SAITO, Taiga

SAITO, Taiga

Name / Position

SAITO, Taiga / Assistant Professor

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Curriculum Vitae

Education

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

Professional Experience

2017 Assistant Professor, Graduate School of Economics, The University of Tokyo
2015 Research fellow, Financial Services Agency, Japan
2007 Deutsche Securities
2003 Merrill Lynch Japan Securities

Research Field

Corporate capital management, Control theory, Quantitative finance

Research Theme

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.

Publications

Articles

  • “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.

Other Professional Activities and Awards