Shimoshimizu Makoto 下清水慎

Researcher Number	00897580
Other IDs
Affiliation (Current)	2026: 東京理科大学, 創域情報学部情報理工学科, 助教 2026: 東京理科大学, 創域理工学部経営システム工学科, 助教
Affiliation (based on the past Project Information) *help	2023 – 2024: 東京理科大学, 創域理工学部経営システム工学科, 助教 2021 – 2022: 東京都立大学, 経営学研究科, 助教
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related
Keywords	Principal Investigator 執行問題 / ラージトレーダー / マーケット・マイクロストラクチャー / 取引コスト / ナイト的不確実性 / 確率動的計画法 / 価格インパクト / 不確実性 / 個人投資家 / 機関投資家 … More / クロス・インパクト / 最適執行問題 / ラージ・トレーダー / マルコフ・ゲーム / 確率制御理論 / 確率ゲーム理論 / 取引執行問題 Less

Theoretical studies on the mutual interaction between institutional and individual investorsPrincipal Investigator
- Principal Investigator
  
  下清水慎
- Project Period (FY)
  2024 – 2026
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Tokyo University of Science
An Application of Stochastic Dynamic Programing to Various Problems in Market MicrostructurePrincipal Investigator
- Principal Investigator
  
  Shimoshimizu Makoto
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Tokyo University of Science
  Tokyo Metropolitan University

All 2025 2024 2023 2022 2021

All Journal Article Presentation

[Journal Article] Trade execution games in a Markovian environment2025
- Author(s)
  Masamitsu Ohnishi and Makoto Shimoshimizu
- Journal Title
  
  Applied Mathematical Finance
  
  Volume: 32 Issue: 4 Pages: 1-39
- DOI
  10.1080/1350486x.2025.2479498
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K01573, KAKENHI-PROJECT-21K13325
[Journal Article] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025
- Author(s)
  Masaaki Fukasawa, Masamitsu Ohnishi, Makoto Shimoshimizu
- Journal Title
  
  Research Institute for Mathematical Sciences (RIMS) Kokyuroku
  
  Volume: 2300 Pages: 85-114
- Open Access
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] M&A Strategies for Industry Entry under Information Asymmetry2025
- Author(s)
  Motoki Suzuki, Makoto Shimoshimizu, Makoto Goto
- Journal Title
  
  SSRN
  
  Volume: - Pages: 1-28
- DOI
  10.2139/ssrn.5016520
- Open Access
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Brokerage Commissions in an Uncertain Stock Market2025
- Author(s)
  Takayuki Ogawa, Jun Sakamoto, Makoto Shimoshimizu
- Journal Title
  
  SSRN
  
  Volume: - Pages: 1-45
- DOI
  10.2139/ssrn.5105107
- Open Access
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025
- Author(s)
  Fukasawa, M., Ohnishi, M. Shimoshimizu, M.
- Journal Title
  
  RIMS Kokyuroku
  
  Volume: 23-- Pages: 85-114
- Open Access
- Data Source
  KAKENHI-PROJECT-24K16400
[Journal Article] Industry Entry Strategies by Friendly M&A: Big Leap or Serial Merger2024
- Author(s)
  Motoki Suzuki, Makoto Shimoshimizu and Makoto Goto
- Journal Title
  
  Proceedings of ACMSA 2023
  
  Volume: - Pages: 355-372
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Prediction Model for Opta Index Using Football Player Performance Data2024
- Author(s)
  Motoi Shinji, Makoto Shimoshimizu, Makoto Goto, Martyn Williams, Naoto Noguchi, Syohei Sasaki and Akihiro Takai
- Journal Title
  
  Proceedings of ACMSA 2023
  
  Volume: - Pages: 427-443
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] American pandemic options: premiums and Greeks2024
- Author(s)
  Yuto Kitamura, Makoto Shimoshimizu, Makoto Goto, Yuan Tian
- Journal Title
  
  Proceedings of Asian Conference of Management Science and Applications 2023
  
  Volume: - Pages: 290-304
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Total discounted cash flow with Poisson arrivals2024
- Author(s)
  Kitamura, Y. Kudo, Y. Shimoshimizu, M., Goto, M.
- Journal Title
  
  SSRN
  
  Volume: - Pages: 1-13
- Open Access
- Data Source
  KAKENHI-PROJECT-24K16400
[Journal Article] An Option Pricing Framework for Valuation of Football Players: Transfer Offers and Sellouts2024
- Author(s)
  Yuta Kudo, Makoto Shimoshimizu, Makoto Goto, Martyn Williams, Naoto Noguchi, Syohei Sasaki and Akihiro Takai
- Journal Title
  
