太郎, 北村能寛
- Organizer
  日本金融学会
- Place of Presentation
  広島大学
- Year and Date
  2008-10-13
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] The impact of order flow : A copula approach2008
- Author(s)
  Kitamura, Y.
- Organizer
  European Economic Association
- Place of Presentation
  Bocconi大学(イタリア)
- Year and Date
  2008-08-30
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] Liquidity, Volume and Informational Efficiency: Evidence from High-Frequency FX Data2008
- Author(s)
  岩壷健太郎, 北村能寛
- Organizer
  日本金融学会
- Place of Presentation
  広島大学
- Year and Date
  2008-10-13
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] The impact of order flow: A copula approach The impact of order flow: A copula approach2008
- Author(s)
  Kitamura, Y.
- Organizer
  European Economic Association
- Place of Presentation
  Bocconi大学(イタリア)
- Year and Date
  2008-08-30
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] Information, pricing error, and segments: Evidence in the USD/JPY FX market2007
- Author(s)
  北村能寛
- Organizer
  日本経済学会
- Place of Presentation
  大阪経済大学
- Year and Date
  2007-06-02
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] What does cause volatility spillover? Evidence from the euro, the yen, and the Swiss franc spot rates2007
- Author(s)
  北村能寛
- Organizer
  日本金融学会
- Place of Presentation
  同志社大学
- Year and Date
  2007-09-08
- Data Source
  KAKENHI-PROJECT-19730216
[Presentation] Which is Optimal:De Jure and De Facto Combinations of Exchange Rate Regime for a Small Country2007
- Author(s)
  北村能寛
- Organizer
  All China Economics International Conference
- Place of Presentation
  香港城市大学
- Year and Date
  2007-12-14
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18530192
[Presentation] Which is Optimal : De Jure and De Facto Combinations of Exchange Rate Regime for a Small Country2007
- Author(s)
  Yoshihiro Kitamura
- Organizer
  All China Economics International Conference
- Place of Presentation
  City University of Hong Kong
- Year and Date
  2007-12-14
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18530192
[Presentation] 12007
- Author(s)
  北村能寛
- Organizer
  All China Economics International Conference
- Place of Presentation
  香港城市大学
- Year and Date
  2007-12-14
- Data Source
  KAKENHI-PROJECT-18530192

1. 飯間等 (70273547)

# of Collaborated Projects: 2 results

# of Collaborated Products: 3 results
2. AKIBA Hiroya (60138576)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
3. IIDA Yukihiro (70366970)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Kitamura Yoshihiro 北村 能寛

KITAMURA Yoshihiro 北村 能寛

Research Projects

Research Products

Co-Researchers

敵対的生成ネットワークを応用した価格発見過程の研究Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

人工知能取引の影響を考慮した、価格発見過程の再検討Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Leveraging deep learning in the practical evaluation of finance theoryPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Microstructure approach to the efficiency in the FX marketPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Estimation of market expectation: A study in foreign exchange marketsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theoretical and empirical approaches to highly informational symmetric foreign exchange marketsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

A role of five segments in the yen/dollar foreign spot exchange rate marketPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Welfare Analyzes of Exchange Rate Regimes

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] LSTM forecasting foreign exchange rates using limit order book2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Estimating Systematic and Partial Exchange Rate Exposures: The Case of Japanese Firms2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] リカレントニューラルネットワークによる為替レートの予測2020

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Price Discovery via Limit Order in FX Market2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A lesson from the four recent large public Japanese FX interventions2020

Author(s)

Journal Title

DOI

NAID

Data Source

[Journal Article] Simple measures of market efficiency: A study in foreign exchange markets2017

Kitamura Yoshihiro 北村能寛

KITAMURA Yoshihiro 北村能寛