Ryuichi Yamamoto, Ph.D.

Professor, School of Political Science and Economics at Waseda University
Tokyo, Japan

Profile

Professor Yamamoto is a professor in School of Political Science and Economics at Waseda University. Professor Yamamoto previously taught in Department of International Business at National Chengchi University in Taiwan for seven years. His research currently focuses on market microstructure and behavioral finance in stock markets. His research attempts to clarify possible causes of several macroeconomic phenomena observed in actual stock markets, such as bubbles and bursts. He also investigates conditions that certain trading strategies, such as high-frequency trading, benefit and cost the market. He highlights the importance of the trading protocols and strategic interactions among stock investors for the explanations. Professor Yamamoto teaches “Finance” in English and “Applied Finance” in Japanese in addition to several seminar classes.


Presentation Abstract

Trading profitability from learning and adaptation on the Tokyo Stock Exchange

I propose unexamined technical trading rules, which are dynamically switching strategies among filter, moving average, and trading-range breakout rules. The dynamically switching strategy is formulated based on a discrete choice theory consistent with the concept of myopic utility maximization. I utilize the transaction data of the individual stocks listed on the Nikkei 225 from September 1, 2005 to August 31, 2007. I demonstrate that switching strategies produce positive returns and the performances are better than those from the buy-and-hold and non-switching strategies over the sample periods.