  Proceedings of Asian Conference of Management Science and Applications 2023
  
  Volume: - Pages: 412-426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] A Study on Multi-Stage IT Investment Using Real Options Analysis2024
- Author(s)
  Ziyi Guo, Makoto Shimoshimizu, Makoto Goto
- Journal Title
  
  Journal of Real Options and Strategy
  
  Volume: 16 Issue: 0 Pages: 1-19
- DOI
  10.12949/realopn.16.1
- ISSN
  1881-5774, 1884-1635
- Language
  Japanese
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Introduction to Optimal Execution2024
- Author(s)
  Shimoshimizu Makoto
- Journal Title
  
  Machine Learning Approaches in Financial Analytics
  
  Volume: - Pages: 3-50
- DOI
  10.1007/978-3-031-61037-0_1
- ISBN
  9783031610363, 9783031610370
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Total Discounted Cash Flow with Poisson Arrivals2024
- Author(s)
  Yuto Kitamura, Yuta Kudo, Makoto Shimoshimizu, Makoto Goto
- Journal Title
  
  SSRN
  
  Volume: - Pages: 1-13
- DOI
  10.2139/ssrn.4987876
- Open Access
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] M & A strategies for industry entry under information assymmetry2024
- Author(s)
  Suzuki, M., Shimoshimizu, M., Goto, M.
- Journal Title
  
  SSRN
  
  Volume: - Pages: 1-28
- Open Access
- Data Source
  KAKENHI-PROJECT-24K16400
[Journal Article] Execution game in a Markovian environment2023
- Author(s)
  Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
- Journal Title
  
  RIMS Kokyoroku
  
  Volume: 2237 Pages: 52-74
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] 経営工学における金融工学2023
- Author(s)
  後藤允，下清水慎
- Journal Title
  
  日本経営工学会経営システム誌
  
  Volume: 33 Pages: 64-68
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] とある若手の研究活動 -数理・計量ファイナンスの観点から-2022
- Author(s)
  下清水慎
- Journal Title
  
  オペレーションズリサーチ7月号
  
  Volume: 67 Pages: 377-381
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS2021
- Author(s)
  Masaaki FUKASAWA, Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 24 Pages: 2150025-2150025
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Optimal Pair-Trade Execution with Generalized Cross-Impact2021
- Author(s)
  Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: - Pages: 1-37
- NAID
  120007142229
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Journal Article] Optimal execution under a generalized price impact model with Markovian exogenous orders in a continuous-time setting2021
- Author(s)
  Masaaki FUKASAWA, Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
- Journal Title
  
