Updated on 2022/11/25

写真a

 
Hatakenaka Kenji
 

Research Interests

  • market microstracture

  • financial econometrics

Research Areas

  • Humanities & Social Sciences / Economic statistics

Education

  • Osaka University   Graduated

    2012.4 - 2016.3

  • Osaka University   Master's Course   Completed

    2016.4 - 2017.3

  • Osaka University   Doctor's Course   Completed

    2017.4 - 2022.3

Research History

  • Fukui University of Technology   Faculty of Environmental and Information Sciences Department of Management and Information Sciences   Lecturer

    2022.10

  • Osaka University   Researcher

    2022.4

 

Papers

  • ティック・サイズ縮小と指値注文市場における価格発見との関係 Reviewed

    Kenji Hatakenaka

    41巻   57 - 69   2019.10

    　More details

    This study analyzes the effect of the tick size reduction on price discovery implemented by the Tokyo Stock Exchange in 2014 for the TOPIX100 component stocks. As for the evaluation of the effect, we categorized orders based on immediacy and executability, and compared the contribution of each to price discovery before and after the event. The estimation results show that tick size reduction changes the contribution of each order type to price discovery. The changes are a decrease in the contribution of orders to the best quote, an increase in the contribution of orders to outside the best quote, and an increase in the contribution of execution prices. Furthermore, the order types driving price discovery are different before and after the event. Before the event, orders to the best quote and orders to outside the best quote drive price discovery to the same degree, but after the event, orders to outside the best quote drive price discovery.

MISC

  • Bayesian inference for time varying partial adjustment model with application to intraday price discovery

    Kenji Hatakenaka, Kosuke Oya

    Discussion Papers In Economics And Business   21 ( 19 )   2021.11

Presentations

  • Econometric analyses about market efficiency: evidence from tick data of Tokyo Stock Exchange International conference

    Kenji Hatakenaka

    HeKKSaGOn Working Group Seeds in Mathematics versus Needs outside Mathematics Winter School in Osaka 2017  2017.3 

  • Bayesian analysis of price discovery on time varying partial adjustment model International conference

    Kenji Hatakenaka, Kosuke Oya

    The 4th International Conference on Econometrics and Statistics (EcoSta2021)  2021.6 

  • Bayesian Analysis of Price Discovery at Pre-opening Period Based on a Partial Adjustment Model

    2019.11