MORIYASU Hiroshi

J-GLOBAL         Last updated: May 29, 2019 at 09:50
 
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Name
MORIYASU Hiroshi
Affiliation
Nagasaki University
Section
Faculty of Economics
Job title
Associate Professor of Econometrics
Degree
(BLANK)(Kyushu University), (BLANK)
ORCID ID
0000-0001-8173-2761

Research Areas

 
 

Academic & Professional Experience

 
Nov 2017
 - 
Nov 2017
Visiting professor, UTS Business School, University of technology Sydney
 
Aug 2016
 - 
Jun 2016
Visiting research fellow, Faculty of Economics, Chiang Mai University
 
Nov 2010
 - 
Oct 2011
Visiting research fellow, UWA Business School, University of Western Australia
 

Education

 
 
 - 
1998
Graduate School, Division of Economics, Kyushu University
 
 
 - 
1993
Faculty of Economics, Kyushu University
 

Awards & Honors

 
Apr 2013
Asian Investment Management Research Prize 2013, Financial Management Association
Winner: MORIYASU Hiroshi, Jing YU, Marvin WEE
 

Published Papers

 
Hiroyuki Aman, Norihiro Kasuga, Hiroshi Moriyasu
Applied Economics   1   Sep 2018   [Refereed]
Moriyasu H, Wee M, Yu J.
Pacific Basin Finance Journal   49 103-128   2018   [Refereed]
Aman H, Moriyasu H.
International Review of Economics and Finance   51 660-676   2017   [Refereed]
森保 洋
経営と経済   95(3) 95-115   Mar 2016
Osaka Stock Exchange introduced J-GATE, a newly trading platform for derivative trading on February 2011.By using the introduction as an exogenous event that increases high-frequency trading in the futures market, this paper investigates whether h...
森保 洋
経営と経済   95(3) 中扉1枚,95-115   Mar 2016

Misc

 
Moriyasu Hiroshi
Annual report   56 59-60   Mar 2015
Moriyasu Hiroshi
Annual report   54 53-69   Mar 2013
This paper investigates the intraday price discovery process among three futures based on the Nikkei Stock Average: the regular Nikkei 225 futures traded on the Singapore Exchange (SGX), the Osaka Stock Exchange (OSE) and Nikkei 225 mini futures l...
Susai Masayuki, Moriyasu Hiroshi
Journal of business and economics   82(1) 155-172   Jun 2002
We examine how information inflow into Yen / Dollar market affects foreign exchange rate volatility through the estimation of the GARCH with information variable model. Since information inflow cannot be ob-served directly, we contrive the two typ...
MORIYASU Hiroshi
人工知能学会全国大会論文集 = Proceedings of the Annual Conference of JSAI   11 219-222   Jun 1997
Price Change Relation between Stock Index and Index Futures Market for the Nikkei 225
(97) 171-181   1997
Forecasting Volatility of the Nikkei 225
(34) 39-45   1997
Pricing the Nikkei 225 Option Using the ARCH Option Pricing Method
7 143-159   1999
TOKINAGA Shozo, MORIYASU Hiroshi, MIYAZAKI Akio, SHIMAZU Nobuyuki
The Transactions of the Institute of Electronics,Information and Communication Engineers. A   79(12) 2054-2062   Dec 1996
本論文では,フラクタル的な性質をもつ時系列に関する二つの基本的な技法の結合による時系列の予測手法を展開している.基本的な技法の第1番目は,フラクタル時系列をウェーブレット変換した場合の係数が,時系列の分散とフラクタル次元とにより表現できることを用いてパラメータを推定する方法である.第2番目は,時系列をスケール関数の展開形式で表現されたインパルス応答と入力信号との畳込みにより表現するモデルを仮定した場合に,フラクタル性から時間軸の伸長に対してインパルス応答が自己相似的な性質をもつことを用いた...
TOKINAGA Shozo, MORIYASU Hiroshi, MIYAZAKI Akio, SHIMAZU Nobuyuki
The Transactions of the Institute of Electronics,Information and Communication Engineers. A   79(11) 1793-1800   Nov 1996
本論文では,時系列がフラクタル的な性質をもつ場合に,これを利用した予測手法を展開し,予測誤差の検討,フラクタル次元の推定,および応用例について示す.まず,時系列をスケール関数の展開形式で表現されたインパルス応答と入力信号との畳み込みにより表現するモデルを仮定し,時系列にフラクタル性がある場合には時間軸の伸長に対してインパルス応答が自己相似的な性質を保持するので,これを用いた予測が可能であることを示す.いくつかのフラクタル次元をもつ時系列について1時刻先の予測誤差が小さくなることを示すと共に...
TOKINAGA Shozo, MORIYASU Hiroshi, MIYAZAKI Akio, SHIMAZU Nobuhiro
Technical report of IEICE. SSE   95(510) 61-66   Feb 1996
This report deals with the method of forecast and control in the ATM multiplexer where the input traffic is modeled as a fluid flow. The method utilizes the fractals included in the time series of the input traffic flow. At first, we show under a ...
TOKINAGA Shozo, MORIYASU Hiroshi, MIYAZAKI Akio, SHIMAZU Nobuhiro
Technical report of IEICE. DSP   95(417) 43-48   Dec 1995
This report deals with the method of forecasting the time-series based upon the fractals. At first the time-series is modeled as a convolution or an input signal and an impulse response represented by a set of scaling function. Our method of forec...

Research Grants & Projects

 
Study on Derivative Pricing