  Research Institute for Mathematical Sciences (RIMS) Kokyuroku
  
  Volume: 2207 Pages: 1-22
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Perpetual American Pandemic Options Using Frobenius Method2025
- Author(s)
  北村悠斗（発表者），下清水慎，後藤允，田園
- Organizer
  第62回（2024年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] サッカー選手の個人の能力を考慮した市場価値への影響分析2025
- Author(s)
  石井健太（発表者），北村悠人，下清水慎，後藤允，Martyn Williams，野口直人，佐々木翔平，高居明弘
- Organizer
  日本オペレーションズ・リサーチ学会 2025年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] サッカー選手の個人の能力を考慮した市場価値への影響分析2025
- Author(s)
  石井健太（発表者），北村悠人，下清水慎，後藤允，Martyn Williams，野口直人，佐々木翔平，高居明弘
- Organizer
  日本オペレーションズ・リサーチ学会 2025年春季研究発表会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Investors' endogenous choices of brokerage commissions2025
- Author(s)
  Ogawa, T., Sakamoto, J., and Shimoshimizu, M.（発表者）
- Organizer
  Waseda Workshop on Financial Economics
- Invited
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient market impact model in a Markovian environment,2025
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  第62回（2024年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  第62回（2024年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Investors' endogenous choices of brokerage commissions2025
- Author(s)
  Ogawa, T., Sakamoto, J., and Shimoshimizu, M.
- Organizer
  Waseda Workshop on Financial Economics
- Invited
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Continuous-time optimal execution and statistical arbitrage in a Markovian environment2025
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  日本オペレーションズ・リサーチ学会 2025年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Perpetual American Pandemic Options Using Frobenius Method2025
- Author(s)
  北村悠斗（発表者），下清水慎，後藤允，田園
- Organizer
  第62回（2024年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Continuous-time optimal execution and statistical arbitrage in a Markovian environment2025
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  日本オペレーションズ・リサーチ学会 2025年春季研究発表会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025
- Author(s)
  Fukasawa, M., Ohnishi, M., and Shimoshimizu, M.（発表者）
- Organizer
  Winter Workshop on Operations Research, Finance and Mathematics, February 2025
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025
- Author(s)
  Fukasawa, M., Ohnishi, M., and Shimoshimizu, M.（発表者）
- Organizer
  Winter Workshop on Operations Research, Finance and Mathematics, 2025
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] 情報格差のある寡占市場への連続M&Aによる進出戦略2024
- Author(s)
  鈴木幹，下清水慎，後藤允
- Organizer
  日本オペレーションズ・リサーチ学会 2024年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Trade execution game in a Markovian environment2024
- Author(s)
  大西匡光，下清水慎
- Organizer
  日本オペレーションズ・リサーチ学会 2024年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] How Much Do Restaurants Hedge with Pandemic Options?2024
- Author(s)
  北村悠人，下清水慎，後藤允，田園
- Organizer
  日本オペレーションズ・リサーチ学会 2024年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] キャッシュフローに基づくベンチャーキャピタル投資分析モデル2024
- Author(s)
  佐久間斗美雄（発表者），下清水慎，後藤允
- Organizer
  日本リアルオプション学会2024年度研究発表大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  小川貴之，坂本淳，下清水慎（発表者）
- Organizer
  日本ファイナンス学会第32回大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Term Premium and Ambiguity2024
- Author(s)
  阿部眞子，下清水慎（発表者）
- Organizer
  2024 Osaka University Alumni Finance Workshop (OUAFW 2024)
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient price impact model in a Markovian environment2024
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Optimal and equilibrium execution strategies under a generalized market impact model in a Markovian environment2024
- Author(s)
  下清水慎（発表者）
- Organizer
  一橋大学金融研究会
- Invited
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Continuous-time optimal execution under a transient price impact model in Markovian environment2024
- Author(s)
  Fukasawa, M., Ohnishi, M., and Shimoshimizu, M.（発表者）
- Organizer
  TMU Workshop on Finance 2024
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] 容量市場におけるオークションを考慮した投資意思決定2024
- Author(s)
  鈴木幹（発表者），下清水慎，後藤允
- Organizer
  日本リアルオプション学会2024年度研究発表大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  小川貴之，坂本淳（発表者），下清水慎
- Organizer
  日本経済学会2024年度大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Analyzing pandemic options under a stochastic SIR model2024
- Author(s)
  北村悠人（発表者），高柳真吾，下清水慎，後藤允
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Trade execution game in a Markovian environment2024
- Author(s)
  M. Ohnishi and M. Shimoshimizu
- Organizer
  Winter Workshop on Operations Research, Finance and Mathematics, 2024
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  小川貴之，坂本淳（発表者），下清水慎
- Organizer
  日本経済学会2024年度大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] 容量市場におけるオークションを考慮した投資意思決定2024
- Author(s)
  鈴木幹（発表者），下清水慎，後藤允
- Organizer
  日本リアルオプション学会2024年度研究発表大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Analyzing pandemic risk with parameter estimation of stochastic SIS model2024
- Author(s)
  Kitamura, Y., Shimoshimizu,M.（発表者）, Goto, M. and Tian, Y.
- Organizer
  Modeling and Learning of Stochastic Dynamics (RIMS Symposium)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] キャッシュフローに基づくベンチャーキャピタル投資分析モデル2024
- Author(s)
  佐久間斗美雄（発表者），下清水慎，後藤允
- Organizer
  日本リアルオプション学会2024年度研究発表大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Trade execution games in a Markovian environment2024
- Author(s)
  大西匡光（発表者），下清水慎
- Organizer
  日本ファイナンス学会第32回大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Continuous-time optimal execution under a transient price impact model in Markovian environment2024
- Author(s)
  Fukasawa, M., Ohnishi, M., and Shimoshimizu, M.（発表者）
- Organizer
  TMU Workshop on Finance 2024
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] How much do restaurants hedge with pandemic options2024
- Author(s)
  北村悠人，下清水慎，後藤允，田園
- Organizer
  第60回（2023年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient price impact model in a Markovian environment2024
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  Ogawa, T., Sakamoto, J. and Shimoshimizu, M.（発表者）
- Organizer
  International Workshop on Sustainable Finance and Related Issues
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Optimal and equilibrium execution strategies under a generalized market impact model in a Markovian environment2024
- Author(s)
  下清水慎（発表者）
- Organizer
  一橋大学金融研究会
- Invited
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  Ogawa, T., Sakamoto, J. and Shimoshimizu, M.（発表者）
- Organizer
  International Workshop on Sustainable Finance and Related Issues
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  小川貴之，坂本淳，下清水慎（発表者）
- Organizer
  日本ファイナンス学会第32回大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Term Premium and Ambiguity2024
- Author(s)
  阿部眞子，下清水慎（発表者）
- Organizer
  2024 Osaka University Alumni Finance Workshop (OUAFW 2024)
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Brokerage Commissons in an Uncertain Stock Market2024
- Author(s)
  小川貴之，坂本淳，下清水慎（発表者）
- Organizer
  2024 Osaka University Alumni Finance Workshop (OUAFW 2024)
