Name / Position
SAITO, Taiga / Assistant Professor
|2015||Ph.D. in Economics. Graduate School of Economics, The University of Tokyo|
|2003||M.A. in Mathematical sciences. Graduate School of Mathematical Sciences, The University of Tokyo|
|2001||B.A. in Mathematics. The University of Tokyo|
|2017||Assistant Professor, Graduate School of Economics, The University of Tokyo|
|2015||Research fellow, Financial Services Agency, Japan|
|2003||Merrill Lynch Japan Securities|
Corporate capital management, Control theory, Quantitative finance
I am mainly interested in modeling market participants’ trading behaviors and their interactions in financial markets through quantitative approaches that utilize stochastic control theories as tools. I am also focused on information management for corporations, such as revenue management, using big data through quantitative modeling.
- “Interest rate model with investor attitude and text mining”, 2020, IEEE Access, 8, 86870-86885. 2020 (with Souta Nakatani, Kiyohiko G. Nishimura, and Akihiko Takahashi).
- “Stochastic differential game in high frequency market”, 2019, Automatica, 104, 111-125. (with Akihiko Takahashi)
- “Application of online booking data to hotel revenue management”, 2019, International Journal of Information Management, 46, 37-53. (with Akihiko Takahashi, Noriaki Koide, and Yu Ichifuji)
- “Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-”, 2018, Asia Pacific Financial Markets, 25, 179-220. (with Takanori Adachi, Teruo Nakatsuma, Akihiko Takahashi, Hiroshi Tsuda and Naoyuki Yoshino)
- “Derivatives pricing with market impact and limit order book”, 2017, Automatica, 86, 154-165. (with Akihiko Takahashi)
- “Hedging and pricing illiquid options with market impacts”, 2017, International Journal of Financial Engineering, 4(02n03), 1750030.
- “Optimal room charge and expected sales under discrete choice models with Limited capacity”, 2016, International Journal of Hospitality Management, 57, 116-131. (with Akihiko Takahashi and Hiroshi Tsuda)
- “Pricing Foreign Exchange Options under Intervention by Absorption Modelling”, 2016, Asia Pacific Financial Markets, DOI:10.1007/s10690-016-9210-1, 1-22.
- “Self-Financing Strategy Expression in General Shape Limit Order Book with Market Impacts in Continuous Time”, 2015, International Journal of Financial Engineering, Vol.2, No.3, 1550034, 1-19.