← All authors Kei Nakagawa Osaka Metropolitan University (from arXiv:2604.06116, 2026) · ORCID · OpenAlex
33 papers in scope · 31 published · 2 on the econ.EM arXiv · 284 citations · h-index 10 (over the papers listed here)
Papers (2 of 33)
Subspace regularized principal component analysis using prior exposure information
published 2026 · Finance research letters
working paper 2026 · arXiv
Prices of Risk Estimation for Commodity Factors
published 2025 · Journal of Futures Markets · 3 citations · first circulated 2024
with Ryuta Sakemoto
Are managerial cognitive biases priced in Japan? Evidence from cross-sectional portfolio returns
published 2025 · Finance research letters · 1 citations
with Ying Chen, Yosuke Kimura, Kotaro Inoue
New behaviorally-based cross-sectional reversal portfolios in the cryptocurrency market and market uncertainty
published 2025 · Finance research letters · 2 citations
with Ryuta Sakemoto
Stochastic ESG scores and nonpecuniary ESG preferences: An extension to CAPM
published 2025 · Finance research letters · 6 citations
with Keisuke Morita, Ryuta Sakemoto
Portfolio optimization using deep learning with risk aversion utility function
published 2025 · Finance research letters · 10 citations
with Kenji Kubo
Commodity sectors and factor investment strategies
published 2024 · International Review of Financial Analysis · 3 citations · first circulated 2023
with Ryuta Sakemoto
Analysis of Hedging Strategies for Multiple Options in the BTC Market Using Deep Smoothing and Deep Hedging
published 2024 · Transactions of the Japanese Society for Artificial Intelligence
with Masaki Fujiwara, Tomoki Nakakomi, Kaisei Kako, Hiroaki Horikawa
Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy
published 2024 · Finance research letters · 4 citations · first circulated 2023
with Hiroaki Horikawa
Advances in Language Processing in the Financial and Economic Domain
published 2024 · Journal of Natural Language Processing · 1 citations
with Hiroki Sakaji
Do commodity factors work as inflation hedges and safe havens?
published 2023 · Finance research letters · 8 citations
with Ryuta Sakemoto
No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging
published 2023 · The Journal of Financial Data Science · 12 citations · first circulated 2021
MACRO FACTORS IN THE RETURNS ON CRYPTOCURRENCIES
published 2023 · Applied Finance Letters · 8 citations
with Ryuta Sakemoto
Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control
published 2023 · Finance research letters · 2 citations · first circulated 2022
with Kenji Kubo, Daiki Mizukami, Dipesh Acharya
Dynamic allocations for currency investment strategies
published 2022 · European Journal of Finance · 10 citations
with Ryuta Sakemoto
Market uncertainty and correlation between Bitcoin and Ether
published 2022 · Finance research letters · 12 citations
with Ryuta Sakemoto
Inflation rate tracking portfolio optimization method: Evidence from Japan
published 2022 · Finance research letters · 7 citations
with Yoshiyuki Suimon
Time-series gradient boosting tree for stock price prediction
published 2022 · International Journal of Data Mining Modelling and Management · 8 citations
with Kenichi Yoshida
Cryptocurrency network factors and gold
published 2021 · Finance research letters · 22 citations
with Ryuta Sakemoto
The value of reputation capital during the COVID-19 crisis: Evidence from Japan
published 2021 · Finance research letters · 34 citations
with Tomonori Manabe
Deep Portfolio Optimization via Distributional Prediction of Residual Factors
published 2021 · Proceedings of the AAAI Conference on Artificial Intelligence · 34 citations · first circulated 2020
Entropy Based Student’s t-Process Dynamical Model
published 2021 · Entropy · 3 citations
with Ayumu Nono, Yusuke Uchiyama
GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio
published 2020 · Mathematics · 17 citations
with Yusuke Uchiyama
RIC-NN: Deep Transfer Learning for Multi-Factor Investment Strategy
published 2020 · The Japanese Society for Artificial Intelligence
no link
Trader-Company Method:Stock Price Prediction Using Metaheuristics
published 2020 · The Japanese Society for Artificial Intelligence · 6 citations
Deep Portfolio Optimization of Residual Factors in the Stock Market
published 2020 · The Japanese Society for Artificial Intelligence
no link
working paper 2020 · arXiv · 3 citations
Asset Allocation Strategy with Non-Hierarchical Clustering Risk Parity Portfolio
published 2020 · Journal of Mathematical Finance · 2 citations
with Takanobu Kawahara
Stock price prediction using k ‐medoids clustering with indexing dynamic time warping
published 2019 · Electronics and Communications in Japan · 33 citations · first circulated 2018
with Mitsuyoshi Imamura, Kenichi Yoshida
Economic Causal Chain and Predictable Stock Returns
published 2019 · IEEE Conference Proceedings · 12 citations
with Shingo Sashida, Hiroki Sakaji, Kiyoshi Izumi
Price Fluctuation Patterns of Stock/Exchange/Cryptocurrency
published 2018 · IEEJ Transactions on Electronics Information and Systems
with Mitsuyoshi Imamura, Kenichi Yoshida
Risk-Based Portfolios with Large Dynamic Covariance Matrices
published 2018 · International Journal of Financial Studies · 21 citations
with Mitsuyoshi Imamura, Kenichi Yoshida
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