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Entry-Exit strategies for venture capitalist: A cash flow based model2024
- Author(s)
  佐久間斗美雄（発表者），鈴木幹，下清水慎，後藤允
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] 契約解除条項の有無を考慮したサッカー選手評価のためのリアルオプションフレームワーク2024
- Author(s)
  工藤佑太（発表者），下清水慎，後藤允，Martyn WILLIAMS，野口直人，佐々木翔平，髙居明弘
- Organizer
  日本オペレーションズ・リサーチ学会 2024年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] 契約解除条項の有無を考慮したサッカー選手評価のためのリアルオプションフレームワーク2024
- Author(s)
  工藤佑太（発表者），下清水慎，後藤允，Martyn WILLIAMS，野口直人，佐々木翔平，髙居明弘
- Organizer
  日本オペレーションズ・リサーチ学会 2024年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution with transient impacts in a Markovian environment2024
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  日本オペレーションズ・リサーチ学会 2024年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Analyzing pandemic risk with parameter estimation of stochastic SIS model2024
- Author(s)
  Kitamura, Y., Shimoshimizu,M.（発表者）, Goto, M. and Tian, Y.
- Organizer
  Modeling and Learning of Stochastic Dynamics (RIMS Symposium)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Analyzing pandemic options under a stochastic SIR model2024
- Author(s)
  北村悠人（発表者），高柳真吾，下清水慎，後藤允
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Brokerage Commissons in an Uncertain Stock Market,2024
- Author(s)
  小川貴之，坂本淳，下清水慎（発表者）
- Organizer
  2024 Osaka University Alumni Finance Workshop (OUAFW 2024)
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] CVaRを用いた暗号資産を含むポートフォリオ最適化2024
- Author(s)
  樋口海斗，下清水慎，後藤允
- Organizer
  日本オペレーションズ・リサーチ学会 2024年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] American Pandemic Options with Stochastic SIR Model2024
- Author(s)
  北村悠人（発表者），高柳信吾，下清水慎，後藤允
- Organizer
  日本オペレーションズ・リサーチ学会 2024年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Trade execution games in a Markovian environment2024
- Author(s)
  大西匡光（発表者），下清水慎
- Organizer
  日本ファイナンス学会第32回大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] 保証金付きFIP制度における入札戦略2024
- Author(s)
  トウセイカ（発表者），下清水慎，後藤允
- Organizer
  日本リアルオプション学会2024年度研究発表大会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Trade execution game in a Markovian environment2024
- Author(s)
  大西匡光，下清水慎
- Organizer
  第60回（2023年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] American Pandemic Options with Stochastic SIR Model2024
- Author(s)
  北村悠人（発表者），高柳信吾，下清水慎，後藤允
- Organizer
  日本オペレーションズ・リサーチ学会 2024年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Entry-Exit strategies for venture capitalist: A cash flow based model2024
- Author(s)
  佐久間斗美雄（発表者），鈴木幹，下清水慎，後藤允
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] 保証金付きFIP制度における入札戦略2024
- Author(s)
  トウセイカ（発表者），下清水慎，後藤允
- Organizer
  日本リアルオプション学会2024年度研究発表大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution with transient impacts in a Markovian environment2024
- Author(s)
  深澤正彰，大西匡光，下清水慎（発表者）
- Organizer
  日本オペレーションズ・リサーチ学会 2024年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-24K16400
[Presentation] Continuous-time optimal execution in a Markovian environment2023
- Author(s)
  下清水慎
- Organizer
  日本オペレーションズ・リサーチ学会 2023年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Industry Entry Strategies by Friendly M&A: Big Leap or Serial Merger2023
- Author(s)
  M. Suzuki, M. Shimoshimizu, and M. Goto
- Organizer
  ACMSA 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient market impact model in a Markovian environment2023
- Author(s)
  深澤正彰，大西匡光，下清水慎
- Organizer
  日本オペレーションズ・リサーチ学会 2023年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] An Option Pricing Framework for Valuation of Football Players: Transfer Offers and Sellouts2023
- Author(s)
  Y. Kudo, M. Shimoshimizu, M. Goto, M. Williams, N. Noguchi, S. Sasaki, and A. Takai
- Organizer
  ACMSA 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] 移籍と放出を考慮したサッカー選手評価のためのリアルオプションフレームワーク2023
- Author(s)
  工藤佑太，下清水慎，後藤允，Martyn Williams，野口直人，佐々木翔平，高居明弘
- Organizer
  日本リアルオプション学会2023年研究発表大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient market impact model in a Markovian environment2023
- Author(s)
  M. Fukasawa, M. Ohnishi, Makoto Shimoshimizu
- Organizer
  OR 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] パンデミックオプションについて2023
- Author(s)
  北村悠人，後藤允，下清水慎
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] American Pandemic Options: Premiums and Greeks2023
- Author(s)
  Y. Kitamura, M. Shimoshimizu, M. Goto and Y. Tian
- Organizer
  ACMSA 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Prediction Model for Opta Index Using Football Player Performance Data2023
- Author(s)
  M. Shinji, M. Shimoshimizu, M. Goto, M. Williams, N. Noguchi, S. Sasaki, and A. Takai
- Organizer
  ACMSA 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] 友好的 M&A による産業進出戦略：大型合併と段階的合併2023
- Author(s)
  鈴木幹，下清水慎，後藤允
- Organizer
  日本リアルオプション学会2023年研究発表大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution in a Markovian environment2023
- Author(s)
  下清水慎
- Organizer
  第58回（2022年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  下清水慎
- Organizer
  第56回（2022年度冬季）ジャフィー大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Study on Execution Problem in Financial Markets with Generalized Price Impacts2022
- Author(s)
  下清水慎
- Organizer
  大西研　研究報告会2022
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  下清水慎
- Organizer
  日本オペレーションズ・リサーチ学会 2022年度関西支部若手研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  Makoto Shimoshimizu
- Organizer
  Advances in Decision Analysis 2022
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  下清水慎
- Organizer
  日本オペレーションズ・リサーチ学会 2022年春季研究発表会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  Makoto Shimoshimizu
- Organizer
  World Conference on Business, Economics and Finance 2022
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  下清水慎
- Organizer
  ゲーム理論ワークショップ2022
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Continuous-time optimal execution under a transient price impact model in a Markovian environment2022
- Author(s)
  Makoto Shimoshimizu
- Organizer
  2022 SKKU International Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2022
- Author(s)
  下清水慎
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Execution game in a Markovian environment2021
- Author(s)
  Makoto Shimoshimizu
- Organizer
  2021 KAFE-SKKU International Conference on Finance
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Optimal execution strategies with generalized price impacts in a continuous-time setting2021
- Author(s)
  Makoto Shimoshimizu
- Organizer
  IFORS 2021
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Market impact game in a Markovian environment2021
- Author(s)
  下清水慎
- Organizer
  日本ファイナンス学会第3回秋季研究大会
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Optimal pair–trade execution with generalized cross–impact2021
- Author(s)
  Makoto Shimoshimizu
- Organizer
  EURO 2021
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K13325
[Presentation] Optimal execution strategies with generalized price impacts in a continuous-time setting2021
- Author(s)
  下清水慎
- Organizer
  京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
- Data Source
  KAKENHI-PROJECT-21K13325

1. 大西匡光

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

Shimoshimizu Makoto 下清水 慎

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Theoretical studies on the mutual interaction between institutional and individual investorsPrincipal Investigator

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An Application of Stochastic Dynamic Programing to Various Problems in Market MicrostructurePrincipal Investigator

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[Journal Article] Trade execution games in a Markovian environment2025

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[Journal Article] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025

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[Journal Article] M&A Strategies for Industry Entry under Information Asymmetry2025

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[Journal Article] Brokerage Commissions in an Uncertain Stock Market2025

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[Journal Article] Continuous-time optimal execution under a transient market impact model in a Markovian environment2025

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[Journal Article] Industry Entry Strategies by Friendly M&A: Big Leap or Serial Merger2024

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[Journal Article] Prediction Model for Opta Index Using Football Player Performance Data2024

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[Journal Article] American pandemic options: premiums and Greeks2024

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[Journal Article] Total discounted cash flow with Poisson arrivals2024

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[Journal Article] An Option Pricing Framework for Valuation of Football Players: Transfer Offers and Sellouts2024

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[Journal Article] A Study on Multi-Stage IT Investment Using Real Options Analysis2024

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[Journal Article] Introduction to Optimal Execution2024

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[Journal Article] Total Discounted Cash Flow with Poisson Arrivals2024

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[Journal Article] M & A strategies for industry entry under information assymmetry2024

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Shimoshimizu Makoto 下清水慎